The Effects of Stocks and Price Floors on Price Dynamics and Volatility: An Application to the U.S. Nonfat Dry Milk Market by
نویسندگان
چکیده
This paper presents an econometric analysis of the effects of price support programs and stocks on price dynamics and price volatility. Considering a price support program as a censoring mechanism, market prices are specified as a dynamic Tobit model with time varying volatility. The model is applied to the U.S. nonfat dry milk market to examine the impact of market liberalization on price dynamics and price volatility in the presence of private and public stocks. The econometric results show how the price support program and stocks (both private and public) affect expected price and price volatility. They document the role of stocks in reducing price volatility.
منابع مشابه
The Effects of Stocks and Price Floor on Price Dynamics and Volatility: An Application to the U.S. Nonfat Dry Milk Market
This paper presents an econometric analysis of the effects of price support program and stocks on price dynamics and price volatility. Considering a price support program as a censoring scheme, market prices are specified as a dynamic Tobit model under time varying volatility. The model is applied to the U.S. nonfat dry milk market, based on monthly data for the period of 1970-2000. The econome...
متن کاملAn Econometric Analysis of the Effects of Market Liberalization on Price Dynamics and Price Volatility
The paper investigates price dynamics under market liberalization, with a focus on the effects of lowering price floors. We analyze price dynamics by specifying and estimating a dynamic Tobit model under time-varying volatility, where the market price is censored by a government-set support price. The model is applied to the U.S. butter market over the last three decades. The econometric result...
متن کاملSelected paper for presentation at AAEA Annual Meeting, Chicago, August 2001 An Econometric Analysis of the Effects of Market Liberalization on Price Dynamics and Price Volatility by
The paper investigates price dynamics under market liberalization, with a focus on the effects of lowering price floors. We analyze price dynamics by specifying and estimating a dynamic Tobit model under time-varying volatility, where the market price is censored by a government-set support price. The model is applied to the U.S. butter market over the last three decades. The econometric result...
متن کاملاثر نوسانات قیمت جهانی نفت بر بازده سهام صنایع انرژی بر در ایران
The present article studies the interactive relationships between oil price volatility and industries stocks of basic metals, petroleum and chemical products by using Vector Auto Regressive (VAR) and Multivariate Generalized Autoregressive Conditional Heteroskedastisity (GARCH) models from March 2004 to March 2015 empirically . In this research, the VAR-GARCH model is proposed, which is develop...
متن کاملAssessing the Exchange Rate Fluctuation on Tehrans Stock Market Price: A GARCH Application
This paper empirically investigates the exchange rate effects of Iranian Rial against Dollar (Rial vs.US) on stock prices in Iran. The sample period for the study has been taken from March 20, 2004 to March 20, 2010 using daily nominal exchange rate of Rial /us and daily closing values of Tehran Stock Exchange. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model has been use...
متن کامل