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Price Series (price + series)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting80%

Selected Abstracts

Food prices and the standard of living in London in the ,century of revolution', 1580-1700

ECONOMIC HISTORY REVIEW, Issue 3 2000
Jeremy Boulton
This article presents a new price series for seventeenth-century London and uses the data to construct the first cost of living index for the capital for that period. Comparison with the Phelps Brown Hopkins (PBH) series suggests that although short-term variations were very similar, there is some suggestion that prices in London were more inflationary after the middle of the seventeenth century than in the PBH series. A new London real wage series, also presented, is consequently less buoyant than that constructed by PBH for their southern building craftsmen. [source]

Consistent High-precision Volatility from High-frequency Data

ECONOMIC NOTES, Issue 2 2001
Fulvio Corsi
Estimates of daily volatility are investigated. Realized volatility can be computed from returns observed over time intervals of different sizes. For simple statistical reasons, volatility estimators based on high-frequency returns have been proposed, but such estimators are found to be strongly biased as compared to volatilities of daily returns. This bias originates from microstructure effects in the price formation. For foreign exchange, the relevant microstructure effect is the incoherent price formation, which leads to a strong negative first-order autocorrelation ,(1),40 per cent for tick-by-tick returns and to the volatility bias. On the basis of a simple theoretical model for foreign exchange data, the incoherent term can be filtered away from the tick-by-tick price series. With filtered prices, the daily volatility can be estimated using the information contained in high-frequency data, providing a high-precision measure of volatility at any time interval. (J.E.L.: C13, C22, C81). [source]

Beef safety shocks and dynamics of vertical price adjustment: The case of BSE discovery in the U.S. beef sector

AGRIBUSINESS : AN INTERNATIONAL JOURNAL, Issue 3 2007
Sayed H. Saghaian
This article addresses the dynamic impact of the 2003 Bovine Spongiform Encephalopathy discovery on the U.S. beef sector. Time series analysis and historical decomposition with weekly feedlot, wholesale, and retail beef price series is used to address the dynamics of price adjustment and causality along the U.S. beef marketing channel. The results show price transmission is bidirectional, determined through interaction between the different stages, and price adjustment is asymmetric with respect to both speed and magnitude. The results reveal a differential impact of the exogenous shock on producers and retailers, which leads to widening of price margins and points to imperfect price transmission, specifically at the retail level, with consequences for the efficiency and equity of the marketing channel. [EconLit citations: Q11, Q13]. © 2007 Wiley Periodicals, Inc. Agribusiness 23: 333,348, 2007. [source]

Are commodity prices chaotic?

AGRICULTURAL ECONOMICS, Issue 2 2002
Arjun Chatrath
Abstract We conduct tests for the presence of low-dimensional chaotic structure in the futures prices of four important agricultural commodities. Though there is strong evidence of non-linear dependence, the evidence suggests that there is no long-lasting chaotic structure. The dimension estimates for the commodity futures series are generally much higher than would be for low dimension chaotic series. Our test results indicate that autoregressive conditional heteroskedasticity (ARCH)-type processes, with controls for seasonality and contract-maturity effects, explain much of the non-linearity in the data. We make a case that employing seasonally adjusted price series is important in obtaining robust results via some of the existing tests for chaotic structure. Finally, maximum likelihood methodologies, that are robust to the non-linear dynamics, lend strong support to the Samuelson hypothesis of maturity effects in futures price changes. [source]

DOES ,AGGREGATION BIAS' EXPLAIN THE PPP PUZZLE?

PACIFIC ECONOMIC REVIEW, Issue 1 2005
Shiu-Sheng Chen
This paper re-examines aggregation bias. It clarifies the meaning of aggregation bias and its applicability to the PPP puzzle; demonstrates that the size of the ,bias' is much smaller than suggested if explosive roots in the simulations are ruled out; and shows that the presence of non-persistent measurement error data can make price series appear less persistent than they are. After correcting for small-sample bias, half-life estimates indicate that heterogeneity and aggregation bias do not help to solve the PPP puzzle. [source]