P1-3 Spatial price transmission processes in Germany and Europe

PhD student: Francisco Rosales
Thesis Committee: Prof. Tatyana Krivobokova, Prof. Stephan v. Cramon-Taubadel, Prof. Martin Schlather

This research focuses on the characterization of price transmission of commodities across a set of european countries when the data scale is weekly or smaller. To achieve the previous a statistical model for the simultaneous estimation of prices in a set of countries is required. For this we turn into generalized additive models, where each price signal is decomposed into seasonal, trend and a noise components. To account for the relation (synchronization) across countries a covariance matrix is estimated, which can be then used to build an aggregated price index for all countries. The procedure is analog when district prices are available and an aggregated indicator at a country level is of interest.

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