•BitCoin and altcoin markets are highly interdependent.•The BitCoin-altcoin price relationship is stronger in the short-run than in the long-run.•Macro-financial developments determine virtual ...currency prices stronger in the short- than the long-run.
This paper empirically examines interdependencies between BitCoin and altcoin markets in the short- and long-run. We apply time-series analytical mechanisms to daily data of 17 virtual currencies (BitCoin + 16 alternative virtual currencies) and two altcoin price indices for the period 2013–2016. Our empirical findings confirm that indeed BitCoin and altcoin markets are interdependent. The BitCoin-altcoin price relationship is significantly stronger in the short-run than in the long-run. We cannot fully confirm the hypothesis that the BitCoin price relationship is stronger with those altcoins that are more similar in their price formation mechanism to BitCoin. In the long-run, macro-financial indicators determine the altcoin price formation to a slightly greater degree than BitCoin does. The virtual currency supply is exogenous and therefore plays only a limited role in the price formation.
Sunflower is one of the most popular and extensively produced crops in Ukraine. Almost all production of sunflower is processed further into sunflower oil. During the last 20 years, the amount of ...produced and exported Ukrainian sunflower oil have increased markedly, so Ukraine has become the world’s biggest producer of sunflower oil and its exporter. However, due to the increasing industry concentration and rapid sunflower oil price growth starting from mid-2020, the Antimonopoly Committee of Ukraine started its investigation of the sunflower oil supply for the possible competition issues. There are suspicions that there might be a collusion of sunflower oil producers aimed at an artificial price increase. Those concerns have motivated us to study the potential manifestation of market power in the Ukrainian sunflower oil supply chain. For this purpose, the Threshold Autoregressive Cointegration model was estimated, using monthly producer and consumer sunflower oil prices from January 2013 to September 2021. The results of this analysis bring evidence about a long-term cointegration between price pairs. Moreover, there is a noticeably more dynamic price correction for the negative deviations from the long-run equilibrium than for positive deviations.
This is the first article that studies BitCoin price formation by considering both the traditional determinants of currency price, e.g., market forces of supply and demand, and digital currencies ...specific factors, e.g., BitCoin attractiveness for investors and users. The conceptual framework is based on the Barro (1979) model, from which we derive testable hypotheses. Using daily data for five years (2009-2015) and applying time-series analytical mechanisms, we find that market forces and BitCoin attractiveness for investors and users have a significant impact on BitCoin price but with variation over time. Our estimates do not support previous findings that macro-financial developments are driving BitCoin price in the long run.
When trading with homogenous goods, consumers are not able to distinguish between individual goods and thus not willing to pay a higher price, if the same product is available for lower price. This ...leads to an interesting effect, when prices of homogenous goods in different locations in an open market tend to get closer. It is the result of the so-called Law of One Price. Because of the Law of One Price, producers are affected not only by vertical price transmission, but also horizontally. The aim of this paper is to assess the linkage and patterns among the prices of cow’s raw milk in the V4 countries. We apply the price transmission methodology, such as unit root tests, cointegration tests, error correction models, and Granger causality tests. Monthly data for producer prices of raw milk are used, covering the period from January 2005 to June 2017. Our results confirm the existence of the Law of One Price when milk producer prices in different locations are co-integrated.
When trading with homogenous goods, consumers are not able to distinguish between individual goods and thus are not willing to pay a higher price, if the same product is available for Loir price. ...This leads to an interesting effect, when prices of homogenous goods in different locations in an open market tend to get closer. It is the result of the so-called Law of one price. Because of the Law of one price, producers are affected not only by vertical price transmission but also horizontally. The aim of this paper is to assess the linkage and patterns among the prices of cow's raw milk in the V4 countries. We apply the price transmission methodology, such as unit root tests, cointegration tests and error correction models. Monthly data for producer prices of raw milk are used, covering the period from January 2005 to June 2017. Our results confirm the existence of the Law of one price when milk producer prices in different locations are co-integrated.
Geopolitical Risk and Energy Market Hudecova, Kristina; Rajcaniova, Miroslava
Peace economics, peace science, and public policy,
06/2023, Volume:
29, Issue:
2
Journal Article
Peer reviewed
The fundamental aim of this paper is to test the symmetric and asymmetric effects of geopolitical risk on the five selected prices of energy commodities, consisting of coal, crude oil, gasoline, ...heating oil, and natural gas, during the period 2 January 2020–29 July 2022 by application of linear and nonlinear ARDL models. Moreover, we also study the impact of anticipated financial volatility on energy commodities. Our results suggest that, over the long term, there is no linear relationship between geopolitical risk, financial volatility, and energy prices. On the other hand, we find statistically significant asymmetrical effects of geopolitical risk and financial volatility on crude oil, gasoline, and heating oil prices in the long and short run. We also identify that coal and natural gas prices do not respond to changes in geopolitical risk during the analysed period.
Sunflower is one of the most popular and extensively produced crops in Ukraine. Almost all production of sunflower is processed further into sunflower oil. During the last 20 years, the amount of ...produced and exported Ukrainian sunflower oil have increased markedly, so Ukraine has become the world's biggest producer of sunflower oil and its exporter. However, due to the increasing industry concentration and rapid sunflower oil price growth starting from mid-2020, the Antimonopoly Committee of Ukraine started its investigation of the sunflower oil supply for the possible competition issues. There are suspicions that there might be a collusion of sunflower oil producers aimed at an artificial price increase. Those concerns have motivated us to study the potential manifestation of market power in the Ukrainian sunflower oil supply chain. For this purpose, the Threshold Autoregressive Cointegration model was estimated, using monthly producer and consumer sunflower oil prices from January 2013 to September 2021. The results of this analysis bring evidence about a long-term cointegration between price pairs. Moreover, there is a noticeably more dynamic price correction for the negative deviations from the long-run equilibrium than for positive deviations.
This paper investigates the impact of attention driven behaviour on agricultural commodity prices. We proxy attention driven behaviour using search queries for the commodity names in Google. We apply ...the ARDL model to estimate the impact of search queries on three internationally traded agricultural commodities – corn, wheat and soybean – using weakly data for the period 2009–2015. The results show that there is causal and permanent relationship between Google search queries and prices of corn and wheat confirming the presence of the attention driven behaviour. However, the estimates do not confirm this relationship for soybean price.
•The attention driven behaviour effects on agricultural markets is investigated.•Attention driven behaviour is proxied by Google search queries.•Attention driven behaviour has short- and long-run impacts on corn and wheat prices.•Attention driven behaviour does as not affect soybean prices.
The escalation of the conflict between Russia and Ukraine had a detrimental effect on the global agricultural and food market and the price movements of essential commodities. In this study, we aim ...to investigate the effects of geopolitical risk on the prices of selected agricultural and food commodities using the linear and nonlinear ARDL (autoregressive distributed lag) model. Our results show evidence of the asymmetric impact of geopolitical risk on the prices of rapeseed, sugar, sunflower oil, and wheat. The findings also show no long-term link between geopolitical risk and corn, cotton, lumber, milk, oats, rough rice, and soybean prices.
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