Books in Prices business fluctuations and cycles

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Pricing and Price Regulation

• 1st Edition
• Volume 34
• December 6, 2014
• D. Bös
• English
• eBook 978-0-08-051470-3

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This clear, precisely written text presents an important branch of the modern, micro-economically based theory of industrial organization and of public finance, utilizing calculus only.Answers are provided to some pertinent economic questions, such as the pricing policies of vote-seeking politicians, of empire-building bureaucrats and of out-put-maximizing and energy-saving public utilities. These policies are compared with the welfare economic benchmark rules e.g. on marginal cost pricing and Ramsey pricing. Great significance is attached to price regulation.The book elucidates the recent replacement of rate of return regulation by price-cap regulation. It also explains why many simple rules like yardstick regulation fail to achieve optimal prices, which shows how complicated it is to induce managers to truthfully reveal their private information. How this can be achieved properly is shown in various principal-agent models on regulation with uncertain costs, uncertain demand and with soft budget constraints.

Price Expectations in Rising Inflation

• 1st Edition
• Volume 152
• June 28, 2014
• I. Visco
• English
• eBook 978-1-4832-9583-1

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It is claimed in this book that expectations should not necessarily be treated as unobservable variables and that there is much to be learned from survey data. A unique data set is examined, the output of surveys conducted twice a year since 1952, among informed Italian businessmen and economic experts. The predictive accuracy, rationality and determinants of inflation expectations are investigated, following an extensive analysis of measurement issues.The estimate of inflation expectations are evaluated for both wholesale and consumer price changes, comparing them with those held by respondents to other surveys for different countries and with the forecasts generated by alternative predictors of the inflation process. The expectations considered in the study are shown to be remarkably accurate, anticipating all major price changes, even if during the years of high and rising inflation which have followed the first oil crisis they appear to underestimate on a number of occasions the inflation rates actually experienced, as the alternative predictors also do.An accurate testing of the rational expectations hypothesis is conducted, rejecting it over the entire sample period but not for the period of mild, but variable inflation which preceded the first oil crises.It is shown that a mixed adaptive-regressive model, with both error-learning and return-to-normality components adapts very well to the data considered in this study and that inflation expectations are also influenced by an uncertainty component which affects the adaptive coefficient. Furthermore, regression towards normality is slowed down when industrial capacity is utilized above normal, and vice-versa. Many other issues such as the dispersion of individual answers, the problems of aggregation and measurement error are also considered and an extensive bibliography of other works where use is made of direct information on expectations, is included.

Multifractal Volatility

• 1st Edition
• September 2, 2008
• Laurent E. Calvet + 1 more
• English
• Hardback 978-0-12-150013-9

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• eBook 978-0-08-055996-4

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Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters.

Price Level Measurement

• 1st Edition
• Volume 196
• June 12, 1988
• W.E. Diewert
• English
• eBook 978-1-4832-9584-8

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Among the theoretical issues covered in this volume are the "economic" and the "axiomatic" or "test" approaches to the problem of constructing and choosing among alternative cost-of-living index formulas; "bounds" and "econometric" alternatives for developing empirically computable approximations of theoretically desirable indexes; recommendations concerning the incorporation of leisure time in measures of the cost-of-living; and the formulation of social and group cost-of-living indexes. The Jorgenson-Slesnick paper also presents a far-reaching empirical study of price changes in the U.S.The importance of this book to those with an interest in economic theory is obvious. However, this book also holds out the opportunity and challenge to applied researchers to gain a deeper understanding of the index numbers of which they make daily use.