Commodity price always related to the movement of stock market index. However real economic time series data always exhibit nonlinear properties such as structural change, jumps or break in the series through time. Therefore, linear time series models are no longer suitable and Markov Switching Vector Autoregressive models which able to study the asymmetry and regime switching behavior of the d...

First, we emphasize that the real estate price peaks which are currently under way in many industrialized countries (one important exception is Japan) share many of the characteristics of previous historical price peaks. In particular, we show that: (i) In the present episode real price increases are, at least for now, of the same order of magnitude as in previous episodes, typically of the ord...

Fatal motor vehicle crashes per capita remained relatively stable over the 1990s, in spite of new traffic safety laws and vehicle innovations. One explanation for this stability is that the price of gasoline declined, which resulted in more vehicle miles traveled and potentially more fatalities. By using 1983-2000 monthly gasoline price and fatality panel data and fixed effects specifications, ...

This paper presents a recombining trinomial tree for valuing real options with changing volatility. The trinomial tree presented in this paper is constructed by simultaneously choosing such a parameterization that sets a judicious state space while having sensible transition probabilities between the nodes. The volatility changes are modeled with the changing transition probabilities while the ...

I propose a stylized model of the house-selling process in which sellers possess incomplete information regarding the state of the housing market. Consistent with the data, the model generates a negative correlation between house prices and time on market. This result is robust to the presence of real estate agents with complete information. I construct a measure of homeowner perceptions of hou...

This paper analyzes optimal hedging of a tradable risk (e.g. price risk or exchange rate risk) with forward contracts in the presence of untradable in ation risk. Utility is de ned over real wealth. Optimal forward positions are derived relative to a given initial exposure in the tradable risk. A nominally unbiased forward market usually implies a non-zero real risk premium and hence some risk ...

We conducted preference assessments with 4 typically developing children to identify potential reinforcers and assessed the reinforcing efficacy of those stimuli. Next, we tested two predictions of economic theory: that overall consumption (reinforcers obtained) would decrease as the unit price (response requirement per reinforcer) increased and that the cost and benefit components that defined...