WITHDRAWN: Dynamic price discovery in the onshore and offshore Renminbi exchange rates

2019 ◽  
pp. 123375
Author(s):  
Yan Qian ◽  
Zijun Wang
Keyword(s):  
Exchange Rates ◽  
Price Discovery ◽  
Dynamic Price

scholarly journals Dynamic price relationships and price discovery among cheese markets

2020 ◽  
pp. 1-13
Author(s):  
Hernan A. Tejeda ◽  
Man-Keun Kim
Keyword(s):  
Price Discovery ◽  
The United States ◽  
Relative Price ◽  
Cottage Cheese ◽  
Correction Model ◽  
Vector Error Correction ◽  
Dynamic Price ◽  
Vector Error ◽  
Price Relationship ◽  
Price Relationships

The United States (U.S.) cheese sector has been steadily growing throughout the years. Since 1980, U.S. consumers have doubled their annual consumption of cheese, currently at about 37.9 lbs. per capita in 2018 excluding cottage cheese. Cheese varieties are generally classified as American type (Cheddar, Monterey and others), Italian type (Mozzarella and others), and Other type (Swiss, Muenster and others) since they serve different markets. American cheese is consumed regularly in hamburgers, sandwiches and in similar settings. Italian cheese is typically consumed in pizzas, pasta and Italian cuisine. Despite the burgeoning growth in cheese demand, there has been no study addressing the dynamic price relationship among different varieties of cheese. This study investigates the price discovery process among cheese varieties: Cheddar, Mozzarella, Swiss, Muenster, and Monterey by using a vector error correction model and standard innovation accounting. Results indicate relative price interaction among different varieties of cheese, providing empirical evidence of some decouplment or separation among American (Cheddar and Monterey), Italian (Mozzarella), and Other type (Swiss). An exemption is Muenster which despite being classified as Other type of cheese responds to American’s Cheddar.

scholarly journals Dynamic Price Discovery Process of Chinese Agricultural Futures Markets: An Empirical Study Based on the Rolling Window Approach

2019 ◽  
Vol 51 (04) ◽  
pp. 664-681 ◽  
Author(s):  
Yuanyuan Xu ◽  
Fanghui Pan ◽  
Chuanmei Wang ◽  
Jian Li
Keyword(s):  
Futures Markets ◽  
Price Discovery ◽  
Cointegration Analysis ◽  
Agricultural Policies ◽  
Dynamic Price ◽  
Rolling Window ◽  
Agricultural Futures ◽  
Stabilization Policies ◽  
The Difference ◽  
Window Approach

AbstractWe investigate the dynamic evolution of the price discovery function in Chinese agricultural futures markets using a newly developed rolling window cointegration approach. The results show that, compared with wheat and rice, the futures-spot cointegration relationship in the soybean and corn markets tends to be more durable and frequent. Dynamic cointegration analysis indicates that the recent market-oriented reforms in China have boosted the price discovery function of soybean and corn futures markets, whereas price stabilization policies tend to weaken the price discovery function of futures markets. The difference in price discovery function is attributed to differences in market mechanisms and Chinese agricultural policies.

Evidences for Price Discovery between On- and Off-shore Won/Dollar Spot, Forward and NDF FX Rate

2016 ◽  
Vol 24 (2) ◽  
pp. 339-363
Author(s):  
Ki Beom Binh ◽  
Sang-min Lee ◽  
Won Seop Lee
Keyword(s):  
Financial Markets ◽  
Exchange Rates ◽  
Price Discovery ◽  
Mutual Influence ◽  
Dollar Spot ◽  
Information Share ◽  
Global Crisis ◽  
Exchange Rate Fluctuations ◽  
Spot Exchange Rate ◽  
Fx Market

Using Hasbrouck’s (1995, 2002) information share method, we examine the mutual price discovery dynamics among Won/Dollar spot, forward, and NDF exchange rates in on- and off-shore FX markets. Our findings include : (i) During the entire period, the mutual price discovery between on-shore FX market and off-shore NDF market are significantly led by on-shore Won-Dollar spot and forward exchange rates. (ii) Within the period around the global crisis, NDF exchange rates have mutual influence on the price discovery, which is expecially greater than the any other period. The results show Won-Dollar spot exchange rate fluctuations during the global crisis are greatly affected by external factors of the international financial markets. Not only that, but off-shore NDF trading promptly reflects the price information of KRW on the factors.

scholarly journals Time-varying arbitrage and dynamic price discovery

2018 ◽  
Vol 91 ◽  
pp. 485-502 ◽  
Author(s):  
Bart Frijns ◽  
Remco C.J. Zwinkels
Keyword(s):  
Price Discovery ◽  
Time Varying ◽  
Dynamic Price
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