North American Oriented Strand Board Markets, Arbitrage Activity, and Market Price Dynamics: a Smooth Transition Approach
نویسندگان
چکیده
Price dynamics for North American oriented strand board markets are examined. The role of transactions costs are explored vis-à-vis the law of one price. Nonlinearities induced by unobservable transactions costs are modeled by estimating time-varying smooth transition autoregressions (TV-STARs). Results indicate that nonlinearity and structural change are important features of these markets; price parity relationships implied by economic theory are generally supported by the estimated models. Implications for the efficiency of spatial market linkages and the dynamics associated with price adjustments are also examined.
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Market price dynamics for North American oriented strand board markets are examined. Specifically, the role of transactions costs are examined vis–à–vis the law of one price. Weekly data for the January 3rd, 1995 through April 14th, 2006 period are used in the analysis. Nonlinearities induced by unobservable transactions costs are modelled by estimating smooth transition autoregressions (STARs)...
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تاریخ انتشار 2011