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Spatial and inter-temporal price ana...
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Han, Shengfei.
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Spatial and inter-temporal price analysis: Including risk perceptions and dynamic trade flow information.
紀錄類型:
書目-電子資源 : Monograph/item
正題名/作者:
Spatial and inter-temporal price analysis: Including risk perceptions and dynamic trade flow information./
作者:
Han, Shengfei.
面頁冊數:
121 p.
附註:
Source: Dissertation Abstracts International, Volume: 64-07, Section: A, page: 2590.
Contained By:
Dissertation Abstracts International64-07A.
標題:
Economics, Agricultural. -
電子資源:
http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3098426
Spatial and inter-temporal price analysis: Including risk perceptions and dynamic trade flow information.
Han, Shengfei.
Spatial and inter-temporal price analysis: Including risk perceptions and dynamic trade flow information.
- 121 p.
Source: Dissertation Abstracts International, Volume: 64-07, Section: A, page: 2590.
Thesis (Ph.D.)--Oregon State University, 2003.
A regime-switching model for market integration study is extended to incorporate dynamic trade flow information and risk perceptions based on an expected utility framework. An application of the extended model to the US-China soybean markets analysis shows that: One, the positive arbitrage rent uncounted-for in the extended model has been substantially reduced compared to the results from previous models. Two, dynamic trade information modeling provides more accurate information about market integration conditions. Three, inclusion of variables derived from the mean-variance expected utility function representing risk factors may help correct the weakness of the price relationship model in revealing the causes of observing or failure to observe the law of one price. Finally, US-China soybean markets are found to be integrated most of the time. However, significant deviations from efficient arbitrage are also detected.Subjects--Topical Terms:
626648
Economics, Agricultural.
Spatial and inter-temporal price analysis: Including risk perceptions and dynamic trade flow information.
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