An information transaction entails the purchase of information. Formally, it consists of an information structure together with a price. We develop an index of the appeal of information transactions, which is derived as a dual to the agent’s preferences for information. The index of information transactions has a simple analytic characterization in terms of the relative entropy from priors to p...

Consider any investor who fears ruin facing any set of investments that satisfy no-arbitrage. Before investing, he can purchase information about the state of nature in the form of an information structure. Given his prior, information structure α is more informative than information structure β if whenever he rejects α at some price, he also rejects β at that price. We show that this complete ...

In this paper, we empirically investigate the relationship between oil price changes and output in a group of oil exporting countries. The dynamics of business cycles in Libya, Saudi Arabia, Nigeria, Kuwait, Venezuela and Qatar are modeled by alternative regime switching models. We show that the extension of uni-variate Markov Switching model in order to include oil revenue improves dating busi...

Oil price shocks are the major source of economic instability in oil exporting developing countries, including Iran. In this paper a Multi Sector Dynamic Stochastic General Equilibrium model, with emphasis on optimization of oil sector as a producing sector is designed. Furthermore, an optimizing import sector is introduced into the model by considering the price rigidity in imported goods as a...

This paper sets up and estimates a continuous-time stochastic volatility model using panel data of soybean futures and options in an integrated time-series study. The model of commodity price dynamics is within the class of affine asset pricing models, and option prices are determined using a standard inversion of characteristic functions approach. Our modeling acknowledges that commodities exh...

This paper sets up and estimates a continuous-time stochastic volatility model using panel data of soybean futures and options in an integrated time-series study. The model of commodity price dynamics is within the class of affine asset pricing models, and option prices are determined using a standard inversion of characteristic functions approach. Our modeling acknowledges that commodities exh...

T he study seeks to investigate both linear and nonlinear effects of oil price movement on critical macroeconomic variables (output, price and exchange rate) in Nigeria using ARDL modeling approach. Previous studies substantially relied on linear methods using VAR approach to unravel this links without a clear conclusion. In an attempt to seek better results in this study, we employ both l...

We examine the price dynamics in Indian cities using cointegration analysis. We identify and then calculate a common trend for prices in these 25 cities. We obtain the impulse response functions to calculate the rates of convergence to the prices, and find that the half-life of any shock is very small for Indian cities. Although a close to three-month half-life seems too fast, there are some in...

Eigenvectors of adjacency matrices are useful as measures of centrality or of status. However, they are misapplied to asymmetric networks in which some positions are unchosen. For these networks, an alternative measure of centrality is suggested that equals an eigenvector when eigenvectors can be used and provides meaningfully comparable results when they cannot. © 2001 Elsevier Science B.V. Al...