Relative Price Risk

This paper uses hedonic regression techniques to analyze timber bid transactions in central Georgia. Softwood stumpage prices from pay-as-cut transactions are regressed against timber sale and stand characteristics. We identify observable factors that are statistically associated with the volatility of pine sawtimber stumpage prices in the market. The remaining price volatility, defined as market risk, characterizes undiversifiable price volatility in the market. Isolating market risk in this way has implications for relative price risk across predefined timber markets. Applications of this these techniques suggest that analyzing market price variability with total measures alone, such as standard deviation, may provide false senses of timber price risk.

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A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence

The American Economic Review ◽

10.1257/aer.98.1.474 ◽

2008 ◽

Vol 98 (1) ◽

pp. 474-495 ◽

Cited By ~ 122

Author(s):

Marjorie Flavin ◽

Shinobu Nakagawa

Keyword(s):

Asset Pricing ◽

Housing Price ◽

Adjustment Costs ◽

Portfolio Allocation ◽

Relative Price ◽

Adjustment Cost ◽

Price Risk ◽

Financial Assets ◽

Habit Persistence ◽

Over Time

The paper provides a model of household consumption and portfolio allocation which incorporates housing as both a consumption good and a component of wealth. Household utility depends, possibly nonseparably, on two goods: nondurable consumption, which is costlessly adjustable, and housing, which is subject to a nonconvex adjustment cost. Households face housing price risk in the sense that the relative price of housing varies over time, and can invest in a wide variety of financial assets in addition to housing. This single, reasonably tractable, model generates testable implications for portfolio allocation, risk aversion, asset pricing, and the dynamics of nondurable consumption. (JEL D14, G11, R21)

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Transmission of futures prices to the Italian spot market: Are there opportunities to hedge corn price risk?

ECONOMIA AGRO-ALIMENTARE ◽

10.3280/ecag2018-002005 ◽

2018 ◽

pp. 193-204

Author(s):

Samuele Trestini ◽

Carlotta Penone

Keyword(s):

Spot Market ◽

Price Risk ◽

Futures Prices

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Competitive and Complementary Relations in International Travel: The Case of British Travel to Cyprus

Journal of Business and Economics ◽

10.15341/jbe(2155-7950)/05.10.2019/004 ◽

2019 ◽

Vol 10 (5) ◽

pp. 395-420

Author(s):

Petros Anastasopoulos ◽

Keyword(s):

Strong Association ◽

International Travel ◽

Relative Price ◽

Annual Data ◽

Export Demand ◽

Relative Prices ◽

Vector Error Correction ◽

Vector Error ◽

The Mediterranean ◽

Demand Equations

This is an econometric analysis of demand for travel to Cyprus by Britons. We examined the competitive and complementary relations between travel to Cyprus and other well-established travel destinations in the Mediterranean basin. Because many package tours include several countries in their destinations within a given journey, and because individual travelers find it more advantageous to visit more than one country in a single trip, it may be meaningful to examine international travel within the contest of groups of countries rather than a single country competing for international travelers. Specifically, we provide an analysis of the competitive and complementary relations existing between the tourism sectors of Cyprus and that of Greece, Spain and Portugal for British travelers. We provide estimates of income and relative price elasticities based of export demand equations upon annual data from 1980-2016. We tested for the stationarity of the variables and derived estimates of the Vector Error Correction Model (VECM). These tests confirm a strong association between the incomes of Britons and their decision to travel to Cyprus. Furthermore, we show the relative prices between Cyprus and other competing destinations in the Mediterranean to play an important role in determining British travel to Cyprus.

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