O mercado do milho no Brasil tem demonstrado algumas mudanças nos últimos anos aumentando sua importância no agronegócio. Por esse motivo, tem sido maior a necessidade de estudo de suas características. O objetivo da presente dissertação consiste em verificar como se dá a transmissão de preços entre os mercados regionais dessa commodity no Brasil a nível de produtor, com foco nos estados da região Sul e Centro-Oeste, devido à sua importância para a produção nacional. Além disso, também foi buscado analisar como os preços dos estados analisados reagem ao preço cotado na bolsa de valores para saber qual sua relação com o mercado externo. O método de pesquisa utilizado foi: teste de raiz unitária; teste de cointegração; vetor de correção de erro; teste de causalidade de Granger e teste de impulso-resposta. Os resultados do teste de cointegração indicam que há transmissão de preços entre todos os estados analisados, bem como os estados respondem a oscilações de preços do mercado externo a longo prazo. O fato de existir cointegração entre os estados é condição suficiente para se afirmar que existe relação linear de equilíbrio para a qual o sistema converge, validando os pressupostos da Lei do Preço Único e a integração. Todos os estados apresentaram resposta significativa a mudanças de preços no estado de Santa Catarina pelo vetor de correção de erro (VEC), mostrando que esse estado tem forte influência na formação de preços dos estados das duas regiões analisadas. No curto prazo foi observado que os estados de Mato Grosso e Rio Grande do Sul não recebem influência direta das oscilações de preços dos outros mercados, enquanto os estados de Paraná, Santa Catarina e Goiás parecem ser interdependentes a curto prazo, pois apresentam relativa correlação. Além disso, a função impulso resposta demonstra também que um impulso nos preços do estado de Santa Catarina gera resposta significativa nos preços dos outros estados de forma geral, e um impulso no preço do estado de Goiás também gera uma reação forte no preço do estado do Mato Grosso. / The corn market in Brazil has shown some changes in recent years increasing its importance in agribusiness. For this reason has increased the need for more studies related to this market’s characteristics . The objective of this dissertation is to check how is the price transmission between regional markets in Brazil at producer level for this commodity, focusing on states of the South and Midwest of the country, because of its importance to the national production. Furthermore, it was also sought to analyze how the prices of the analyzed states react to the price quoted on the stock market, looking for understanding how is its relationship with the external market. The research method used was: the unit root test , cointegration test , vector error correction; Granger causality test and impulse response test. The result of the cointegration test indicates that there is price transmission between all the states analyzed as well as states respond to price fluctuations on the stock market in the long run . The existence of cointegration between the states is sufficient to say that there is a linear equilibrium relationship to which converges the sistem, validating the assumptions of the Law of One Price and the integration condition. All states showed significant responses to price changes in the state of Santa Catarina by the vector error correction ( VEC ) , showing that this state has a strong influence on the pricing of the states on the two regions. In the short term it was observed that the states of Mato Grosso and Rio Grande do Sul receive no direct influence from the prices of other markets, while the states of Paraná, Santa Catarina and Goiás seem to be interdependent in the short term because they present a correlation. As well, the impulse response function also shows that a surge in prices in the state of Santa Catarina generates a significant response in prices of other states in general, and a boost in the price of Goias also generates a strong reaction in the price of Mato Grosso.

I study retail prices of sport goods for a particular multinational producer across European countries and in the USA to examine behaviour of the law of one price. Although average prices across all goods in the sample differ only slightly across most of the countries, I find significant price differences for individual goods for almost each country pair, including a group of the states that are generally considered as relatively integrated. The conducted analysis has not confirmed that these differences are caused primarily by various distribution costs. The computed relative prices across products vary significantly once compared internationally even within a group of similar goods of which distribution costs should be the same. The price variation, which prevails even when costs are excluded, points to the existence of strategic pricing and lagging arbitrage.

O objetivo da presente dissertação consiste em verificar como se dá a transmissão de preços entre os mercados físico ao nível de produtor no Brasil e futuro para as commodities milho e soja, e, entre estes dois complexos produtivos. Para isso, utilizou-se o seguinte método de pesquisa: teste de raiz unitária, teste de co-integração, teste de causalidade de Granger, estimação da elasticidade de transmissão de preços e mecanismo de correção de erro. Os resultados indicam que há integração e consequentemente transmissão de preços entre os seguintes pares de variáveis (mercados), como dependentes e explicativas respectivamente: físico soja / futuro soja, físico milho / futuro milho, físico soja / futuro milho. O fato de existir co-integração entre tais pares de variáveis é condição suficiente para se afirmar a existência de uma relação linear de equilíbrio a longo prazo para o qual o sistema converge, validando os pressupostos teóricos da Lei do Preço Único e confirmando a integração. Porém, a estimação do parâmetro que corresponde ao coeficiente que mede a elasticidade de transmissão de preço não apresentou significância estatística para a relação físico milho / futuro milho. No caso da relação contemporânea entre físico soja / futuro soja a cada 1 dólar por saco de 60Kg de variação no mercado futuro de soja, 70% desta variação é transmitida ao mercado físico de soja. Já para a relação contemporânea entre físico soja / futuro milho para cada 1 dólar por saco de 60Kg de variação no mercado futuro de milho, 50% desta variação é transmitida ao mercado físico de soja. / The goal of the present dissertation is to verify how prices transmission take place between the spot market at producer level in Brazil and the future market for the commodities corn and soybeans, and, between these two productive complexes. For that, we used the following research method: unit-root test, co-integration test, Ganger causality test, estimation of elasticity in prices transmission and the mechanism of error correction. The results suggest that there is integration and therefore prices transmission between the following pairs of variables (markets), as dependent and explicative respectively: spot soybeans / future soybeans, spot corn / future corn, spot soybeans / future corn. The fact of existing cointegration between such pairs of variables is a sufficient condition to affirm the existence of a linear relation of equilibrium for long term for which the system converges, validating the theoretical assumed of the Law of One Price and confirming the integration. Nevertheless, the estimation of a parameter that corresponds to the coefficient that measures the elasticity of price transmission did not present statistical significance for the relation spot corn / future corn. In the contemporary relation case between spot soybeans / future soybeans, for each 1 dollar per bag of 60Kg of variation in the soybeans future market, 70% of this variation is transmitted to the spot soybeans market. Concerning the contemporary relation between spot soybeans / future corn, for each 1 dollar per bag of 60kg of variation in the corn future market, 50% of this variation is transmitted to the spot market of soybeans.

In 1993 the internal market within the European Union was formed and ensured free movement of goods, services, capital and people. This led to the removal of trade barriers between members of the European Union. When opening up for competition, price differences between countries decreased and more jobs were created. A single currency was introduced by eleven countries in 1999 with the goal of reducing transaction costs, eliminating exchange rate risk and to further simplify trade. In 2001 Greece joined the collaboration and introduced the euro. With a single currency, price differences are expected to decrease. The aim of this study is to investigate whether a common currency has had a significant effect on reducing price dispersion or not. Two types of convergence are tested, beta and sigma convergence. 21 different product groups are included in this study and are sorted after the speed of convergence. All of the 27 EU member states are included and divided into two groups, one euro group and one non-euro group. We also examine if differences in productivity can explain price convergence. The results indicate that the introduction of a common currency did not decrease price dispersion within the majority of product groups. For the product groups in which price convergence are evident, only one product group within the euro countries and one product group within the non-euro countries have proven to be significantly positive in terms of differences in productivity.

O objetivo da presente dissertação consiste em verificar como se dá a transmissão de preços entre os mercados físico ao nível de produtor no Brasil e futuro para as commodities milho e soja, e, entre estes dois complexos produtivos. Para isso, utilizou-se o seguinte método de pesquisa: teste de raiz unitária, teste de co-integração, teste de causalidade de Granger, estimação da elasticidade de transmissão de preços e mecanismo de correção de erro. Os resultados indicam que há integração e consequentemente transmissão de preços entre os seguintes pares de variáveis (mercados), como dependentes e explicativas respectivamente: físico soja / futuro soja, físico milho / futuro milho, físico soja / futuro milho. O fato de existir co-integração entre tais pares de variáveis é condição suficiente para se afirmar a existência de uma relação linear de equilíbrio a longo prazo para o qual o sistema converge, validando os pressupostos teóricos da Lei do Preço Único e confirmando a integração. Porém, a estimação do parâmetro que corresponde ao coeficiente que mede a elasticidade de transmissão de preço não apresentou significância estatística para a relação físico milho / futuro milho. No caso da relação contemporânea entre físico soja / futuro soja a cada 1 dólar por saco de 60Kg de variação no mercado futuro de soja, 70% desta variação é transmitida ao mercado físico de soja. Já para a relação contemporânea entre físico soja / futuro milho para cada 1 dólar por saco de 60Kg de variação no mercado futuro de milho, 50% desta variação é transmitida ao mercado físico de soja. / The goal of the present dissertation is to verify how prices transmission take place between the spot market at producer level in Brazil and the future market for the commodities corn and soybeans, and, between these two productive complexes. For that, we used the following research method: unit-root test, co-integration test, Ganger causality test, estimation of elasticity in prices transmission and the mechanism of error correction. The results suggest that there is integration and therefore prices transmission between the following pairs of variables (markets), as dependent and explicative respectively: spot soybeans / future soybeans, spot corn / future corn, spot soybeans / future corn. The fact of existing cointegration between such pairs of variables is a sufficient condition to affirm the existence of a linear relation of equilibrium for long term for which the system converges, validating the theoretical assumed of the Law of One Price and confirming the integration. Nevertheless, the estimation of a parameter that corresponds to the coefficient that measures the elasticity of price transmission did not present statistical significance for the relation spot corn / future corn. In the contemporary relation case between spot soybeans / future soybeans, for each 1 dollar per bag of 60Kg of variation in the soybeans future market, 70% of this variation is transmitted to the spot soybeans market. Concerning the contemporary relation between spot soybeans / future corn, for each 1 dollar per bag of 60kg of variation in the corn future market, 50% of this variation is transmitted to the spot market of soybeans.

O objetivo da presente dissertação consiste em verificar como se dá a transmissão de preços entre os mercados físico ao nível de produtor no Brasil e futuro para as commodities milho e soja, e, entre estes dois complexos produtivos. Para isso, utilizou-se o seguinte método de pesquisa: teste de raiz unitária, teste de co-integração, teste de causalidade de Granger, estimação da elasticidade de transmissão de preços e mecanismo de correção de erro. Os resultados indicam que há integração e consequentemente transmissão de preços entre os seguintes pares de variáveis (mercados), como dependentes e explicativas respectivamente: físico soja / futuro soja, físico milho / futuro milho, físico soja / futuro milho. O fato de existir co-integração entre tais pares de variáveis é condição suficiente para se afirmar a existência de uma relação linear de equilíbrio a longo prazo para o qual o sistema converge, validando os pressupostos teóricos da Lei do Preço Único e confirmando a integração. Porém, a estimação do parâmetro que corresponde ao coeficiente que mede a elasticidade de transmissão de preço não apresentou significância estatística para a relação físico milho / futuro milho. No caso da relação contemporânea entre físico soja / futuro soja a cada 1 dólar por saco de 60Kg de variação no mercado futuro de soja, 70% desta variação é transmitida ao mercado físico de soja. Já para a relação contemporânea entre físico soja / futuro milho para cada 1 dólar por saco de 60Kg de variação no mercado futuro de milho, 50% desta variação é transmitida ao mercado físico de soja. / The goal of the present dissertation is to verify how prices transmission take place between the spot market at producer level in Brazil and the future market for the commodities corn and soybeans, and, between these two productive complexes. For that, we used the following research method: unit-root test, co-integration test, Ganger causality test, estimation of elasticity in prices transmission and the mechanism of error correction. The results suggest that there is integration and therefore prices transmission between the following pairs of variables (markets), as dependent and explicative respectively: spot soybeans / future soybeans, spot corn / future corn, spot soybeans / future corn. The fact of existing cointegration between such pairs of variables is a sufficient condition to affirm the existence of a linear relation of equilibrium for long term for which the system converges, validating the theoretical assumed of the Law of One Price and confirming the integration. Nevertheless, the estimation of a parameter that corresponds to the coefficient that measures the elasticity of price transmission did not present statistical significance for the relation spot corn / future corn. In the contemporary relation case between spot soybeans / future soybeans, for each 1 dollar per bag of 60Kg of variation in the soybeans future market, 70% of this variation is transmitted to the spot soybeans market. Concerning the contemporary relation between spot soybeans / future corn, for each 1 dollar per bag of 60kg of variation in the corn future market, 50% of this variation is transmitted to the spot market of soybeans.

The theories of the law of one price and purchasing power parity are thought to hold almost exactly in financial market, but it seems less likely to occur in international trade where arbitrage opportunities take place. The purpose of this study is to test whether the purchasing power parity holds for commodities in various national markets, for which a quantitative method is followed. For identical goods, the prices should be equal across countries. In fact, the prices vary significantly across ‘truly homogenous’ goods within a product group. The finding suggests that differences in productivity and value-added tax do have significant positive impacts on price settings. As a consequence, purchasing power parity definitely does not prevail as well as law of one price does not. Further studies can use these findings to examine the extent and permanence of violations of the law of one price.

Östersjön har alltid varit en viktig knutpunkt för de länder som angränsar dit för att göra det möjligt att handla med varandra och på så sätt skapa en internationell marknad sinsemellan varandra. Under 1700-1800-talet tog produktionen fart och tack vare merkantilismen utvecklades den internationella handeln. För att fastställa deras växelkurs har många länder använt sig av olika myntfot såsom till exempel guldmyntfoten där valutans värde bestämdes utifrån värdet på motsvarande mängd guld vilket innebär att växelkurserna var fasta. Utifrån guldmyntfoten utvecklades teorierna lagen om ett pris och köpkraftsparitet med principerna om att en enhet valuta ska ha samma köpkraft även i andra länder vilket innebär att en vara ska kunna köpas för samma mängd av valutan oavsett om det är inrikes eller utrikes. Dessa teorier har studerats flertalet gånger, både för kort och lång sikt, med fåtalet länder till ett större antal. Denna studie använder sig av teoriernas grundidé och testar huruvida PPP i dess absoluta samt relativa form håller för Östersjöns handelsområde. För att kunna testa detta har två ekonometriska tester av de variabler som används gjorts, stationäritetstest och kointegrationstest. Stationäritetstestet visade att alla variabler förutom de tidsserier som användes för att testa relativ PPP led av icke-stationäritet och därmed behövdes differentieras för att kunna användas för att testa PPP. Kointegrationstestet visade att ingen av tidsserierna led av kointegration vilket medförde att vidare korrigeringsmodeller ej behövdes göras. Resultatet från de ekonometriska skattningarna visade på att absolut och relativ PPP ej kunde bekräftas, ej heller förnekas, då inga signifikanta koefficienter kunde konstateras. Vid testandet av real växelkurs för relativ PPP gavs signifikanta tidsserier men ej i enlighet med nollhypotesen och därmed förkastades nollhypotesen om att relativ PPP håller. Utifrån resultatet dras slutsatsen att PPP ej kan bekräftas utan att vidare studier måste göras. / The Baltic sea has always been an important transit hub for neighboring countries and the sea have made ​​it possible for the countries to trade with each other and thus create an international trade among themselves to each other. During 1700-1800's, the production took off and because of the mercantilism international trade developed. To establish their exchange rate, many countries have followed different standards, such as the gold standard where the currency's value was determined from the value of the corresponding quantity of gold which implies that the exchange rates were fixed. Based on the gold standard different theories was developed, such as the law of one price and purchasing power parity with the principles that a single currency will have the same purchasing power in other countries, which implies that a commodity should be bought for the same amount of currency, whether it is domestic or foreign. These theories have been studied several times, both for the short and long term, with the few countries to a greater number. In order to test this, two econometric tests of the variables were made​​, stationarity test and cointegration test. The stationarity test showed that all variables except the time series that was used to test relative PPP suffered from non-stationarity and therefore needed to be differentiated to be used to test the PPP. The cointegration test showed that no one of the time series suffered of cointegration and therefore further correction models was not needed to be done. The results from the econometric estimates showed that absolute and relative PPP could not be confirmed, nor denied, since no significant coefficients were identified. In the testing of real exchange rate for relative PPP significant time series were given but not in accordance with the nullhypothesis and therefore the null hypothesis is rejected that the relative PPP holds. From the results it is concluded that the PPP cannot be confirmed without that further studies must be done.

在單一價格法則之下，國際ETF的市場價格應該與NAV或標的資產價格一致。由於ETF具備申購贖回機制，其溢價現象將較國家型封閉型基金來得低。本文以32檔國際iShares檢視國際ETF的績效與國際投資分散效果，資料期間為1996年至2006年10月20日之日資料，並在考量區域因素的影響之下，將樣本區分為全球型、已開發市場型、以及新興市場型ETF。 本實證結果顯示，如同國家型封閉基金常出現的溢折價現象，國際iShares存在價格差異現象，尤其於新興市場型iShares更為明顯而且波動較大。然而，此價格差異現象僅是暫時的，而且主要由本國資訊所影響。此外，價格均衡的調整時間與3天期的結算清算時間一致。因此，ETF的申購贖回機制有助於提升價格調整的效率性，亦即長期而言，iShares遵循單一價格法則，而且於美國市場交易的投資人可由該投資工具達到國際投資組合分散效果，尤以全球型或複合型的iShares為最。 / In the law of one price, the share price of international ETFs should be the same as the domestic stock price and NAV respectively. Especially, with specific mechanism of creation and redemption process for ETFs, price deviation would be mitigated effectively comparing with similar product of closed-end country funds. This paper examines international ETFs’ performance and international diversification effect through 32 international iShares which are the most popular international ETFs in the world, and we use daily data with sample period from inception to 2006/10/20. Consider the regional impact on the price deviation, we also categorize the sample to three types as global, developed, and emerging market ETFs. In this paper, price deviations exist and are larger and more volatile for emerging market iShares, which is consistent with previous studies. However, the price deviations occur temporarily and are primarily driven by domestic information for all types of international iShares. We also find that the time of equilibrium adjusting process is consistent with three-day settlement period. Though incompletely perfect, the existence of the creation or redemption process along with the high transparency of iShares management appears to enhance price efficiency. Therefore, in the long-run, iShares price follow the law of one price, and US investors may obtain international diversification benefits through the instrument. Especially, the benefits will be larger for global or hybrid iShares comparing with country-specific iShares or emerging market iShares.

This thesis consists of five separate papers, broadly within the field of International Finance. The first paper, An Empirical Analysis of the Currency Denomination in International Trade, investigates the choice of currency in international trade transactions by Swedish exporting firms. It uses an extensive dataset on payment transactions between foreign importers and Swedish exporting firms. It is the first paper to examine currency invoicing at such a disaggregated level. The main findings are that high exchange rate volatility reduces the likelihood of using the importers currency while high GDP and GDP per capita in the importing country increases the likelihood. A large market share of a third country increases the likelihood of using the third country's currency. A further finding is a decreased use of Swedish krona and a rise in the use of the euro as a vehicle currency. State Dependent Pricing, Invoicing Currency and Exchange Rate Pass-Through, written jointly with Martin Flodén, analyzes exchange rate pass-through in a dynamic model with menu costs. In the paper, we provide a link between the fixed and flexible price analyses by specifying a dynamic framework with exogenous choice of exporting currency, but with endogenous pricing decisions. We consider the pricing strategies of firms that produce in a home country, sell on a foreign market, and can change the price in response to exchange rate fluctuations, while being subject to menu costs. Our main finding is that when the exporter prefers to set price in the importer’s currency, the exporter also changes prices less frequently than if price was set in the exporter’s home currency. The intuition is that in this setting, the optimal currency choice is the one that on average minimizes the difference between fixed and flexible price profits, and thereby the frequency of price updates. When the importer’s currency is preferred it leads to limited pass-through and a low correlation between exchange rate movements and import prices. The third paper, Demand and Distance: Evidence of Cross Border Shopping , written jointly with Marcus Asplund and Richard Friberg, uses data from 287 Swedish municipalities to estimate how responsive alcohol sales are to foreign prices, and relate the sensitivity to the location's distance to the border. Typical results suggest that the elasticity with respect to the foreign price is around 0.4 in the border region; moving 200 (400) kilometers inland reduces it to 0.2 (0.1).  For example, a 10 percent reduction in the Danish price of spirits causes a fall in per capita sales of roughly 4 percent at the border (Malmö). This large cross price elasticity is almost half the own price elasticity. The effect diminishes gradually as one moves further from the border, but fall in sales is estimated to drop below 1 percent only at 460 kilometer from the border. Not until we reach 1000 kilometers can we reject that the effect is zero. Common Currencies and Equity Prices: Evidence from a Political Event, uses a political event, the Swedish referendum on whether or not to join the European Monetary Union (EMU), as a natural experiment to examine the relationship between common currencies and the market value of exporting firms. If Sweden would have voted to join the EMU, exchange rate uncertainty as well as transaction costs would have been greatly reduced for many exporting companies. Prior to the referendum, these potential gains (adjusted for the probability of joining) should have been included in equity prices. The day after the referendum that probability of was zero and one would expect a decline in equity prices of exporting firms. We find evidence of statistically significant negative abnormal returns on the trading day after the election for only two out of fifteen examined industry indices. The small effects found in this study are in line with earlier research that finds a weak relationship between exchange rates and equity prices. The fifth paper, When is a Lower Exchange Rate Pass-Through Associated with Greater Exchange Rate Exposure?, written jointly with Martin Flodén and Witness Simbanegavi, we study the relationship between exchange rate pass-through and exchange rate exposure (the relation between profits and exchange rates) under flexible prices. We introduce a convex cost function and study the effects of changing the elasticity of costs with respect to output. We do this both in a model of monopolistic competition as well as in the oligopoly models used by Bodnar et al (2002). We find that increasing the convexity of costs reduces both exchange rate pass-through and exposure, both under monopolistic competition and in duopoly settings. The conclusion is thus that if industries differ mainly on the supply side, this would imply a positive correlation between pass-through and exposure. However, our extension does not affect the result in Bodnar et al. that exchange rate pass-through and exposure should be negatively correlated across industries if industries differ mainly on the demand side, more specifically in the substitutability between domestically produced and imported goods. / <p>Diss. (sammanfattning) Stockholm : Handelshögskolan, 2006, S. 3-12: sammanfattning, s. 15-120: 5 uppsatser</p>