The aim of this study was to investigate the asymmetric effects of exchange rate fluctuations on Stock index of Tehran Stock Exchange. For this purpose, we first calculated the exchange rate fluctuations using model General Autoregressive Conditional Heteroskedastic (GARCH), and then the effect of these fluctuations on the Stock index of Tehran Stock Exchange was estimated using the Generalized...

This study focuses on examining the interrelationship between consumer and producer prices within framework of fragile five scope asymmetric models. Considering 2010:M1-2021:M8 period, TAR M-TAR cointegration error correction models were used in study. The results analysis indicated that there was no asymmetrical relationship CPI PPI for Brazil India, while it pointed to an long-term South Afri...

It has been documented that retail gasoline prices respond more quickly to increases in wholesale price than to decreases. However, there is very little theoretical or empirical evidence identifying the market characteristics responsible for this behavior. This paper presents a new theoretical model of asymmetric adjustment that empirically matches observed retail gasoline price behavior better...

While much of the trade liberalisation literature analyses liberalisation effects on trade volumes, we postulate the implications of trade liberalisation for price transmission and market integration between tomato producer and consumer markets under a high and a reduced period of agricultural, import tariffs in Ghana. Our objective is to determine whether price transmission and thus the factor...

This paper empirically investigates the cause of asymmetric pricing: retail prices responding faster to cost increases than decreases. Using daily price data for over 11,000 retail gasoline stations I find that prices fall slower than they rise as a consequence of firms extracting informational rents from consumers with positive search costs. Premium gasoline prices are shown to fall slower tha...

This paper presents a dynamic asset-pricing model under asymmetric information. Investors have different information concerning the future growth rate of dividends. They rationally extract information from prices as well as dividends and maximize their expected utility. The model has a closed-form solution to the rational expectations equilibrium. We find that existence of uninformed investors ...