In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model outperforms directly comparing bonds’ credit spreads to default swap premiums. We find that the model yields unbiased premium estimates for default swaps on investment grade issuers, but only if we use swap or repo rates as proxy for default-free interest rates. This indica...

While the relationship between stock market return and oil price is of great interest to researchers, previous studies do not investigate stock market return with petrochemical products market. In this paper, we analyzed the relationship between prices of main petrochemical products and stock returns of petrochemical companies in Tehran stock exchange. Using a panel data model and GLS estimatio...

We obtain an exact necessary and sufficient condition for the existence uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Using local spectral radius methods, we connect condition, hence problem prices, with recent literature on stochastic discount factor decompositions. Our results include a globally convergent method computing whenever the...

In December 2010, the United Nations Food and Agriculture Organization's Food Price Index surpassed its previous peak of June 2008, and prices remained at this level through September 2011. This pattern is creating justified fears of a renewal or intensification of the global food crisis. This paper reviews arguments and evidence to inform debates on how to regulate commodity futures markets in...

The main purpose of this study is to examine the responsiveness of peasant farmers to changes in price and non-price factors. To this end, quadratic production and restricted profit functions are fitted to farm-level survey data from Ethiopia. The results indicate that farmers respond significantly to price incentives, but the effect of prices on output supply and fertilizer demand is negligibl...

This paper discusses the spread of electricity deregulation in OECD countries since the early 1990s. England, Wales and Norway were the pioneers, but almost all OECD countries have now introduced some degree of liberalisation, and several have free entry to generation while allowing all electricity consumers to choose where they buy their power. The paper discusses some of the issues raised by ...

this paper examines the causal relationship between stock prices and macroeconomic aggregates in iran, by applying the techniques of the long–run granger non–causality test proposed by toda and yamamoto (1995). we test the causal relationships between the tepix index and the three macroeconomic variables: money supply, value of trade balance, and industrial production using quarterly data for t...

Understanding how producers make decisions to allot acreage among crops and how decisions about land use are affected by changes in prices and their volatility is fundamental for predicting the supply of staple crops and, hence, assessing the global food supply situation. The innovations of the present paper are estimates of monthly (i.e. seasonal) versus annual global acreage response models f...

We consider cross-correlations among stock prices in the Korean stock-market[1,2]. We use the daily Korean stock-market prices of KOSPI 200 for 4 years from January 3, 2000 to December 29, 2004. Let us define logarithmic return as ri(t) = log pi(t)− log pi(t−∆t) where pi(t) is the stock prices of a company i at a time t and ∆t is the return time. We use one day return time ∆t = 1day. The total ...