North American Oriented Strand Board Markets, Arbitrage Activity, and Market Price Dynamics: A Smooth Transition Approach
研究了北美定向刨花板市场的价格动态，通过估计时变平滑转换自回归模型，发现交易成本导致的非线性和结构变化是重要特征，且经济理论隐含的价格平价关系得到支持。
Price dynamics for North American oriented strand board markets are examined. The role of transactions costs are explored vis‐à‐vis the law of one price. Nonlinearities induced by unobservable transactions costs are modeled by estimating time‐varying smooth transition autoregressions (TV‐STARs). Results indicate that nonlinearity and structural change are important features of these markets; price parity relationships implied by economic theory are generally supported by the estimated models. Implications for the efficiency of spatial market linkages and the dynamics associated with price adjustments are also examined.