14 research outputs found
Pricing A Pig In A Poke: Endogenous Valuations And Storage Unit Auctions
Storage unit auctions have recently received widespread attention from reality shows and “get rich easy” business models. This study examines the pitfalls associated with winning storage unit auctions, commonly observed bidding strategies, participant behavior and auction methods. Storage unit auctions present a classic example of endogenous valuation using incomplete information and imperfect secondary markets. The examination of the contents of a storage unit auction yields a novel use for the facility and sheds light on the process that leads to a lien and sale
The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications
Variance ratio unit root tests, TAR, STAR, Size distortion, Low power, Yield spread, C12, C22,
Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study
In this paper we test empirically the validity of the law of one price using data for five major bilateral US dollar exchange rates and nine goods sectors during the recent floating exchange rate regime since the early 1970s. Using threshold autoregressive models, we find strong evidence of nonlinear mean reversion in deviations from the law of one price with plausible convergence speeds. Consistent with theoretical arguments on international goods markets arbitrage under transactions costs and with an emerging strand of empirical literature, these results contribute towards forming a consensus view in favor of discrete regime switching in deviations from the law of one price and the presence of differing nonzero transactions costs across a broad range of goods and countries. (C) 2003 Elsevier Ltd. All rights reserved
Real exchange rate, stationarity, and economic fundamentals
PPP, Regime Switching, Real Interest Rate Differential, Real Output Differential, F31, C22, F41,