The Long‐Run and Short‐Run Impact of Captive Supplies on the Spot Market Price: An Agent‐Based Artificial Market

AbstractHow will the novel coronavirus evolve? I study a simple epidemiological model, in which mutations may change the properties of the virus and its associated disease stochastically and antigenic drifts allow new variants to partially evade immunity. I show analytically that variants with higher infectiousness, longer disease duration, and shorter latent period prove to be fitter. “Smart” containment policies targeting symptomatic individuals may redirect the evolution of the virus, as they give an edge to variants with a longer incubation period and a higher share of asymptomatic infections. Reduced mortality, on the other hand, does not per se prove to be an evolutionary advantage. I then implement this model as an agent-based simulation model in order to explore its aggregate dynamics. Monte Carlo simulations show that a) containment policy design has an impact on both speed and direction of viral evolution, b) the virus may circulate in the population indefinitely, provided that containment efforts are too relaxed and the propensity of the virus to escape immunity is high enough, and crucially c) that it may not be possible to distinguish between a slowly and a rapidly evolving virus by looking only at short-term epidemiological outcomes. Thus, what looks like a successful mitigation strategy in the short run, may prove to have devastating long-run effects. These results suggest that optimal containment policy must take the propensity of the virus to mutate and escape immunity into account, strengthening the case for genetic and antigenic surveillance even in the early stages of an epidemic.

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Analysis of Dairy Product Price Transmission in Hungary: A Nonlinear ARDL Model

Agriculture ◽

10.3390/agriculture10060217 ◽

2020 ◽

Vol 10 (6) ◽

pp. 217

Author(s):

Marwa Ben Abdallah ◽

Maria Fekete Farkas ◽

Zoltan Lakner

Keyword(s):

Dairy Product ◽

Market Price ◽

Price Transmission ◽

Distributed Model ◽

Product Price ◽

Asymmetric Transmission ◽

Nonlinear Ardl ◽

Long Run ◽

Short Run ◽

Nardl Model

This paper addresses the assessment of the price transmission of dairy products in Hungary. Monthly prices are used in testing the hypothesis of asymmetric price transmission between farmers and retailers. The magnitude of short- and long-run asymmetric transmission between price levels is measured through a nonlinear autoregressive distributed model (NARDL). The cointegration of variables is validated through bounds test of the NARDL model. The estimated NARDL model proves the existence of long- and short-run asymmetric relationships between producer milk price and most retailer dairy product prices. Furthermore, the model confirms the presence of a significantly positive long-run price asymmetry for butter, buttercream, sour cream, and Trappista cheese. The positive long-run price transmission asymmetry results could be explained by the strong market power of milk processors, which are granted through their concentrations and the absence of competitiveness in the market. The short-run asymmetry of price transmission could be explained by implementing some policy interventions, such as the milk quotas, which limit milk production. Analyzing the asymmetric relationship between the producer milk price and the retailer dairy product prices could give a clear vision of the dairy sector and how prices move between market actors, highlighting the retailers’ purchasing power feature, and its role in determining the market price interaction.

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Rationally Irrational?

10.1093/oso/9780190492908.003.0004 ◽

2018 ◽

Author(s):

Dov Cohen ◽

Ivan Hernandez ◽

Karl Gruschow ◽

Andrzej Nowak ◽

Michele J Gelfand ◽

...

Keyword(s):

Population Dynamics ◽

Agent Based Models ◽

Agent Based ◽

Negative Reciprocity ◽

Long Run ◽

Short Run ◽

Over Time

A commitment to honor is a commitment to irrationality—at least in the short-run—because it involves defending one’s honor, regardless of stakes or cost. Yet, circumstances giving rise to honor cultures—lawless environments, portable (easy-to-steal) wealth—create milieus where people must appear tough to deter predators. Thus, what seems irrational in the short-run may be rational in the long-run. This chapter describes three agent-based models exploring when an honor stance is advantageous and examining population dynamics of strategies in the environment. Models track empirical observations well. Further, models highlight: how prosocial reciprocity (not just vengeance) is crucial for honor to thrive; how positive and negative reciprocity become correlated over time in honor cultures; the rise of a strategy opposite to honor and how honor and its opposite exist symbiotically; how evolution cannot be outsmarted but can be “outdumbed”; cycling of strategies’ popularity; and Child × Environment interactions producing drift.

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13. The economics of monopoly abuse

Competition Law of the EU and UK ◽

10.1093/he/9780198725053.003.0013 ◽

2019 ◽

pp. 301-308

Author(s):

Sandra Marco Colino

Keyword(s):

Market Price ◽

Expert Witnesses ◽

Relevant Market ◽

Strategic Behaviour ◽

Privileged Position ◽

Competitive Price ◽

Long Run ◽

Short Run ◽

The Eu ◽

Competition Enforcement

This chapter considers the economics of monopoly abuse. A monopolist is a firm which is the sole supplier in a relevant market. Monopolists are able to determine the market price. This will be higher than the competitive price, with the quantity supplied being lower. This situation leads to a loss of welfare to society as a whole, and also a redistribution of income from some of the monopolist’s customers to the monopolist. The monopolist may also engage in wasteful strategic behaviour to protect its privileged position. In both the EU and UK regimes, competition enforcement is largely complaint driven. This forces the courts, and therefore economists as expert witnesses, to consider the (anti-)competitive impact of short-run activity that might be expected to have little in the way of long-run repercussions.

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Aggression, Conflict, and the Formation of Intimidating Group Reputation

Social Psychology Quarterly ◽

10.1177/0190272519882389 ◽

2020 ◽

Vol 83 (1) ◽

pp. 70-87 ◽

Cited By ~ 1

Author(s):

Aron Szekely ◽

Giulia Andrighetto ◽

Nicolas Payette ◽

Luca Tummolini

Keyword(s):

Agent Based Simulation ◽

Agent Based ◽

Prison Gangs ◽

Conflict Situations ◽

Long Run ◽

Short Run ◽

Group Survival ◽

Group Reputation ◽

Influence Behavior ◽

Individual Reputation

From inmates in prison gangs to soldiers in elite units, the intimidating reputation of groups often precedes its members. While individual reputation is known to affect people’s aggressiveness, whether one’s group reputation can similarly influence behavior in conflict situations is yet to be established. Using an economic game experiment, we isolate the effect of group reputation on aggression and conflict from that of individual reputation. We find that group reputation can increase the willingness to inflict costs on others but only when individuals are able to punish their fellow members. Even if internal discipline can sustain their shared reputation, more intimidating groups provide fewer benefits to their members in the short run. Using an agent-based simulation, we show that this might not be the case in the long run. Our findings yield insights into the effects of group reputation on aggression, conflict, and possible consequences for group survival.

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Price Discovery and Market Efficiency of Commodities Futures Market in India- A Cointegration and Causality Analysis

International Journal of Financial Management ◽

10.21863/ijfm/2015.5.2.008 ◽

2015 ◽

Vol 5 (2) ◽

Author(s):

Shaik Masood ◽

T. Satyanarayana Chary

Keyword(s):

Market Efficiency ◽

Price Discovery ◽

Spot Market ◽

Futures Market ◽

Commodity Futures ◽

Causality Analysis ◽

Long Run ◽

Integration Test ◽

Short Run

The paper studies the Indian commodity futures market in order to determine the price discovery, long run market efficiency and short run dynamics in futures market using by time series analysis tools. To test the market efficiency and long run equilibrium, tools like Engle and Granger co-integration test (1987) and Johansen co-integration test (1988) have been applied. The Granger Causality (1969) test is used test the market efficiency to infer cause and affect relationship between spot and futures market in India. To examine efficiency of commodity futures and spot market the MCXs1 four spot and futures commodity indices data are used. The paper observes that the role of commodity futures is very significant in price discovery, and improving efficiency of the market.

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THE IMPACT OF BANKS' CAPITAL ADEQUACY REGULATION ON THE ECONOMIC SYSTEM: AN AGENT-BASED APPROACH

Advances in Complex Systems ◽

10.1142/s0219525912500403 ◽

2012 ◽

Vol 15 (supp02) ◽

pp. 1250040 ◽

Cited By ~ 27

Author(s):

ANDREA TEGLIO ◽

MARCO RABERTO ◽

SILVANO CINCOTTI

Keyword(s):

Financial Institutions ◽

Banking System ◽

Capital Adequacy ◽

Credit Channel ◽

Crucial Issue ◽

Agent Based ◽

Long Run ◽

Short Run ◽

Endogenous Money ◽

The Impact

Since the start of the financial crisis in 2007, the debate on the proper level leverage of financial institutions has been flourishing. The paper addresses such crucial issue within the Eurace artificial economy, by considering the effects that different choices of capital adequacy ratios for banks have on main economic indicators. The study also gives us the opportunity to examine the outcomes of the Eurace model so to discuss the nature of endogenous money, giving a contribution to a debate that has grown stronger over the last two decades. A set of 40 years long simulations have been performed and examined in the short (first five years), medium (the following 15 years) and long (the last 20 years) run. Results point out a non-trivial dependence of real economic variables such as the gross domestic product (GDP), the unemployment rate and the aggregate capital stock on banks' capital adequacy ratios; this dependence is in place due to the credit channel and varies significantly according to the chosen evaluation horizon. In general, while boosting the economy in the short run, regulations allowing for a high leverage of the banking system tend to be depressing in the medium and long run. Results also point out that the stock of money is driven by the demand for loans, therefore supporting the theory of endogenous nature of credit money.

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Skills, Innovation, and Growth: An Agent-Based Policy Analysis

Jahrbücher für Nationalökonomie und Statistik ◽

10.1515/jbnst-2008-2-307 ◽

2008 ◽

Vol 228 (2-3) ◽

Cited By ~ 9

Author(s):

Herbert Dawid ◽

Simon Gemkow ◽

Philipp Harting ◽

Kordian Kabus ◽

Michael Neugart ◽

...

Keyword(s):

Policy Outcome ◽

Skill Levels ◽

Agent Based ◽

Market Effects ◽

Long Run ◽

Wide Range ◽

Short Run ◽

Policy Measures ◽

Policy Types ◽

Geographical Dimension

SummaryWe develop an agent-based macroeconomic model featuring a distinct geographical dimension and heterogeneous workers with respect to skill types. The model, which will become part of a larger simulation platform for European policymaking (EURACE), allows us to conduct exante evaluations of a wide range of public policy measures and their interaction. In particular, we study the growth and labor market effects of various policy types that promote workers’ general skill levels. Using a calibrated model it is examined in how far effects differ if spending is uniformly spread over all regions in the economy or focused in one particular region.We find that the geographic distribution of policy measures significantly affects the effects of the policy even if total spending is kept constant. Focussing training efforts in one region is the worst policy outcome while spreading funds equally across regions generates a larger output in the long-run but not in the short-run.

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The Role of Speculative Factor in the Indonesian Stock Price Determination

Economics and Finance in Indonesia ◽

10.7454/efi.v61i1.498 ◽

2015 ◽

Vol 61 (1) ◽

pp. 69

Author(s):

Soemarso Slamet Rahardjo

Keyword(s):

Stock Price ◽

Market Price ◽

Price Determination ◽

Vector Error Correction ◽

Vector Error ◽

Long Run ◽

Expected Gain ◽

Short Run ◽

Auto Regressive ◽

Speculative Behavior

This study observes the speculative element in the price determination and its mean reverting pattern. The existence of speculative element in the Indonesian stock market price determination was proven. Exponential Generalized Auto Regressive Conditional Heteroscedasticity (EGARCH) method indicates the non-stationary process of the residuals. There are systematic as well as unsystematic component embedded in the speculative behavior. Vector Error Correction Model (VECM) concludes that prices contain volatilities in the short run, but, it will revert to the mean in the long run. Investors’ behavior are neutral toward expected gain vis a vis losses in a stock trading.

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The Lead and Lag Relationship Between Spot Market and Futures Market: Empirical Evidence From Vietnam

Research in World Economy ◽

10.5430/rwe.v11n5p192 ◽

2020 ◽

Vol 11 (5) ◽

pp. 192

Author(s):

Nguyen Anh Phong ◽

Ho Thi Hong Minh ◽

Ngo Phu Thanh ◽

Tran Nguyen Thanh Son

Keyword(s):

Stock Exchange ◽

Impulse Response Function ◽

Spot Market ◽

Futures Market ◽

Spot Price ◽

Future Price ◽

Causality Test ◽

Long Run ◽

Integration Test ◽

Short Run

This study investigates the lead and lag relationship between Spot market and Futures market in Vietnam. In this study, we employ the data collected from stock-related database in Ho Chi Minh Stock Exchange and Ha Noi Stock Exchange. The data of daily closing prices of VN30 index (the spot price) and VN30F1M (the 1-month future price of VN30 index) are then collected. We apply various methods, namely: Granger causality test, Johansen co-integration test, Vector Error Correlation Model, Impulse Response Function and Variance Decomposition. The result of this paper is consistent with previous research. It finds strong evidence that Spot market leads Futures market in Vietnam stock market in both the short-run and long-run. Therefore, Spot market play a discovery role in which investors can obtain useful information from Spot market to improve their portfolio profit and minimize the risk. Besides, regulators can rely on this finding to come up with better policies and further develop Futures market.

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