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An econometric analysis of the effects of market liberalization on price dynamics and price volatility

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Author Info
Jean-Paul Chavas ()
Kwansoo Kim

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File URL: http://hdl.handle.net/10.1007/s00181-005-0015-8
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Publisher Info
Article provided by Springer in its journal Empirical Economics.

Volume (Year): 31 (2006)
Issue (Month): 1 (March)
Pages: 65-82
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Handle: RePEc:spr:empeco:v:31:y:2006:i:1:p:65-82

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Related research
Keywords: Price dynamics; Censored regression; Market liberalization; Price volatility; D4; C5; Q0;

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  1. Robinson, P M & Bera, Anil K & Jarque, Carlos M, 1985. "Tests for Serial Dependence in Limited Dependent Variable Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(3), pages 629-38, October. [Downloadable!] (restricted)
  2. Potter, Simon M., 2000. "Nonlinear impulse response functions," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1425-1446, September. [Downloadable!] (restricted)
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  3. Morgan, I G & Trevor, R G, 1999. "Limit Moves as Censored Observations of Equilibrium Futures Price in GARCH Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(4), pages 397-408, October.
  4. Lee, Lung-fei, 1999. "Estimation of dynamic and ARCH Tobit models," Journal of Econometrics, Elsevier, vol. 92(2), pages 355-390, October. [Downloadable!] (restricted)
  5. Pesaran, M Hashem & Samiei, Hossein, 1992. "An Analysis of the Determination of Deutsche Mark/French Franc Exchange Rate in a Discrete-Time Target-Zone Model," Economic Journal, Royal Economic Society, vol. 102(411), pages 388-401, March. [Downloadable!] (restricted)
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  6. Shonkwiler, J S & Maddala, G S, 1985. "Modeling Expectations of Bounded Prices: An Application to the Market for Corn," The Review of Economics and Statistics, MIT Press, vol. 67(4), pages 697-702, November. [Downloadable!] (restricted)
  7. Holt, Matthew T & Johnson, Stanley R, 1989. "Bounded Price Variation and Rational Expectations in an Endogenous Switching Model of the U.S. Corn Market," The Review of Economics and Statistics, MIT Press, vol. 71(4), pages 605-13, November. [Downloadable!] (restricted)
  8. Nerlove, Marc & Fornari, Ilaria, 1998. "Quasi-rational expectations, an alternative to fully rational expectations: An application to US beef cattle supply," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 129-161. [Downloadable!] (restricted)
  9. M. Hashem Pesaran & Hossein Samiei, 1991. "Estimating Limited-Dependent Rational Expectations Models: With an Application to Exchange Rate Determination in a Target Zone," UCLA Economics Working Papers 612, UCLA Department of Economics. [Downloadable!]
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This page was last updated on 2009-12-4.

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