Noisy Vertical Markets
In vertical markets volatility at one level of the market may transmit itself to another level. This paper examines the linkages that exist between spreads at different levels of the market hierarchy in Indian rice markets. It highlights the behavior of spreads in the presence of information asymmetry. This causes spreads to overshoot their equilibrium values. Second, we model possible differences between the reaction to an upward revision of the spread from that to a downward revision. We also propose policy prescriptions such that the policy maker can target specific levels of the market verticality given an understanding of the process of transmission and the magnitude of noise trading.
|Date of creation:||2002|
|Contact details of provider:|| Postal: Crawford Building, Lennox Crossing, Building #132, Canberra ACT 2601|
Phone: +61 2 6125 4705
Fax: +61 2 6125 5448
Web page: https://crawford.anu.edu.au/acde/asarc/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Robert A. Buckle & John A. Carlson, 2000.
"Inflation and Asymmetric Price Adjustment,"
The Review of Economics and Statistics,
MIT Press, vol. 82(1), pages 157-160, February.
- Buckle, R-A & Carlson, J-A, 1996. "Inflation an Asymmetric Price Adjustment," Papers 96-013, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER).
- Escribano, Alvaro & Pfann, Gerard A., 1998. "Non-linear error correction, asymmetric adjustment and cointegration," Economic Modelling, Elsevier, vol. 15(2), pages 197-216, April.
- Pfann, Gerard & Escribano, Álvaro, 1991. "Nonlinear error correction, asymmetric adjusment and cointegration," UC3M Working papers. Economics 2807, Universidad Carlos III de Madrid. Departamento de Economía.
- Mira, Santiago & Escribano, Álvaro, 1997. "Nonlinear error correction models," DES - Working Papers. Statistics and Econometrics. WS 6206, Universidad Carlos III de Madrid. Departamento de Estadística.
- Alvaro Escribano & Santiago Mira, 2001. "Nonlinear error correction models," Documentos de trabajo conjunto ULL-ULPGC 2001-03, Facultad de Ciencias Económicas de la ULPGC.
- Granger, C W J & Lee, T H, 1989. "Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages 145-159, Supplemen.
- Jha, Raghbendra & Murthy, K. V. B. & Nagarajan, Hari K. & Seth, Ashok, 1999. "Components of the wholesale bid-ask spread and the structure of grain markets: the case of rice in India," Agricultural Economics, Blackwell, vol. 21(2), pages 173-189, October.
- Jha, Raghbendra & Murthy, K.V.B. & Nagarajan, Hari K. & Seth, Ashok, 1999. "Components of the wholesale bid-ask spread and the structure of grain markets: the case of rice in India," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 21(2), October.
- Jha, R. & Murthy, K.V.B. & Nagarajan, H.K. & Seth, A.K., 1998. "Components of the Wholesale Bid-Ask Spread and the Structure of Grain Markets: The Case of Rice in India," Papers 143, Indira Gandhi Institute of Development Research-.
- Sam Peltzman, 2000. "Prices Rise Faster than They Fall," Journal of Political Economy, University of Chicago Press, vol. 108(3), pages 466-502, June.
- Sam Peltzman, 1998. "Prices Rise Faster Than They Fall," University of Chicago - George G. Stigler Center for Study of Economy and State 142, Chicago - Center for Study of Economy and State.
- Alan S. Blinder, 1994. "On Sticky Prices: Academic Theories Meet the Real World," NBER Chapters,in: Monetary Policy, pages 117-154 National Bureau of Economic Research, Inc.
- Steven Cook & Sean Holly & Paul Turner, 1999. "DHSY revisited: the role of asymmetries," Applied Economics, Taylor & Francis Journals, vol. 31(7), pages 775-778.
- von Cramon-Taubadel, Stephan, 1998. "Estimating Asymmetric Price Transmission with the Error Correction Representation: An application to the German Pork Market," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 25(1), pages 1-18.
- Philip R. Vande Kamp & Harry M. Kaiser, 1999. "Irreversibility in Advertising-Demand Response Functions: An Application to Milk," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 81(2), pages 385-396.
- N. Gregory Mankiw, 1994. "Monetary Policy," NBER Books, National Bureau of Economic Research, Inc, number greg94-1. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:pas:asarcc:2002-04. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Raghbendra Jha)
If references are entirely missing, you can add them using this form.