the first and the second conditional moments. To reveal long run price discovery we compute the common factor weights … futures market to be the leader of the long run price discovery process whereas a bidirectional short run causality structure …

Motivated by stylized facts pointing to a dominant role of imported inputs in transmitting external price shocks to … approach constructs effective input price indices from sector-level price data combined with sector-level information on input …

, supply and inventory shocks. We document how gas price fluctuations have a heterogeneous pass-through to euro area prices …

periods characterized by sustainable linear trends in the difference between the headline consumer price index (CPI) and the … the evolution of motor fuel price (a subcategory of the consumer price index of transportation) relative to the core CPI … as a linear function of time. Under our framework, all price deviations from this linear trend are transient and the …

the high-frequency EUA price dynamics are very well captured by a fractionally integrated asymmetric power GARCH process … economic development as well as the current economic activity. -- EU ETS ; EUA ; Announcement Effects ; Price Formation ; Long …

). Since its launch, the corresponding price has shown rather turbulent dynamics, including nervous reactions to policy … announcements and a price collapse after a visible over-allocation in Phase I. As a consequence, the question whether fundamental … factors (fossil fuel prices, economic activity, weather) affect the EUA price remained partially unresolved. Today, being …

We develop an information risk measure (ECIN) based on the price discovery of large trades. As the price series of … large trades and small trades are cointegrated, the price discovery of trades can be easily estimated via the vector error …-correction model (VECM). Intuitively, we use the VECM to study how a temporary gap between the large trade price and the small trade …