Data/hora: 16/06/2024 19:54:19

Provedor de dados: 	31	
País: 	United States	
Título: 	Considering threshold effects in the long-run equilibrium in a vector error correction model: An application to the German apple market	
Autores: 	Goetz,   Linde; von Cramon-Taubadel,   Stephan.	
Data: 	2008-10-15	
Ano: 	2008	
Palavras-chave: 	Threshold cointegration; Spatial price transmission; Vector error correction model; Marketing.	
Resumo: 	We propose a three-step procedure to estimate a regime-dependent vector error correction model (VECM). In this model, not only the short-run adjustment process towards equilibrium is non-linear, as in threshold VECM and Markov switching VECM frameworks, but the long-run equilibrium relationship itself can also display threshold-type non-linearity. The proposed approach is unique in explicitly testing the null hypothesis of linear cointegration against the alternative of threshold cointegration based on the Gonzalo AND PITARAKIS (2006) test. The model is applied to apple price data on wholesale markets in Hamburg and Munich, using the share of domestic apples in total wholesale trade as the threshold variable. We identify four price transmission regimes characterized by different equilibrium relationships and short-run adjustment processes. This proposed approach is particularly suitable for capturing irregular seasonal threshold effects in price transmission typical for fresh fruits and vegetables.	
Tipo: 	Conference Paper or Presentation	
Idioma: 	Inglês	
Identificador: 	http://purl.umn.edu/44247	
Relação: 	European Association of Agricultural Economists&gt;2008 International Congress, August 26-29, 2008, Ghent, Belgium	
Formato: 	12