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Arbitrage in commodity markets : a full systems cointegration analysis

Rünstler, Gerhard; Jumah, Adusei; Karbuz, Sohbet - 1995

The study investigates long-run relationships between futures and spot prices of cocoa on the New York CSCE and London Fox, respectively, and between both markets. By means of the Johansen Maximum Likelihood approach and the inclusion of interest rates as conditioning variables, the three...

Persistent link: https://www.econbiz.de/10009693161

Voluntary contributions to a public good when partial contribution is a dominant strategy

Keser, Claudia - 1995

We present an experiment on voluntary contributions to a public good. The game has a dominant strategy solution in the interior of the strategy space. In the experiment we observe significant over-contribution. This result is similar to those of the typical corner solution experiments. --...

Persistent link: https://www.econbiz.de/10009693162

Random walks in stock exchange prices and the Vienna Stock Exchange

Huber, Peter - 1995

This paper uses the multiple variance ratio test procedure developed by Chow and Denning (1993) to test for a random walk of stock returns on the Austrian Stock Exchange. I find that with daily data the test rejects the random walk hypothesis at all conventional significance levels for each and...

Persistent link: https://www.econbiz.de/10009693164

Housing markets and vacant land

Keuschnigg, Christian; Nielsen, Søren Bo - 1994

The paper examines land use in an urban zone. We propose a partial equilibrium model of housing markets with both vacant and built up land. The existing literature assumes building decisions to be irreversible and treats any given stock of vacant land as an exhaustible resource. By way of...

Persistent link: https://www.econbiz.de/10009693167

A combined Ricardian and Heckscher-Ohlin model of comparative advantage

Leamer, Edward E. - 1995

The Heckscher-Ohlin theory and the Ricardian theory of international commerce traditionally have been treated as … integrated theory. This paper combines the Heckscher-Ohlin model and Ricardian model into a single unified framework and offers …

Persistent link: https://www.econbiz.de/10009693899

On the role of seasonal intercepts in seasonal cointegration

Franses, Philip Hans; Kunst, Robert M. - 1995

In the paper we consider the role of seasonal intercepts in seasonal cointegration analysis. For the nonseasonal unit root, such intercepts can generate a stochastic trend with a drift common to all observations. For the seasonal unit roots, however, we show that unrestricted seasonal intercepts...

Persistent link: https://www.econbiz.de/10009693901

Gift exchange and reciprocity in competitive experimental markets

Fehr, Ernst; Kirchsteiger, Georg; Riedl, Arno - 1995

One of the outstanding results of three decades of laboratory market research is that under rather weak conditions prices and quantities in competitive experimental markets converge to the competitive equilibrium. Yet, the design of these experiments ruled out gift exchange or reciprocity...

Persistent link: https://www.econbiz.de/10009693902

Hard bargains and lost opportunities

Binmore, Ken; Prouix, Chris; Samuelson, Larry; … - 1995

We examine an Outside Option Game in which player I submits a claim for a share of a cake while player II simultaneously either makes a claim or chooses to opt out. If player II opts out, then she receives an opt-out payment while player I receives nothing. If player II opts in and if the claims...

Persistent link: https://www.econbiz.de/10009693904

Forecasting seasonally cointegrated systems : supply response in Austrian agriculture

Jumah, Adusei; Kunst, Robert M. - 1995

This paper examines the relevance of incorporating seasonality in agricultural supply models. Former studies have eliminated the problem of seasonality by using seasonally adjusted data. Recent developments in cointegration techniques allow the comprehensive modelling of error-correcting...

Persistent link: https://www.econbiz.de/10009693905

Comparative advantage in international trade : theory

Ursulescu, Mirela - 1996

Based on the Heckscher-Ohlin-Vanek (H-O-V) theory, the paper develops theoretical models that lead to estimating cross …-industry equations in a proper way, when allowing for departures from some of the strong assumptions of the H-O theory, such as perfect … reformulate the rank hypotheses that allow for direct tests of the H-O-V theory when some of the assumptions of the original …

Persistent link: https://www.econbiz.de/10009696686