Purpose – The purpose of this paper is to determine and contrast the risk mitigating effectiveness from optimal multiproduct time-varying hedge ratios, applied to the margin of a cattle feedlot operation, over single commodity time-varying and naive hedge ratios. Design/methodology/approach...

In this analysis we more accurately capture the cointegrating relationship between natural gas and crude oil prices by endogenously incorporating shifts in the cointegrating vector into the estimation of the cointegrating equation. Specifically, we allow the cointegrating equation to switch...

The collapse of the global economy in 2008, following the outbreak of the financial crisis, and the ensuing economic developments of the so-called Great Recession (GR) led many economists to suggest that the Great Moderation (GM) had, indeed, come to an end. This paper offers evidence that the...

We develop a theoretical framework to quantitatively assess the general equilibrium effects and welfare implications of central bank reputation and transparency. Monetary policy alternates between periods of active inflation stabilization and periods during which the emphasis on inflation...

The U.S. electricity wholesale market is organized in several deregulated regional markets. This paper compares price dynamics of electricity in the U.S. wholesale markets and shows that electricity prices from the West and East coasts have different regime dynamics. Our methodology suggests...

Energy is a key input in investment decision making with a well-known effect on economic growth. Inelasticity of energy demand urges an understanding of its price dynamics. This paper makes a joint analysis of the price of oil, natural gas, and electricity in U.S. markets using a multi-regime...

Purpose –The purpose of this paper is to determine and contrast the risk mitigating effectiveness from optimal multiproduct time-varying hedge ratios, applied to the margin of a cattle feedlot operation, over single commodity time-varying and naive hedge ratios. Design/methodology/approach...

The predictive power of recently introduced components affecting correlations is investigated. The focus is on models allowing for a flexible specification of the short-run component of correlations as well as the long-run component. Moreover, models allowing the correlation dynamics to be...