Book

Description

Price transmission between two markets is often analyzed by using a linear approach. In reality, the phenomenon of price fluctuations between the two markets is very uncertain which generate an asymmetric price transmission (hereafter APT) between them. Therefore, the previous researchers have to employ a nonlinear-based approach to investigate the APT. However, they only examined the APT in terms of speed or magnitude. Empirical studies on the APT in terms of magnitude and speed simultaneously have not been studied until now. This book offers a new perspective in analyzing the APT in both points simultaneously. We also expand the analysis by including a new perspective in direction side of the APT. It is based on a nonlinear co-integration approach which is highly supported by nonlinear model. This book contains how to formulate a model of the APT and examines the APT that occurs between two markets in both the short and long term.