This paper considers a continuous-time heterogeneous agent model of a financial market with one risky asset, two types of agents (i.e., the fundamentalists and the chartists), and three time delays. The chartist’s demand is determined through a nonlinear function of the difference between the current price and a weighted moving average of the delayed prices whereas the fundamentalist’s demand i...

In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model using data on the DAX index and the DAX futures contract. We find that the adjustment is indeed nonlinear. The linear alternati...

This paper generalizes the model of Becker, Grossman, and Murphy (1994) to the multivariate case. The multivariate model generates Frisch demand functions where current consumption is related to prices of all goods, and lagged and future consumption of all goods. The theoretical restrictions are that current price effects (holding lagged and future consumption constant) are negative definite, a...

This paper comments on “The Price Effects of Hospital Mergers: A Case Study of Sutter-Summit Transaction,” by Steven Tenn. I exposit a simple model of differentiated products competition and consider the implications of Tenn’s findings in the context of this model. I find that Tenn provides compelling evidence that the merger led to a price increase at Summit Hospital. The causes of the price i...

OBJECTIVE In 2013, the Moroccan government implemented Decree 2-13-852, which introduced a major overhaul of drug-pricing policy in the country. Under the decree, the ex-manufacturer price of originator products was set at the average ex-manufacturer price from a basket of countries, including Belgium, France, Portugal, Saudi Arabia, Spain, and Turkey. Generic medicine prices could not exceed t...

In this study a demand system analysis for beef in South Korea is constructed. A free trade demand system was used in which the economic welfare of market participants are maximized. Recognizing implicit discrimination about non-locally sourced beef products, this study deduces market demand equations with respect to consumer preference in order to identify the marginal effect of change consume...

A two-stage modeling process is developed to estimate factors that determine price sensitivities for store and national brands of cheese. Results show that several factors affect price sensitivities. AIDS and LA/AIDS models are used in the analyses and meta-regression results show no difference in own-price elasticities for these two models.

The Heckscher-Ohlin-Vanek Theorem has been used to predict the factor contents of trade under the ideal assumption that factor prices are equalized. Available empirical studies have shown that the measured contents of factor trade significantly differ from the predicted factor contents of trade. This paper employs a more general definition of factor abundance in the presence of factor price dis...