Price Cycles Research Articles

Study of cyclic price volatility for fish products in Russia

The purpose of the work: to test the hypothesis about the existence of periodically changing price volatility over time and to determine the key characteristics of this process.Methods used: decomposition of price dynamics for the main types of fish products in Russia with the allocation and analysis of its components; to construct a model describing the trajectory of price changes, the provisions of the spider web theory were used, in particular, the Kagan model, transformed into the harmonic oscillator model.Results: it was found that prices for fish products in the Russian Federation, in addition to the general upward trend, also have cyclical volatility and are subject to shock changes from time to time; the parameters of price fluctuations were determined.Scientific novelty: A nonlinear model has been developed that reflects in aggregate form the influence of endogenous and exogenous factors on prices for fish products. The model describes cyclical price changes in the form of relaxation fluctuations.Practical significance: The study of the recessive characteristics of price volatility made it possible to identify the key parameters of possible measures of industry policy. These measures can become part of the socioeconomic policy.

Convergence in House Price Cycles across the US: Recent Developments and the Impact of Covid

Convergence in House Price Cycles across the US: Recent Developments and the Impact of Covid

Geopolitical risk and energy price crash risk

This paper explores the link between geopolitical risks and energy prices crash risk. Studying energy price crashes is important given the sharp fall in oil prices in 2008 and 2014. The analysis focuses on three energy markets: natural gas, oil, and coal, while it employs two measures: the negative coefficient of skewness and the down-to-up volatility, to construct proxies for crash risks. The period of examination is January 2000 to December 2023, whereas that for coal is January 2010 to December 2023. The study employs a modified version of the smooth transition autoregressive model. The results show that, within the modelling framework, coal and oil crash risks are driven by the cyclical behavior of geopolitical acts, whereas natural gas crash risks by geopolitical threats. Causality tests confirm the prediction that geopolitical tensions cause crash risks in energy markets. The results also confirm that the “Economic Activity Channel” is only valid for energy markets driven by geopolitical threats. Energy market regulators should be concerned about crash risks, given that the energy supply shows cyclical boom and bust cycles in prices and production. Crash risks could also potentially cause a fall in investments required to enhance energy efficiency.

Homeowners’ financial vulnerability over the house price cycle

Abstract This paper investigates the financial vulnerability dynamics of indebted homeowners over the housing cycle using an agent-based housing market model, calibrated with UK microdata. The findings suggest that financial vulnerability is primarily driven by house purchases and dissaving due to a wealth effect on consumption. The former is more important during house price upswings, while the latter becomes significant at high price levels. Additionally, current vulnerability is path-dependent on previous purchases at high prices, as these purchases, due to a wealth effect, result in temporarily elevated consumption and consequently reduced financial buffers.

Equity crowdfunding IPOs: Under or overpricing? The case of Poland as an example of quickly catching up economy

Research background: The majority of research on equity crowdfunding concerns its evolution in developed countries. There are still relatively few works devoted to equity crowdfunding in developing regions, including Poland. Taking this into account and the lack of research on the effectiveness of ECF-based IPOs, there is a research gap that this article is trying to fill. This paper also contributes to the extensive literature dealing with the occurrence of the IPO underpricing phenomenon and focuses on a regional study on IPO underpricing in the still niche ECF-based IPOs. Purpose of the article: The article aims to show the development of equity crowdfunding in Poland. The article also aims to (i) evaluate the effectiveness of debuts of companies that raised funds (and thus carried out their IPOs) using ECF platforms, and (ii) find the determinants of ECF-based IPOs performance. Methods: The model for testing the potential determinants of ECF-based IPO performance is based on univariate linear regressions measuring the relationship between a dependent variable which stands for ECF-based IPO underpricing and one independent variable (chosen from a set of potential explanatory variables. Findings & value added: The article shows that since 2020 ECF has become an important source of financing for listed SMEs in Poland. Based on the stylized fact on the risk-return tradeoff, it is assumed that ECF-based IPOs are more underpriced than IPOs of other companies to attract investors. The paper revealed that the effectiveness of ECF-based IPOs has mainly the cyclical nature and it depends on the stock price cycle. ECF-based IPOs are more underpriced then other IPOs only in the bull market while in the bear market they are more overpriced. To the best of my knowledge, this is the first study to explore the performance of ECF-based IPOs. Although this paper focuses on Poland, it opens the potential for broader global research in this area. The article can also hold significant practical value for all participants of the ECF market.

Shaped by boom-and-bust: a history of the Canadian mining industry since 1859

ABSTRACT This article is concerned with the historical evolution of the mining industry in Canada since 1859. The focus is directed on changes that occurred in the industry and allows for the identification of four distinct mining regimes. These regimes are defined using the Regulation Theory, which connects conditions of production, technical progress, financial structures, and social relations. The identification of regimes gives a portrait of continuity and change in the industry. Continuity is present in the active role of the state, the legal framework based on Free Mining Principle and persistent speculation in the industry. Change is illustrated in price cycle, labour share and technological innovation. Interestingly, through time, price cycles have very different outcomes in financial and real economic terms. The most recent upswing in the late 1990s resulted in a punctual increase of financial assets but no significant increase in employment. Through this discussion, it becomes evident that the mechanisms underlying continuity and change have implications on the nature of state intervention and on the distribution of power between the corporate and regional actors like the workers and indigenous communities.

How the War between Russia and Ukraine Caused a Multi-Cycle in the Polish Housing Market

We examine the effects of the war between Russia and Ukraine on the housing market in the six largest cities in Poland and explain how these effects emerged. Since Poland’s transition to a market economy and its accession to the EU, Poland has experienced normal cycles in house prices, i.e. relatively long periods of increases in house prices followed by similarly long periods of decreases in house prices. However, the combination of the COVID-19 pandemic and the war between Russia and Ukraine created a situation that can be described as a multi-cycle. The pandemic initially halted nearly all transactions on the market, but after a few quarters of fiscal and monetary intervention aimed at saving the economy we observed a housing boom. Just a few quarters later, the Russian aggression in Ukraine caused significant inflation, which required a sharp increase in interest rates, and once again demand slowed down. This was followed just a few quarters later by a resurgence in house purchases in order to escape inflation, with many people using cash for these purchases. This situation has shaken the housing market, while the war has also generated a demographic shock. Construction and transportation workers began returning to Ukraine to help in its reconstruction, while women with children came to Poland from Ukraine seeking safety and creating a demand for rental housing.

Economic Analysis of Canadian Oil Sands Projects at Different Participation Timings Considering the Oil Price Cycle

Economic Analysis of Canadian Oil Sands Projects at Different Participation Timings Considering the Oil Price Cycle

Five themes of U.S. home price cycles: a dynamic modelling approach

Five themes of U.S. home price cycles: a dynamic modelling approach

Cycles and self-fulfilling crises in open economies with stock collateral constraints under impatience

This paper analytically characterizes an infinite-horizon open economy with agents that are impatient relative to the market under a stock collateral constraint, whereby borrowing is collateralized by capital assets. Households can enjoy an unconstrained allocation under a long-run depression. However, under a stable output path, the constraint binds infinitely often, leading, in all periods, to reduced debt and deflated asset prices relative to the unconstrained allocation. Under plausible parametrizations, two and three-period cycles in consumption, debt, and asset prices can emerge under constant output. Further, high indebtedness can allow for multiple equilibria.

Myopic oligopoly pricing

This paper examines capacity-constrained oligopoly pricing with sellers who seek myopic improvements. We employ the Myopic Stable Set solution concept and establish the existence of a unique pure-strategy price solution for any given level of capacity. This solution is shown to coincide with the set of pure-strategy Nash equilibria when capacities are large or small. For an intermediate range of capacities, it predicts a price interval that includes the mixed-strategy support. This stability concept thus encompasses all Nash equilibria and offers a pure-strategy solution when there is none in Nash terms. It particularly provides a behavioral rationale for different pricing patterns, including Edgeworth price cycles and states of hyper-competition with supply shortages. We also analyze the impact of a change in firm size distribution. A merger among the biggest firms may lead to more price dispersion as it increases the maximum and decreases the minimum myopically stable price.

Seasonal Swings and Graphical Tale of Growth and Productivity of Wheat in Gujarat State in Comparison with National Market (India)

This study comprehensively analyzes the growth and variability in the area, production, and productivity of wheat, a staple food grain in Gujarat state, India, for the period 2001-2022. Wheat holds significant importance in India's agricultural landscape, being one of the staple crops vital for food security. Gujarat, known for its diverse agro-climatic conditions, plays a pivotal role in contributing to the nation's wheat production. Understanding the seasonal dynamics, growth patterns, and productivity trends of wheat in Gujarat which is the broader national market provides valuable insights into the agricultural dynamics of the region. Utilizing exponential fitting and statistical regression techniques, the research presents compound growth rates for India and Gujarat, revealing significant positive correlations between wheat cultivation area, production, and productivity. Graphical representations depict trends and fluctuations, highlighting periods of deviation from trend lines. Instability analyses for India and Gujarat shed light on the consistency and fluctuations in wheat cultivation, production, and productivity. Additionally, the study explores seasonal variations in wheat prices across markets in Gujarat, providing insights into intra-year price cycles and coefficient variations. The findings contribute valuable insights into the dynamics of wheat agriculture in Gujarat, offering implications for policy and agricultural practices.

Assessing Dubai’s housing market price cycles and bubble risk

ABSTRACT This study investigates the presence of a real estate bubble in Dubai’s housing market, considering the recent surge in prices. Using monthly city-level housing price data and a recursive unit root test designed for real-time bubble detection, the study covers the period from 2008 to the second half of 2023. The findings reveal that, despite the recent price increases, there is no significant evidence of a real estate bubble in Dubai’s property market. This suggests that no substantial price correction is expected in the near term, which is crucial given the heightened financing costs and potential impact of rising interest rates.

House price cycles, housing systems, and growth models

The paper provides a framework for theorising the role of house price cycles in national growth models. We synthesise Minskyan approaches with comparative political economy (CPE) by arguing that institutions influence the extent to which countries experience what we call ‘house-price-driven growth models’. First, we argue that house price dynamics have been undertheorised in existing growth models analysis. Finance-led models can be properly understood only against the background of rising house prices that stimulate consumption through wealth effects and investment through construction. Second, we identify behavioural and Minskyan theories of housing cycles as suitable frameworks to theorise the impact of housing on growth. However, this literature does not provide an analysis of cross-country differences in housing cycles. Third, drawing on the CPE literature on housing systems, we argue that factors such as private homeownership and mortgage-credit encouraging institutions can explain differences in the intensity of housing cycles. We provide preliminary empirical support for this framework from a cross-country analysis. Our results show strong cross-country heterogeneity in the intensity of housing cycles. Countries with more intense house price cycles also tend to exhibit more volatile business and debt cycles. Homeownership rates and mortgage-credit encouraging institutions are positively correlated with the volatility of house price cycles.

The influence of the Ukraine-Russia conflict on renewable and fossil energy price cycles

This study investigates the impact of the Ukraine-Russia conflict on energy cycles by extending a business cycle-based approach in the energy sector. We employ the Markov Switching Bayesian Vector Autoregressive (MS-BVAR) model to derive filtered probabilities that represent energy cycles. By utilizing the Russia Economic Policy Uncertainty Index and dummy variables derived from Google search data as conflict indicators, we conduct regression analysis and examine the generalized impulse response function to assess the effects of the conflict on energy cycles. Our research reveals notable differences in renewable and fossil energy price cycles. The renewable price cycle exhibits greater persistence, indicating a limited response to the conflict shock. In contrast, the fossil energy price cycle exhibits more significant and enduring adjustments in high- and low-volatility regimes. These findings highlight the heterogeneous impacts of the Ukraine-Russia conflict on the fossil energy market, indicating potential disruptions in supply chains and market sensitivities. Notably, fossil energy prices demonstrate higher responsiveness to the Ukraine-Russia conflict across market conditions.

Reallocation and productivity in resource-rich economies

I study the firm-level dynamic response of a commodity-exporting economy to global cycles in commodity prices. I propose a heterogeneous-firms model endogenizing manufacturing productivity slowdowns through reallocation towards less productive firms. Within a given sector, commodity booms reallocate market share away from exporters because of exchange rate appreciation and away from capital-intensive firms because of the increase in the required rate of return to capital. Using microdata for Chile, the largest copper producer worldwide, I provide empirical evidence for these channels. When fed with the commodity super-cycle of 2004–2012, the calibrated model generates between 13% to 32% of the observed productivity slowdown.

Commodity Prices and the US Business Cycle

This article explores the relationship between commodity price cycles and the US business cycle. Commodity price cycles are known to foster capricious macroeconomic activity, and understanding their behaviour offers valuable economic insight. The US business cycle is a key indicator of the broader economic conditions, reflecting changes in economic activity, consumer spending, and overall market conditions. By examining the dynamics and interplay between these two cycles, this study provides insights into the potential synchronisation, lag, or lead between commodity price cycles and the US business cycle. The study employs a Fourier analysis of commodity price cycles and the US business cycle. In addition, the same empirical method will be used to analyse historical rainfall patterns in the US as a means of furthering the role of historical rainfall patterns in shaping agricultural productivity and subsequent price movements. Results show dominant cycles of 14.2 years throughout the commodity price dataset, 3.8 years within the US business cycle, and 14.2 years in US historical rainfall patterns. The study also identifies several factors that influence the relationship between these two cycles, including global demand, trade policies, and financial market fluctuations.

Oil discovery, boom‐bust cycle and manufacturing slowdown: Evidence from a large industry level dataset

AbstractWe investigate the effects of giant oil discovery and boom‐bust price cycle on manufacturing using a large dataset of up to 49,481 two‐digit industry‐years across 136 countries over the period 1962 to 2012. We find that oil discovery reduces growth in manufacturing value added and wages. The effect on employment is insignificant. We also find strong association between oil discovery and manufacturing slowdown episodes. Oil price boom and bust both negatively affects manufacturing perhaps due to increasing input cost (boom) and declining demand (bust). We do not find any evidence in favour of a real exchange rate appreciation driven effect as outlined in standard Dutch Disease models. We speculate that the effect is primarily driven by an increase in the cost of locally sourced manufacturing input.

Bringing Household Finance Back In: House Prices and the Missing Macroeconomics of Comparative Political Economy

This article makes a key contribution to the comparative political economy literature by accounting for the macroeconomic role of household finance. Based on post-Keynesian theories of finance and the financialization literature, we place house prices and mortgage credit squarely at the center of the macroeconomy, as speculative house price cycles can facilitate homeowner consumption via the use of equity release mortgages. Through an econometric evaluation of eighteen advanced economies from 1980 to 2019, we demonstrate that household debt is determined by house price inflation, and that rising household debt contributes to GDP growth, while business debt has negative growth effects. These results are consistent across countries with different growth models and financial systems. This suggests that the varieties of capitalism's focus on corporate finance is misplaced and that the growth models approach needs a theory of house prices, mortgage credit, and financial cycles to adequately conceptualize how debt-driven growth operates across advanced economies.

Taming the housing roller coaster: The impact of macroprudential policy on the house price cycle

Employing an agent-based model of the Spanish housing market, this paper explores the main drivers behind the large amplitude of the Spanish house price cycle—as compared to most other European countries—, as well as the scope for macroprudential policy to reduce this amplitude. First, we exploit the availability of a previous calibration to the UK, characterised by a smaller house price cycle, to show the prominent role played by the distributions of various mortgage risk metrics: loan-to-value, loan-to-income and debt-service-to-income ratios. Second, we use the model to calibrate both a hard loan-to-value and a soft loan-to-income limit to smooth the Spanish house price cycle and match the amplitude of the UK equivalent. Finally, we characterise the effects of these calibrated policies over the different phases of the cycle, finding both instruments to reduce credit and price growth during the expansionary phase as well as to reduce their decline during the contractionary phase. Moreover, both instruments lead to a compositional shift in lending: the loan-to-value policy from first-time buyers to buy-to-let investors and the loan-to-income policy from both first-time buyers and home movers to buy-to-let investors.