We examine the linkages between dark and lit venues using a proprietary data set. We find that algorithmic trades for less liquid stocks are correlated with higher spreads and price impact, as well as contemporaneous trading on the lit venues. Also, signed trades for these stocks predict future...

This paper compares the P-bar model of price adjustment with the currently dominant Calvo specification. Theoretically, the P-bar model is more attractive as it depends on adjustment costs for physical quantities rather than nominal prices, while incorporating a one-period information lag....

Nominal exchange rate volatility has been greater than that of "fundamentals" supposed to establish the exchange rates. A major contribution to our understanding of this volatility was given by Rudiger Dornbusch in his 1976 paper "Expectations and Exchange Rate Dynamics", where stickiness of...

This paper examines the role of disequilibrium conditions in influencing price adjustment processes in developing countries. Measures of real and financial sector disequilibrium are constructed for a sample of 58 developing countries over the period 1973-1998 using structural VAR methodology....

Market price cointegration is a critical issue in Nepalese vegetable industry. This study intended to analyze the market price cointegration of tomato and its effect on Nepalese farmers, using secondary monthly time series of wholesale price data (since 2000 to 2010) of the Government of Nepal....

In this paper, we suggest an algorithm for price adjustment towards a partial market equilibrium. Its convergence properties are crucially based on Convex Analysis. Our price adjustment corresponds to a subgradient scheme for minimizing a special nonsmooth convex function. This function is the...

This article addresses the recent red meat price spikes in Turkey, using contemporary time-series analysis. The arguments point to the impact of low milk prices that led to liquidation of dairy herds and decline of beef prices initially due to the liquidation and increased meat supply, and...

The objective of this paper is to develop and test empirically a new model of imperfect price adjustment. The new model offers two extensions of classical models. First, it allows for a variable proportion of price-setters adjusting their prices at any given period. Second, the duration of...

use large datasets on prices by products and stores from recent inflationary periods in Israel to compare simple menu cost models with simple uncertain and sequential trade (UST) models. The main empirical findings are (a) price erosion due to inflation explains only a tiny fraction of the...