This paper develops an equilibrium model of a competitive futures market in which investors trade to hedge positions and to speculate on their private information. Equilibrium return and trading patterns are examined. ~1! In markets where the information asymmetry among investors is small, the return volatility of a futures contract decreases with time-to-maturity ~i.e., the Samuelson effect ho...

According to Balassa-Samuelson hypothesis which explains real exchange rate movements by productivity differences between tradable and non-tradable sectors, an increase in the relative of sector leads a appreciation domestic currency. In this study, we analyze whether is valid employing recent panel data tehniques for set covering 25 OECD countries period 1990-2016. To aim, effect sectoral on e...

It is conventional wisdom that richer countries have a higher price level than poorer countries. This paper provides evidence that the price-income relationship is non-linear and that it turns negative, or at best flat, in low income countries. The result is robust along both cross-section and time-series dimensions. Additional robustness checks show that biases in PPP estimation and measuremen...

We study the optimal provision of public goods in the context of a special class of altruistically linked utility functions. We show that the usual Samuelson condition holds as if the utility functions were independent.

Article history: Received 9 May 2012 Received in revised form 8 August 2013 Accepted 8 August 2013 Available online 27 August 2013 The paper examines the Canada–US real exchange rate since the early 1970s to test two popular explanations of the long-run real exchange rate based on the influence of sectoral productivities and commodity prices. The empirical analysis finds that both variables exe...

Using the self-selection approach to tax analysis within an OLG framework, the paper examines optimal non-linear labour and capital income taxation and the provision of a durable public good. Under endogenous wages, the marginal tax rules depend on the influence of the tax instruments on self-selection and on the income earning abilities of the households. In particular, we found that productio...

In electricity markets, futures contracts typically function as a swap since they deliver the underlying over period of time. this paper, we introduce market price for delivery periods swaps, thereby opening an arbitrage-free pricing framework derivatives based on these contracts. Furthermore, use weighted geometric averaging artificial corresponding period. Without any need approximations, res...