This paper introduces a dynamical extension to the theoretical framework proposed by Slim (2009), where the author analyzes price formation in illegal markets. We develop a simple model with two regimes that can show a rich variety of dynamic behaviors, such as cyclical or even chaotic...

The recent global increases in fuel prices threaten the gains in poverty reduction that countries like Paraguay have achieved over the past few decades. Therefore, policy makers must understand the potential distributional impacts of increases in fuel prices to evaluate the implementation of...

This article considers cointegration analysis to detect key features of long‐run structure in the gasoline market. The main purpose of this study is to investigate possible long‐run price leadership in the US gasoline market and the characteristics relevant to a competitive market using the...

We study a competitive market for a homogeneous good, in which the only uncertainty concerns the number of identical sellers, who are sampled by a finite Poisson process from a continuum of potential participants. It is shown that, in equilibrium, there is price dispersion. Specifically, prices...

Using a model of dynamic price competition, this paper provides an explanation from the supply side for the well-established observation that retail prices adjust faster when input costs rise than when they fall. The opportunity of profitable storing for the next period induces competitive firms...

This study investigates the relationship between crude oil price and petrol price, as well as their behavior using daily U.S. price series in the period from January 11, 1988 to May 20, 2011. We find that uni-variate GARCH (1,1) is likely the most suitable model to measure the volatility of...

This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we estimate the effects of oil price shocks on the price...

The use of corn for ethanol has been the topic of heated discussions in the media and among policy makers. As part of this debate, some observers have argued that the use of corn in the production of ethanol has had adverse effects on corn prices. This paper contributes to this reviving debate...

Despite an extensive literature on contributing factors to the high commodity prices and volatility in the recent years, few have examined these causal factors together in one analysis. We quantify empirically the relative importance of three factors -global demand, speculation, and energy...