The digital revolution of pricing enables retailers to change their prices more frequently than ever before. While the industry endorses this development, critics fear it could foster excessive price fluctuations. This paper studies price fluctuations in the context of brick-and-mortar retailing...

During the Great Moderation, macroeconomic volatility declined while firm markups increased. We document a causal relationship between volatility and markups due to tacit collusion. We exploit the legalisation of interstate banking as an exogenous decrease in volatility. Using an instrumental...

This paper studies asymmetric price responses of individual firms, via daily retail prices of almost all gasoline stations in the Netherlands and suggested prices of the five largest oil companies over more than two years. I find that 38% of the stations respond asymmetrically to changes in the...

The degree of endemic volatility in the number of firms and establishments varies considerably across industries. Examining the within-industry range of variation (max.-min.) of the number of firms over our sample period, the low and high values across U.S. manufacturing industries are 4 and...

This paper investigates producer-consumer price volatility in four meat markets in Greece: beef, pork, lamb and poultry. The methodology followed in this paper to measure price volatility is that of the diagonal VEC (DVEC) model of Bollerslev, et al (1988) while that of decomposing the estimated...

We examine day-trading activities for 540 stocks traded on the Korea Stock Exchange using transactions data for the period from 1999 to 2000. Our cross-sectional analysis reveals that day-traders prefer lower-priced, more liquid, and more volatile stocks. By estimating various bivariate VAR...

Using OLS, ARIMA and Change Point Analysis, this paper empirically analyzes the time series relation between oil price and production and explore various kinds of model that can be utilized to overcome statistical problems and to understand the relationship in Saudi Arabia, one of the fastest...

This paper studies asymmetric price responses of individual firms, via daily retail prices of almost all gasoline stations in the Netherlands and suggested prices of the five largest oil companies over more than two years. I find that 38% of the stations respond asymmetrically to changes in the...

We construct a dynamic monopolistic competition model with heterogeneous firms to study the links between firms' earnings volatility, the degree of financial constraints that they face, their survival probabilities, and their export market participation decisions. Our model predicts that more...