Real Prices Research Articles

Increasing willingness to pay in the food supply chain: a blockchain-oriented trust approach

Food products' quality information is advertised on labels but do customers trust them? This study investigates how the consumers' Willingness-To-Pay (WTP) for food products can be increased by deploying managerial effort and advanced technologies, such as the Blockchain Technology (BT). Our model explains how revealing verified information about product quality throughout the supply chain will generate optimal consumers' WTP and maximise profit. At each echelon of a multi-echelon supply chain, a buyer holds a Bayesian belief about the quality of the input to be procured. This belief is shaped by the accuracy and veracity of the information about this quality. Managerial effort is required both to enhance quality as well as ensure full and verified information. We show why this effort must be made across the chain and how opportunistic behaviour may be circumscribed. Using empirically grounded analytics and real prices of olive oil intermediate produce from various official bodies, we show how the application of BT may be financially justified. This research shows how trust and WTP can be further enhanced through the use of BT and additional smart technologies in a supply chain, which may be projected on other supply chains of organic and sustainable food products.

Assessing proxies for market prices of thinly traded assets with scheduled cash flows

Pseudo-market prices of infrequently traded assets with scheduled cash flows – commercial real estate appraisals and matrix prices of commercial mortgage backed securities – are compared against a VAR model to assess the extent to which these widely-used proxies are grounded in economic fundamentals. Property appraisals fail to fully incorporate the economic fundamentals underlying commercial real estate transactions. During the financial crisis, CMBS matrix prices captured underlying economic fundamentals and exhibited little pricing bias. However, matrix prices no longer exhibited such economic discipline after the financial crisis. Incorporating VAR forecasts considerably improves the predictive ability of appraisals and matrix prices.

The Impact of Oil Prices on the Import of Capital Goods in Azerbaijan

The article studies theoretical and practical aspects of the oil prices impact on the import of capital goods in an oil-exporting country. Based on the two-step Engel-Granger procedure for cointegration analysis, the relationship between the real volume of imported capital goods per capita and the real price of Azeri light oil is examined. It has been determined that the real volume of imported capital goods per capita is highly dependent on the oil price, and the volatility of the oil price also affects the volatility of imports of capital goods. This also shows that investment activity in the country depends on oil prices. Therefore, it is necessary to spend oil revenues, regardless of oil prices, depending on the economic development goals and to pursue policies to transform oil revenues into stable growth factors.

Do higher global oil and wheat prices matter for the wheat flour price in Lebanon?

AbstractThis article investigates the effect of global oil and wheat prices, and local price shocks on the real price of wheat flour in Lebanon. We estimate a structural vector autoregressive model with exogenous variables (SVARX) using Bayesian methods. We then compute the impulse response functions and find that global commodity price shocks play a trivial role. Meanwhile, local gasoline price and wheat flour price‐specific shocks trigger large increases in the Lebanese wheat flour price on impact. Furthermore, since 2020, local gasoline price and wheat flour price‐specific shocks have contributed the most to the historical variation in the Lebanese wheat flour price.

Factors affecting the profitability of wheat production in the states of Guanajuato and Nuevo Leon, Mexico

The objective of this research was the analysis of the main factors involved in the profitability of bread wheat in the states of Guanajuato and Nuevo León, Mexico. To obtain the information, semi-structured interviews were applied to key informants who indicated the context of the crop in their region. In order to estimate profitability, production performance and costs production were determined. The production cost information, for the two Mexican states, was obtained through the producer panels methodology in 2019. Producers were asked about the costs expended in land preparation, cultivation inputs, harvest and others such as water, electricity and financial rights. In addition, wheat yields and the price received per ton sold at the market. It was noticed that Nuevo León and Guanajuato have an agro-industrial infrastructure that demands Mexican wheat. In each state, the profitability of the crop depends on a number of factors such as the planting system and the production technology used; but in all the places studied, bread wheat had positive profitability. However, there are high production costs and a continuous deterioration of the real prices of the product. It is necessary to develop soft wheat varieties that adapt to rainfall conditions for agricultural regions where wheat cultivation is under those conditions. Although Mexico is self-sufficient in the production of flour, each year it is necessary to import an additional volume of bread-making wheat since Mexican industry is deficient facing the high demand for bread production.

주택매매시장에서의 거품에 관한 실증연구

This study examines the monthly real house price index movements over the period 1986-2023 using the GSADF method to determine whether bubbles existed in the Korean housing market, where they occurred, when they occurred, and how long they lasted by housing type (total, apartment, detached house, and townhouse). We summarise the main findings from our empirical analysis as follows. First, there were multiple bubbles in housing prices across the nationwide, Seoul, and all provincial metropolitan areas. However, there are many differences in how bubbles occurred across regions and types of housing. Second, the post-bubble period lasted much longer in the detached house market than in the apartment and row house markets. Third, many housing market bubbles occurred during periods of abundant liquidity. Fourth, while most bubbles are positive, appearing during periods of rapid house price appreciation, negative bubbles appeared in some areas (Busan, Gwangju, and Ulsan) during the 1998 Asian financial crisis. Fifth, the detached house markets in Busan and Ulsan are found to be bubbling at the end of the sample (December 2023). These results suggest that the GSADF test can not only detect historical bubble periods, but can also detect bubbles in real time, providing early warning of bubbles.

Production VAT elasticity on Nepalese economy without agriculture

Abstract This paper aims to investigate the flexibility of production Value Added Tax (PVAT) on Nepalese economy (excluding agriculture) by analyzing its impact on the production sector's Gross Domestic Product (PGDP). The study utilizes an explanatory research design to determine the relationship between PVAT and PGDP, exchange rate, market capitalization, money supply, and government spending as intervening variables. To establish a cointegrated regression model with time series data for the 20-year period from 2003/04 to 2022/23, a model specification is employed. The variables are converted into real prices using the GDP deflator, with the GDP deflator and CPI year 2013/14 considered equivalent to the base year 2013/14 according to the Nepalese fiscal year. Due to the presence of non-normal distribution, autocorrelation, and multicollinearity issues in the model, the data is transformed into first differences, and an error correction model is run. The F-test is significant at a confidence limit of over 99 percent, while the coefficient of determination is 0.245, indicating that 24.5 percent of the variations in the production sector PGDP are explained by the variables included in the regression model. Keywords: Elasticity, production, GDP, VAT, Economy

International Linkages of Inflation‐Output Dynamics: Fresh GVAR Evidence from Pakistan and Its Trading Partners

The key purpose of this study is to explore the relationship between inflation and output dynamics in a global macroeconomic framework by utilising time‐series data from Pakistan and thirty‐two trading partners which account for around 95 per cent of foreign trade of Pakistan, over the period 1979Q2–2016Q4. By featuring the GVAR approach, this paper empirically examined the international linkages to account for cross‐country inflationary spillovers. The findings show that both foreign and global variables jointly and significantly matter for the inflation‐output relationship in developing economies, in general and, in particular, in the economy of Pakistan. The findings from general impulse response functions (GIRF) reveal that shocks to the US real output, oil prices and food prices are transmitted and settled quickly, and put forward a significant impact on real GDP and inflation in Pakistan and its trading partner economies. Inflation in Pakistan is driven more strongly by the global changes in oil and food prices than GDP. For monetary policy formulation, the central bank should take into account developments in inflation‐output dynamics of Pakistan's major trading partners.

Offshore Energy Development in Poland—Social and Economic Dimensions

The development of green technology in the world is progressing extremely rapidly. New possibilities for obtaining energy from renewable sources are constantly being sought and existing solutions are being improved. The multifaceted potential of the seas and oceans is an important aspect being taken into account in the development of the energy systems of a number of economies. One dimension of action in this area is the orientation towards offshore wind energy and the construction of offshore wind farms for this purpose. The purpose of this article is to analyse the importance of offshore wind farms in Poland’s energy system and to assess public perception of the changes taking place in this dimension. The article is based on research and critical analysis of the available literature, legal regulations and industry reports, as well as on the results of our own surveys, the scientific findings of which were developed with the application of statistical instruments using PQstat software, ensuring the expected quality of results. The findings of the article indicate the significant importance of offshore wind farms in the creation of Poland’s energy mix, with differing public attitudes towards their construction. Furthermore, the results of the research indicate a differentiated attitude of society towards the construction of offshore wind farms. The main motivation for majority support of the measure in question are economic reasons, which are connected with the expectation of a real price reduction per 1 kW of energy, as well as increased attractiveness of the region due to investments in this area. The main concern with the measure relates to environmental aspects, with concerns about the functioning of ecosystems in light of the construction and subsequent operation of wind farms. Negative public opinion is also signalled in relation to the potential risk of landscape change in a direction that is undesirable for the studied developed coastal tourist region in Poland.

Does monetary policy contribute to housing price booms? Empirical evidence from the US economy

Purpose This study aims to investigate the effect of monetary policy on housing prices for US economy. It specifically examines whether nominal or real interest rates are the key drivers behind fluctuations in housing prices in US. Design/methodology/approach Monthly data from January 1991 to July 2023 and various appropriate analytical tools such as unit root tests, Johansen’s cointegration test, vector error correction model (VECM), impulse response function and Granger causality test were applied for the data analysis. Findings The Johansen cointegration findings reveal the presence of a long-term relationship among the variables. VECM results indicate a negative correlation between nominal and real interest rates and housing prices in both the short and long terms, suggesting that a strict monetary policy can help in controlling the housing price increase in the USA. However, housing prices are more responsive to changes in nominal interest rates than to real interest rates. Additionally, the study reveals that the COVID-19 pandemic contributed to the upsurge in housing prices in the USA. Originality/value This study contributes by examining the role that nominal or real interest rates play in shaping housing prices in the USA. Moreover, given the recent significant upsurge in housing prices, this study presents a unique opportunity to investigate whether these price increases are influenced by the Federal Reserve's monetary policy decisions regarding nominal or real interest rates. Additionally, using monthly data, this study provides a deeper understanding of the fluctuations in housing prices and their connection to monetary policy tools.

Persistence analysis of the real estate US index and major cities

This paper analyses the stochastic properties of the US real estate market in the long term (1987–2023). For this purpose, we rely on fractionally integrated methods to fill the gap left by studies focusing on possible cointegration that use linear unit root tests. Both original and log transformed data of house price indices have been used with and without taking inflation into account. Even though several studies mentioned mean reversion in the short term, in the long term the real estate market shows a clear pattern of high persistence and no reversion to the mean. The effect of inflation seems to add correlation to real prices and conversely, an increase in the integration factor. Structural breaks reveal that recent values of this integration factor are greater, thus prices are becoming more persistent.

Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy

We assess the impact of large-scale asset purchases, commonly known as quantitative easing (QE), conducted by Sveriges Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for bond-specific safety premia, we find that Sveriges Riksbank’s bond purchases raised inflation and short-rate expectations, lowered nominal and real term premia and inflation risk premia, and increased nominal bond safety premia, suggestive of signaling, portfolio rebalance, and safe asset scarcity effects. Furthermore, we document spillover effects of ECB’s QE programs on Swedish bond markets that are similar to the Swedish QE effects only after controlling for exchange rate fluctuations, highlighting the importance of exchange rate dynamics in the transmission of QE spillover effects.

Effect of conventional and unconventional monetary policy shocks on housing prices in Canada

This paper investigates the relative importance and effect of conventional and unconventional Canadian monetary policy surprises on housing prices. Using a credible approach to identify structural monetary policy shocks in Canada and a comprehensive Bayesian VAR model to analyze their effects on financial and macroeconomic variables, we find that both conventional monetary policy and quantitative easing shocks have a significant and persistent effect on housing prices in Canada. However, the inflationary effect of a quantitative easing shock is more pronounced than that of an easing target monetary policy surprise. Specifically, the peak effect of a 25-basis point expansionary conventional monetary policy shock is a 2.30% increase in real housing prices while a comparable quantitative easing surprise leads to a peak of 4.56% increase in real housing prices. We conclude that expansionary monetary policy in various forms has had significant inflationary effects on Canadian housing prices. But quantitative easing surprises stand out as the most prominent contributory factor to the escalating Canadian real estate price. Quantitative easing impact consistently outweighs the effects of forward guidance and conventional monetary policy shocks.

Examining the local government financial pressure on housing prices: evidence from China

The study examines the influence of local government financial pressure on average real estate sales prices. Annual data from the Chinese National Bureau of Statistics from 2000 to 2020 were analyzed based on the vector autoregressive model. Fixed asset investment and the growth rate of the population were included as moderators to analyze their moderating effects on the relationship between local government financial pressure and average real estate sales price. Local government fiscal pressure has a significant positive impact on the average real estate selling price, fixed asset investment, and population growth rate are negatively correlated with average real estate sales price. Therefore, this paper suggests reducing the fiscal revenue and expenditure gap faced by local governments, alleviating the financial pressure on local governments, increasing the proportion of residential land supply, and limiting the dependence of local governments on land finance, to restrain the price fluctuation of the real estate market. Keywords: Fixed assets; growth rate; Housing price; investment; local fiscal pressure; population.

Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm

We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and threshold rebalancing (TR) strategies. PR refers to the process of adjusting the relative weight of assets within portfolios at regular time intervals, whereas TR is a process of setting allocation limits for portfolios and rebalancing when portfolios exceed a specific percentage of deviation from the target allocation. The HFRA is constructed as an integration of pairs trading and a threshold-based rebalancing strategy, and the profitability of the HFRA is examined to determine the optimal portfolio size. The HFRA is applied to a dataset of real price series from cryptocurrency exchange markets across various trends and volatility regimes. Using cointegrated price data, it is shown that increasing the number of assets in a portfolio supports the profitability of the HFRA in an up-trend and reduces the potential loss of the HFRA in a down-trend in a high-volatility environment. For low-volatility regimes, although increasing portfolio size marginally enhances the HFRA’s profitability, the profits of portfolios of varied sizes do not significantly differ. It is demonstrated that when volatility is relatively high and the trend is upward, the HFRA can yield a substantial return via portfolios of large sizes. Moreover, the profitability of the HFRA is compared with that of the PR and TR strategies for long-term application. The HFRA is more profitable than the PR and TR strategies. This achievement of the HFRA is also validated statistically using the Fisher–Pitman permutation test.

The effect of output and the real exchange rate on equity price dynamics

This study uses a standard equity price equation derived from arbitrage between short-term bonds and shares to explain the conditions under which the relationship between equity prices and the measures of economic activity could yield a Bad News Case or a Good News Case while controlling for the effect of the real exchange rate. We estimate the baseline model and its variants for 18 countries. The results reveal that the good news case dominates the data in advanced and emerging market economies. We find no evidence in support of the bad news case. Furthermore, the real equity price declines with a real appreciation in some countries while it rises with a real appreciation in others.

Art and Markets in the Greco-Roman World

We study art markets in the Greco-Roman world to explore the origins of artistic innovations in classical Greece and the mass production of imitative works in the Roman Empire. Economic factors may have played a role, on one side fostering product innovations when a few rival Greek city-states competed, outbidding each other to obtain higher-quality artworks, and on the other side fostering process innovations when a large integrated market promoted art trade across the Mediterranean Sea. The evidence on art prices is consistent with this. Literary evidence on classical Greek painting from V–III centuries BC (largely from Pliny the Elder) shows that the real price of masterpieces increased up to the peak of creativity reached with Apelles. Epigraphic evidence on Roman sculpture from I–III centuries AD (largely from inscriptions at the base of statues) shows that the real price of statues was stable and largely equalized across the imperial provinces.

The effects of VAT reductions on newly built properties and constructions in Hungary

Motives: This study was undertaken to determine the feasibility and macroeconomic impact of reduced VAT. As an EU Member State, Hungary may apply reduced tax rates in accordance with the Council Directive 112/2006/EC. In Hungary, due to the high general tax rate, the range of products and services with reduced tax rates plays a special role.Aim: In Hungary, a preferential VAT regime was introduced to reduce the increase in the price of new-build properties. The aim of this study was to examine whether reduced VAT had the desired effect. Therefore, the effect of 5% VAT on the Hungarian real estate price index was analysed based on the data provided by the Hungarian National Bank with the use of various statistical methods.Results: The study demonstrated that a reduced VAT rate on newly built properties that meet certain conditions in Hungary had an impact on the real estate market. The date of the building permit, which is a prerequisite for applying a reduced tax rate, increased real estate prices as an immediate effect, which was reduced somewhat by the final consumer price due to the reduced tax rate. This double effect stabilised the real estate market price index.

A novel hybrid optimization ensemble learning approach for energy futures price forecasting

Effective energy futures price prediction is an important work in the energy market. However, the existing research on the application of “decomposition-prediction” framework still has shortcomings in noise processing and signal reconstruction. In view of this, this paper first uses PSO to optimize VMD to improve the effectiveness of single decomposition, and further uses SGMD to capture the remaining key information after extracting low-frequency modal components by using PSO-VMD technology. Further, combined with LSTM to predict each component, a new PSO-VMD-SGMD-LSTM hybrid model is innovatively constructed. The empirical research results based on the real energy market transaction price show that compared with the benchmark model, the hybrid model proposed in this paper has obvious forecasting advantages in different forecasting scenarios.

Türkiye’nin Gelenek Dışı Para Politikasının Lisanssız Güneş Santrallerinin Kârlılığı Üzerine Etkisinin Değerlendirilmesi

Türkiye’s unorthodox monetary policy implemented between September 2021 and June 2023 affected many macroeconomic indicators including inflation. Turkish Central Bank’s (CBRT) continuous lowering of the policy interest rate increased the negative real interest rate constantly. As a result, households invested in alternative assets including housing, foreign currency and gold in order to hedge against inflation. This increase in demand soared real estate prices. Besides, land is an important cost item for solar power plant investments. Considering the linear relationship between land prices and housing prices, this paper investigates the effect of the increase in housing prices on the capital expenditure (CAPEX) of 37 unlicensed solar power plant projects in Türkiye. According to the results, a correlation of -0.97 was determined between the real interest rate and housing price index in Türkiye. In addition, a correlation of 0.20 was found between housing price index and the CAPEX of unlicensed solar power plants. This situation indicates that the increase in housing prices primarily due to the unorthodox monetary policy might adversely affected the profitability of unlicensed solar power plants, since CAPEX is an important factor affecting the profitability. Although the unconventional monetary policy has been abandoned as of July 2023, the negative effects of this policy on the economy, especially inflation, still continue. Policies and practices that would increase the profitability of solar power plants will make significant contribution to the renewable energy investors and Türkiye's green transition. In this context, development and issuance of carbon development credits under the voluntary carbon market standards such as Global Carbon Council (GCC) Standard and International Carbon Standard (ICR) presents additionality to support solar power plant investors and help the country to reach her carbon neutrality target.