|
on Market Microstructure |
| By: | Aichele, Markus F. |
| Abstract: | Commodity markets are characterized by large volumes of forward contracts as well as high volatility. They are often accused of weak competitive pressure. This article extends the existing literature by analyzing tacit collusion of firms, forward trading and volatility simultaneously. The expected collusive pro t may depart from the monopoly outcome in a volatile market (Rotemberg and Saloner, 1986). Introducing forward trading enables firms to gain the expected monopoly pro t for a broader range of parameters. In contrast to a deterministic market (Liski and Montero, 2006), trading forward in a volatile market may lead to an expected collusive pro t below the monopoly one. |
| Keywords: | Industrial organization,Forward trading,Collusion,Energy Markets |
| JEL: | L13 |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:tuewef:75&r=mst |
| By: | Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš |
| Abstract: | We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations across a number of investment horizons between pairs of assets is a dominant feature during times of economic downturn and financial turbulence for all three pairs of the assets under research. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase and become homogenous: the timing differs for the three pairs but coincides with the structural breaks that are identified in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different-investment-horizons perspective, all three assets could be used in a well-diversified portfolio only during relatively short periods. |
| Keywords: | financial markets,time-frequency dynamics,gold,oil,stocks,high-frequency data,dynamic correlation,financial crisis,wavelets |
| JEL: | C01 C13 C58 F37 G11 G15 |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:fmpwps:14&r=mst |
| By: | Veronica Guerrieri; Robert Shimer |
| Abstract: | This paper explores price formation when sellers are privately informed both about their preferences and the quality of their asset. In equilibrium, sellers recognize that it will be harder to sell their asset at higher prices, while buyers recognize that they will get higher quality assets on average at higher prices. There are many equilibria of this model, including one in which all trade takes place at one price. Under a behavioral restriction, we find a unique semi-separating equilibrium in which trade takes place over an interval of prices. We characterize necessary and sufficient conditions for this equilibrium to be Pareto optimal. Even though the semi-separating equilibrium allows for more trading opportunities, it may be Pareto dominated and may have less trade than the one-price equilibrium. |
| JEL: | D82 G12 |
| Date: | 2014–10 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:20623&r=mst |