Using one-minute oil, gold and copper futures price from September 27, 2009, to July 1, 2020, this paper examines the effects of systematic idiosyncratic (market-specific risk) jumps on intraday correlations, portfolio allocation decisions, diversification benefits. We identify that these commodities contain high proportions market-specific discontinuities, which do not translate into jumps. Co...

Firms sometimes write price lists or catalogs for their exports, so they set prices for a period of time and do not adjust prices during that interval in response to changes in their environment. The firm sets the price either in its own currency or the importer’s currency. This paper draws a simple link between the choice of currency and the pricing decision of a firm that changes prices in re...

Traditionally, policymakers and financial markets have regarded the “core” consumer price index (CPI) as a key inflation indicator. The core CPI, a special index published by the Bureau of Labor Statistics (BLS), excludes the volatile prices of food and energy. In excluding these components, BLS recognizes that prices that swing dramatically in response to unusual shifts in weather and other un...

For utility maximization problems under proportional transaction costs, it has been observed that the original market with transaction costs can sometimes be replaced by a frictionless shadow market that yields the same optimal strategy and utility. However, the question of whether or not this indeed holds in generality has remained elusive so far. In this paper we present a counterexample whic...

This paper examines the equilibrium growth effect of money/inflation within a standard one-sector AK model of endogenous growth with the most generalized cash-in-advance constraint and wealth-enhanced preferences for social status. We show that the sign for the correlation between money and output growth depends crucially on (i) the liquidityconstrained ratio of consumption to investment expend...

Modified BG Prasad socioeconomic scale is widely used to determine the socioeconomic status of study subjects in health studies in India. It is an income-based scale and, therefore, has to be constantly updated to take inflation and depreciation of rupee into account. The Consumer Price Index (CPI) for industrial workers (IW) is used to calculate updated income categories for January 2014. Deta...

Abstract Using two basic assumptions of time series analysis, a test is proposed to assess the quality of seasonal adjustment of a series. The test is applied to several seasonally adjusted series of the Consumer Price Index (CPI) using three methods of seasonal adjustment: State Space Model Based Method (SSMB), TRAMO SEATS Method and X12ARIMA method. The empirical results are presented along w...

A shadow price is a process S̃ lying within the bid/ask prices S, S of a market with proportional transaction costs, such that maximizing expected utility from consumption in the frictionless market with price process S̃ leads to the same maximal utility as in the original market with transaction costs. For finite Ω, this note provides an elementary proof for the existence of such a shadow price.

We study a competitive supply marketplace where multiple suppliers offer a single nondifferentiated product to multiple buyers. Within this multi-supplier, multi-buyer marketplace, each buyer chooses the supply partner that serves the buyer’s order profile, described by his order size and delivery frequency, with the best price. Suppliers differ from each other in terms of their logistic cost s...