Consulta: subjectFacets:"C32"
Registros recuperados: 77
Data/hora: 09/06/2024 08:37:46

Price Cointegration Analyses of Food Crop Markets: The case of Wheat and Teff Commodities in Northern Ethiopia
Provedor de dados: 31
Autores: Jaleta,   Moti; Gebremedhin,   Berhanu.
This paper examines the cointegration of grain market prices in Northern Ethiopia. Results are based on bi-monthly retail price data on wheat and teff collected from six markets in the Tigray region of Northern Ethiopia. The data has 55 observations for each of the two crops in each of the six markets ranging over a period of May 2006 to October 2008. Johansen’s cointegration test reveals that most markets are cointegrated in wheat and teff retail prices. There is an indication that retail prices at Abi-Adi, a town located relatively farther away from the main asphalt road, is less integrated to other markets. This implies that infrastructural development is crucial for spatial market integration through market information transmission and physical...
Tipo: Conference Paper or Presentation
Palavras-chave: Price cointegration; Food crop market; Error correction model; Demand and Price Analysis; Marketing; C31; C32; Q13.
Ano: 2009
URL: http://purl.umn.edu/51049

Interaction of European Carbon Trading and Energy Prices
Provedor de dados: 31
Autores: Bunn,   Derek W.; Fezzi,   Carlo.
This paper addresses the economic impact of the EU Emission Trading Scheme for carbon on wholesale electricity and gas prices. Specifically, we analyse the mutual relationships between electricity, gas and carbon prices in the daily spot markets in the United Kingdom. Using a structural co-integrated VAR model, we show how the prices of carbon and gas jointly influence the equilibrium price of electricity. Furthermore, we derive the dynamic pass-trough of carbon into electricity price and the response of electricity and carbon prices to shocks in the gas price.
Tipo: Working or Discussion Paper
Palavras-chave: Carbon Emission Trading; Energy Markets; Structural VECM; Resource /Energy Economics and Policy; Q48; L94; C32.
Ano: 2007
URL: http://purl.umn.edu/9092

Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing?
Provedor de dados: 31
Autores: Mallory,   Mindy L.; Lence,   Sergio H.
This study highlights some problems with using the Johansen cointegration statistics on data containing a negative moving average (NMA) in the error term of the data generating process. We use a Monte Carlo experiment to demonstrate that the asymptotic distribution of the Johansen cointegration statistics is sensitive to the NMA parameters and that using the stated 5% critical values results in severe size distortion. In our experiment, using the asymptotic critical values resulted in empirical size of 76% in the worst case. To date a NMA in the error term was known to cause poor small sample performance of the Johansen cointegration statistics; however our study demonstrates that problems associated with a NMA in the error term do not improve as sample...
Tipo: Conference Paper or Presentation
Palavras-chave: Cointegration; Johansen cointegration test; Moving average; Agricultural Finance; Financial Economics; C32; C15.
Ano: 2010
URL: http://purl.umn.edu/61721

Environmental Indices for the Chinese Grain Sector
Provedor de dados: 31
Autores: Chen,   Ming; Karp,   Larry S.
Increased population pressure and political decisions have led to more intensive agricultural practices in China. As in other regions of the world, these practices can damage natural capital We use the Kalman filter and Chinese panel data to estimate an index of environmental productivity (natural capital), together with the parameters of environmental dynamics and the production function. These estimates show that intensive practices are likely to have had persistent, substantial, and statistically significant negative effects on productivity. Ignoring these effects can cause substantial misallocation of resources. The results illustrate the possibility of estimating sectoral environmental indices using data commonly available.
Tipo: Working or Discussion Paper
Palavras-chave: Chinese agriculture; Dynamic production; Environmental indices; Sustainability; Kalman filter; Crop Production/Industries; Environmental Economics and Policy; Productivity Analysis; QOl; Q21; C32; C43.
Ano: 2001
URL: http://purl.umn.edu/6259

Dynamic Effects of Grain and Energy Prices on the Catfish Feed and Farm Sectors
Provedor de dados: 31
Autores: Muhammad,   Andrew; Zheng,   Hualu.
This study examines the dynamic effects of grain prices and energy prices on catfish feed prices and the price of food-sized catfish at the farm level. Using the autoregressive distributed lag model and bounds testing procedure, a long-run relationship between feed and farm prices and their determinants was confirmed. Given the effect of corn and soybean meal prices on catfish feed prices, and catfish fish feed prices on farm prices, the long-run responsiveness of feed prices to a percentage increase in U.S. ethanol production is 0.325, and the responsiveness of catfish farm prices is 0.064. Although both feed and farm prices increase with ethanol production, the relatively small responsiveness of farm prices when compared with feed prices suggests that...
Tipo: Journal Article
Palavras-chave: Catfish; Prices; Autoregressive distributed lag (ARDL) model; Ethanol; Feed; Corn; Soybeans; Agribusiness; Agricultural Finance; Demand and Price Analysis; Financial Economics; Institutional and Behavioral Economics; Marketing; Production Economics; Productivity Analysis; Resource /Energy Economics and Policy; C32; Q11; Q22.
Ano: 2010
URL: http://purl.umn.edu/100520

Price Transmission Asymmetries and Nonlinearities in the International Coffee Supply Chain
Provedor de dados: 31
Autores: Lee,   Jun; Gomez,   Miguel I.
We examine two distinct and important dimensions (e.g. symmetry vs. asymmetry and linearity vs. nonlinearity) of price transmission from international to retail coffee prices in France, Germany and the United States. We show that ignoring these two features of the price transmission process may lead to misleading impact assessments resulting from the elimination of International Coffee Agreement (ICA) in 1990. Our results confirm the presence of threshold effects in both periods (ICA and post ICA) in all three countries. Our estimates show that, in the long-run, the speed of adjustment toward equilibrium becomes faster during the post-ICA period in France and Germany. Our results suggest that, for these two countries, changes in international prices did...
Tipo: Conference Paper or Presentation
Palavras-chave: Threshold; Nonlinearity; Asymmetric Price Transmission; Roasted Coffee; Germany; United States; France; Error Correction Model; Demand and Price Analysis; International Relations/Trade; C32; Q17.
Ano: 2011
URL: http://purl.umn.edu/104024

Price Sensitivities for U.S. Frozen Dairy Products
Provedor de dados: 31
Autores: Maynard,   Leigh J.; Veeramani,   Venkat N.
Price elasticities and flexibilities for frozen dessert products were estimated from weekly scanner data, with emphasis on functional form selection, system misspecification testing, and endogeneity testing.  Reciprocals of elasticities and elasticity matrix inversion were invalid means of obtaining flexibility estimates, leaving direct estimation as the only viable, albeit resource-intensive, approach.
Tipo: Journal Article
Palavras-chave: Dairy; Demand; Price elasticities; Price flexibilities; C32; C52; D11; D12; Q11.
Ano: 2003
URL: http://purl.umn.edu/43194

U.S. Demand for Source–Differentiated Shrimp: A Differential Approach
Provedor de dados: 31
Autores: Jones,   Keithly G.; Harvey,   David J.; Hahn,   William F.; Muhammad,   Andrew.
Estimates of price and scale elasticities for U.S. consumed shrimp are derived using aggregate shrimp data differentiated by source country. Own-price elasticities for all countries had the expected negative signs, were statistically significant, and inelastic. The scale elasticities for all countries were positive and statistically significant at the 1% level with only the United States and Ecuador having scale elasticities of less than one. For the most part, the compensated demand effects showed that most of the cross-price effects were positive. Our results also suggest that despite the countervailing duties imposed by the United States, shrimp demand was fairly stable.
Tipo: Journal Article
Palavras-chave: CBS; Conditional demand; Countervailing duty; Imports; Scale elasticity; Shrimp; Agribusiness; Farm Management; Food Consumption/Nutrition/Food Safety; Production Economics; C32; D12; Q13; Q22.
Ano: 2008
URL: http://purl.umn.edu/47202

Price volatility in ethanol markets
Provedor de dados: 31
Autores: Serra,   Teresa; Zilberman,   David.
Our paper looks at how price volatility in the Brazilian ethanol industry changes over time and across markets. Demand and supply forces in the energy and food markets are likely to ensure that crude oil, ethanol and feedstock prices co-move in the long-run. Hence, when assessing price volatility changes and spillovers in the ethanol industry, one should also pay attention to the notion of cointegration. Until recently, the methods proposed to estimate cointegration relationships, have not explicitly considered time varying volatility in the data. Seo (2007) suggests an estimator of the cointegration vector that explicitly models conditional heteroskedasticity. More specifically, he proposes a maximum likelihood estimator that estimates the error...
Tipo: Conference Paper or Presentation
Palavras-chave: Volatility; Ethanol; Cointegration; Demand and Price Analysis; Research Methods/ Statistical Methods; Q11; C32.
Ano: 2009
URL: http://purl.umn.edu/49940

Price volatility in ethanol markets
Provedor de dados: 31
Autores: Serra,   Teresa; Zilberman,   David.
Our paper looks at how price volatility in the Brazilian ethanol industry changes over time and across markets by using a new methodological approach suggested by Seo (2007). The main advantage of Seo’s proposal over previously existing methods is that it allows to jointly estimate the cointegration relationship between the price series investigated and the multivariate GARCH process. Our results suggest that crude oil prices not only influence ethanol price levels, but also their volatility. Increased volatility in crude oil markets results in increased volatility in ethanol markets. Ethanol prices, on the other hand, influence sugar price levels and an increase in their volatility levels also impacts, though less strongly, on sugar markets.
Tipo: Conference Paper or Presentation
Palavras-chave: Volatility; Ethanol; GARCH; Cointegration; Demand and Price Analysis; Resource /Energy Economics and Policy; Risk and Uncertainty; Q11; C32.
Ano: 2009
URL: http://purl.umn.edu/49188

Nature of Dynamic Relationships Between Farm Real Estate Values and Federal Farm Program Payments
Provedor de dados: 31
Autores: Shaik,   Saleem; Miljkovic,   Dragan.
The objective of this study is to test the dynamic relationships among variables including farm real estate values, farm returns, farm program payments, and real interest rates in an income capitalization model.  Our analysis is unique in multiple ways: (1) it covers the period beginning with the introduction of the first farm bill in 1933 through 2006; (2) assumes endogeneity of the variables, and (3) develops a dynamic modeling framework.  Endogeneity is assumed among farm real estate values, farm program payments, and farm receipts since the direction of causality is unclear from a theoretical standpoint.  Results indicate that policy makers are reactive rather than pro-active in making transfers to farmers.  Once farm program payments are implemented,...
Tipo: Report
Palavras-chave: Dynamics; Farm programs payments; Farm real estate values; Vector error correction model; U.S. data; 1933-2006; Agricultural Finance; Farm Management; Q18; H50; C32.
Ano: 2008
URL: http://purl.umn.edu/44823

Country and border effects in the transmission of maize prices in Eastern Africa: evidence from a semi-parametric regression model
Provedor de dados: 31
Autores: Ihle,   Rico; von Cramon-Taubadel,   Stephan; Zorya,   Sergiy.
This study uses a rich dataset of 85 market pairs between January 2000 and October 2008 for Kenya, Tanzanian and Uganda, the three largest member countries of the East Africa Community, to analyze the factors determining national and cross-national maize price transmission. Although the three countries are members of the community’s customs union and they each claim to pursue maize trade without borders, their agricultural trade policies still differ, thus affecting prices and trade flows to different extents. This analysis extends the existing border effects literature in three ways. First, it assesses the magnitude of price transmission, instead of analyzing trade flows or price variability. Second, distance is shown to have a significant impact on price...
Tipo: Journal Article
Palavras-chave: Border effect; Spatial market integration; Cointegration; Semi-parametric regression; Partially linear model; Eastern Africa; Maize; Demand and Price Analysis; C32; Q11; Q13; Q17; Q18.
Ano: 2010
URL: http://purl.umn.edu/96184

Non-Linearities and Fractional Integration in the US Unemployment Rate
Provedor de dados: 31
Autores: Caporale,   Guglielmo Maria; Gil-Alana,   Luis A.
This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach, based on the tests of Robinson (1994), introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a sequential procedure), using a Lagrange Multiplier procedure with a standard limit distribution. The empirical results suggest that the US unemployment rate can be specified in terms of a fractionally integrated process, which interacts with some non-linear functions of the labour demand variables (real oil prices and real interest rates). We also find evidence of a long-memory component. Our results are consistent with a hysteresis model with path dependency rather...
Tipo: Working or Discussion Paper
Palavras-chave: Unemployment; Asymmetries; Nonlinearities; Fractional Integration; Persistence; Long Memory; Labor and Human Capital; C32; E32.
Ano: 2004
URL: http://purl.umn.edu/26232

A Robust Multivariate Long Run Analysis of European Electricity Prices
Provedor de dados: 31
Autores: Bosco,   Bruno; Parisio,   Lucia; Pelagatti,   Matteo; Baldi,   Fabio.
This paper analyses the interdependencies existing in wholesale European electricity prices. The results of a multivariate long run dynamic analysis of weekly median prices reveal the presence of a strong although not perfect integration among some neighboring markets considered in the sample and the existence of common long-term dynamics of electricity prices and gas prices but not oil prices. The existence of long-term dynamics among gas prices and electricity prices may prove to be important for long-term hedging operations to be conducted even in markets where there are no electricity derivatives.
Tipo: Working or Discussion Paper
Palavras-chave: European Electricity Prices; Cointegration; Interdependencies; Equilibrium Correction Model; Oil Prices; Resource /Energy Economics and Policy; C15; C32; D44; L94; Q40.
Ano: 2007
URL: http://purl.umn.edu/7438

The Relationship between Oil, Exchange Rates, and Commodity Prices
Provedor de dados: 31
Autores: Harri,   Ardian; Nalley,   Lawton Lanier; Hudson,   Darren.
Exchange rates have long been thought to have an important impact on the export and import of goods and services, and, thus, exchange rates are expected to influence the price of those products that are traded. At the same time, energy impacts commodity production in some very important ways. The use of chemical and petroleum derived inputs has increased in agriculture over time; the prices of these critical inputs, then, would be expected to alter supply, and, therefore, the prices of commodities using these inputs. Also, agricultural commodities have been increasingly used to produce energy, thereby leading to an expectation of a linkage between energy and commodity markets. In this paper, we examine the price relationship through time of the primary...
Tipo: Journal Article
Palavras-chave: Cointegration; Commodity prices; Crude oil; Exchange rates; Agribusiness; Consumer/Household Economics; International Relations/Trade; Marketing; Production Economics; Resource /Energy Economics and Policy; C32; L71; Q11; Q40.
Ano: 2009
URL: http://purl.umn.edu/53095

Business cycles in Mexico and the United States:  Do they share common movements?
Provedor de dados: 31
Autores: Herrera Hernandez,   Jorge.
In this document I apply a recently developed econometric technique to prove the existence of common movements between time series. Said methodology is used to test and measure the existence of common cycles between the economies of Mexico and the United States for the 1993-2001 period. It is found that both economies share a common trend and a common cycle. Also, given the existence of one common cycle between these economies, it is found that transitory shocks affecting Mexico’s GDP are more important than when a conventional trend-cycle decomposition methodology is applied. Finally, it is shown that there are efficiency gains in forecasting by considering the common cycle restriction in a bivariate vector error correction model that includes the Mexican...
Tipo: Journal Article
Palavras-chave: Time series models; U.S. GDP; Mexican GDP; C32; O51; O54.
Ano: 2004
URL: http://purl.umn.edu/43550

Is Wine a Financial Parachute?
Provedor de dados: 31
Autores: Baldi,   Lucia; Vandone,   Daniela; Peri,   Massimo.
This paper analyzes the relationship between Global Wine Industry Share Price Indexes and composite stock market indexes using a Threshold Vector Error Correction Model (TVECM), aiming to investigate if investments in the wine sector play a role in determining financial risk and return to investors who include it in their portfolio. Whilst in most of the literature analyses the return of investments of fine wine, this paper places the focus to “normal” (i.e. non‐fine) wine, using data from the Mediobanca database covering companies in the wine industry listed on regulated stock market in France, US, Australia, Chile and China . The dataset cover the time period going from January 1, 2001, to the end of February 2009. The estimates of the TVECM lead to the...
Tipo: Conference Paper or Presentation
Palavras-chave: Wine sector; Stock Market; Threshold Cointegration; Agribusiness; Farm Management; Food Consumption/Nutrition/Food Safety; Production Economics; Research Methods/ Statistical Methods; Q11; G14; C32.
Ano: 2010
URL: http://purl.umn.edu/100506

Effects of Japanese Import Demand on U.S. Livestock Prices: Comment
Provedor de dados: 31
Autores: Kinnucan,   Henry W.
A recent study of Miljkovic, Marsh, and Brester estimates that reductions in the Japanese tariff-rate quota between 1993 and 2001 increased U.S. beef prices by $1.03 per cwt and yen depreciation between 1995 and 1998 reduced U.S. hog prices by $0.99 per cwt.  Relaxing the assumption that U.S. beef and hog supplies are fixed cuts the total elasticities underlying these estimates by 50% or more.  The upshot is that shocks in the Japanese market have little effect on U.S. beef and pork prices.  Hence, producers may be better off focusing on domestic issues such as dietary concerns over red meat consumption.
Tipo: Journal Article
Palavras-chave: Elasticities; Exchange rates; Import demand; Income; Supply response; Tariffs; Q17; F14; C32.
Ano: 2004
URL: http://purl.umn.edu/43432

Price transmission in the Spanish bovine sector: the BSE effect
Provedor de dados: 31
Autores: Hassouneh,   Islam; Serra,   Teresa; Gil,   Jose Maria.
A regime-switching vector error correction model is applied to monthly price data to assess the impact of BSE outbreaks on price relationships and patterns of transmission among farm and retail markets for bovine in Spain. To evaluate the degree to which price transmission is affected by BSE food scares, a BSE food scare index is developed and used to determine regime-switching. Results suggest that BSE scares affect beef producers and retailers differently. Consumer prices are found to be weakly exogenous and not found to react to BSE scares, while producer prices conversely adjusted. The magnitude of the adjustment is found to depend on the magnitude of the BSE scare.
Tipo: Conference Paper or Presentation
Palavras-chave: BSE crisis; Price transmission; Regime-switching; Agribusiness; Agricultural and Food Policy; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; Political Economy; Production Economics; C22; C32.
Ano: 2009
URL: http://purl.umn.edu/50121

Evidence of non-linear price transmission between maize markets in Mexico and the US
Provedor de dados: 31
Autores: Araujo-Enciso,   Sergio Rene.
The present work provides evidence that non linear co-integration between Mexico and the US maize prices exists, at country and regional level. The models suggest that Mexican prices adjust at changes in US prices. Despite asymmetry was statistically rejected, it is likely that it might occur for thriving parameters different that zero in the error correction term. The results suggest on which way the research might be improved in order to assess such co-integration relationship accurately.
Tipo: Conference Paper or Presentation
Palavras-chave: Co-integration; Asymmetric price transmission; Vector error correction model; Error      correction term; Loading parameter; Mexico; US; Maize; Agricultural and Food Policy; Food Security and Poverty; Research Methods/ Statistical Methods; C32; Q11; Q13.
Ano: 2009
URL: http://purl.umn.edu/51366

Responsible Fisheries Through an Investigation into Small Pelagic Fishery in the Italian Adriatic Sea
Provedor de dados: 31
Autores: Finco,   Adele; Di Pronio,   Guido; Sirolla,   G.; Occhionero,   M.
The FAO Code of Conduct for Responsible Fisheries aims at establishing principles and criteria for the elaboration and implementation of national policies for sustainable fisheries management and development.  This objective consists in the identification of correct policy measures on the fish market, which have a strategic consequence on Maximum Sustainable Yield.  The paper provides an investigation into small pelagic fishery in some areas of the Italian Adriatic Sea through the time series method; the investigation is applied to landed captures and prices.  The analysis approach is based on annual data acquired empirically.  The study focuses first on the main dynamics in the period 1976-1986.  IN particular, historical data concerning market quantities...
Tipo: Conference Paper or Presentation
Palavras-chave: Responsible fisheries; Small pelagic fishery; Fish market policy; Time series; Quality; Livestock Production/Industries; Q22; C32.
Ano: 2005
URL: http://purl.umn.edu/56081

Vertical Price Leadership on Local Maize Markets in Benin
Provedor de dados: 31
Autores: Kuiper,   W. Erno; Lutz,   Clemens; van Tilburg,   Aad.
This paper considers vertical price relationships between wholesalers and retailers on five local maize markets in Benin. We show that if the common factor and the long-run disequilibrium error are not explicitly taken into account in testing the channel model, one can easily be wrong about how restrictions on the error-correction structure must be interpreted in terms of economic power in the channel. The empirical results show interesting differences between markets and reveal that retailers play a more prominent role in the price formation process than generally assumed in the literature. Retailers in the two major towns do not allow wholesalers to behave as vertical price leaders, but in the two larger rural centers, wholesalers involved in arbitrage...
Tipo: Conference Paper or Presentation
Palavras-chave: Vertical price leadership; Marketing channels; Cointegration; Common Factor; Benin; Demand and Price Analysis; C32; D40; L10; O18; Q13.
Ano: 2002
URL: http://purl.umn.edu/24886

IS THE EXPORT-LEAD GROWTH HYPOTHESIS VALID FOR CANADA?
Provedor de dados: 31
Autores: Awokuse,   Titus O.
Empirical evidence linking exports to economic growth has been mixed and inconclusive. This study re-examine the export-led growth (ELG) hypothesis for Canada by testing for Granger causality from exports to national output growth using vector error correction models (VECM) and the augmented vector autoregressive (VAR) methodology developed in Toda and Yamamoto (1995). Application of recent developments in time series modeling and the inclusion of relevant variables omitted in previous studies help clarify the contradictory results from prior studies on the Canadian economy. The empirical results suggest that a long-run steady state exists among the model's six variables and that Granger causal flow is unidirectional from real exports to real GDP.
Tipo: Working or Discussion Paper
Palavras-chave: International Development; International Relations/Trade; F43; C32.
Ano: 2002
URL: http://purl.umn.edu/15823

Return Relationships Among European Equity Sectors: A Comparative Analysis Across Selected Sectors in Small and Large Economies
Provedor de dados: 31
Autores: Taing,   Siv; Worthington,   Andrew.
This paper examines return interrelationships between numbers of equity sectors across several European markets. The markets comprise six Member States of the European Union (EU): namely, Belgium, Finland, France, Germany, Ireland and Italy. The five sectors include the consumer discretionary, consumer staples, financial, industrials and materials sectors. Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCHM) models are used to consider the impact of returns in other European markets on the returns in each market across each sector. The results indicate that there are relatively few significant interrelationships between sectors in different markets, with most of these accounted for by the larger markets in France, Germany and Italy....
Tipo: Journal Article
Palavras-chave: Risk and return; Volatility; Autoregressive conditional heteroskedasticity; C32; F36; G15.
Ano: 2005
URL: http://purl.umn.edu/37160

Spot and Futures Prices of Agricultural Commodities: Fundamentals and Speculation
Provedor de dados: 31
Autores: Baldi,   Lucia; Peri,   Massimo; Vandone,   Daniela.
This paper investigates the long-run relationship between spot and futures prices for corn and soybeans, for the period January 2004 -September 2010. We apply cointegration methodology in the presence of potentially unknown structural breaks in the commodities prices and we then study the causality relationships between spot and futures prices within each specific sub-period identified, with the aim to analyze where changes in spot and futures price originate and how they spread. Empirical estimates highlight the following evidence: i) breaks relate to events that have significantly affected the supply and demand of corn and soybeans for food and energy purposes; ii) subperiods consequently identified express different dynamics in the causal relationship...
Tipo: Presentation
Palavras-chave: Commodity; Futures markets; Price discovery; Cointegration; Structural breaks; Agribusiness; Agricultural and Food Policy; Productivity Analysis; C32; G13; G14; Q11.
Ano: 2011
URL: http://purl.umn.edu/122002

Integração espacial de mercados na presença de custos de transação: um estudo para o mercado de boi gordo em Minas Gerais e São Paulo
Provedor de dados: 31
Autores: Mattos,   Leonardo Bornacki de; Lima,   Joao Eustaquio de; Lirio,   Viviani Silva.
The analysis of market integration of agricultural commodities based on price information are limited because the effects of transaction costs are not considered in the adjustment process. The main objective of this paper was to estimate the possible transaction costs impacts on market integration of beef cattle between the states of Minas Gerais and São Paulo. It was estimated a Threshold Vector Error Correction Model (TVEC model) using monthly price data for the period from January 1972 to August 2005. The results indicated the presence of threshold cointegration implying that transaction costs have important effect on the price adjustment process.
Tipo: Journal Article
Palavras-chave: Market integration; Transaction costs; Beef cattle; TVEC model; Threshold cointegration.; Agribusiness; Q13; C32.
Ano: 2009
URL: http://purl.umn.edu/60821

Monetary Impacts and Overshooting of Agricultural Prices in a Transition Economy: The Case of Slovenia
Provedor de dados: 31
Autores: Bakucs,   Lajos Zoltan; Bojnec,   Stefan; Ferto,   Imre.
The paper focus on the time adjustment paths of the exchange rate and agricultural producer and industrial prices in response to unanticipated monetary shocks following model developed by Saghaian et al. (2002). We employ Johansen's cointegration test along with a vector error correction model to investigate whether agricultural producer prices overshoot in a transition economy. Results indicate that agricultural prices adjust faster than industrial prices to innovations in the money supply, affecting relative prices in the short run, but strict long-run money neutrality does not hold. The impulse response analysis shows that an exogenous shock to the money supply has a significant and volatile effect on the three price variables. Initially, both the...
Tipo: Conference Paper or Presentation
Palavras-chave: Agricultural prices; Exchange rates; Monetary shocks; Overshooting; Transition economy; Financial Economics; C32; E51; P22; Q11.
Ano: 2006
URL: http://purl.umn.edu/25515

DEMAND INTERACTION BETWEEN FARMED SALMON AND WILD CAUGHT FISH IN THE UNITED KINGDOM
Provedor de dados: 31
Autores: Fofana,   Abdulai; Clayton,   Patty.
Demand relationships between salmon and a number of wild-caught whitefish and shellfish species using both single equation models and linearised AIDS system framework. The system is well represented although autocorrelation were found in both approaches but this is less of a problem in the systems approach. A cautious interpretation of the results indicated that salmon had a long-run market relationship with the whitefish species of cod, monkfish, saithe, whiting and plaice and with the shellfish species of mussels, nephrops, scallops and shrimp. These groups contain the main seafood species consumed within the United Kingdom, and therefore should include most potential substitutes for salmon.
Tipo: Working or Discussion Paper
Palavras-chave: Demand; Salmon; Whitefish; Shellfish; AIDS; Elasticities; Demand and Price Analysis; Resource /Energy Economics and Policy; C32; C22; D12.
Ano: 2003
URL: http://purl.umn.edu/11828

Why Is French Equilibrium Unemployment So High? An Estimation of the WS-PS Model.
Provedor de dados: 31
Autores: L'Horty,   Yannick; Rault,   Christophe.
Unemployment in France rose steadily from the early-seventies to the mid-eighties. Since the mid-eighties it has continued to experience fluctuations around a very high average level. Equilibrium unemployment theories are a useful framework within which to account for these developments. A multivariate estimation of the WS-PS model on macroeconomic quarterly data, which includes a larger number of potential unemployment determinants than earlier work, allows an enriched reading of the rise in French unemployment and of its persistence at a high level. We estimated it using a conditional VAR-ECM model, which is based upon the weak exogeneity properties of variables over the 1970-1/1996-4 period. The rise in equilibrium unemployment by 10 points in 25 years...
Tipo: Journal Article
Palavras-chave: Labour market; WS-PS model; Equilibrium unemployment; Cointegration; Conditional VAR-ECM model; Labor and Human Capital; C32; E24.
Ano: 2003
URL: http://purl.umn.edu/44062

Issues and Strategies for Aggregate Supply Response Estimation for Policy Analyses
Provedor de dados: 31
Autores: Ramirez,   Octavio A.; Mohanty,   Samarendu; Carpio,   Carlos E.; Denning,   Megan.
We demonstrate the use of the small-sample econometrics principles and strategies to come up with reliable yield and acreage models for policy analyses.  We focus on demonstrating the importance of proper representation of systematic and random components of the model for improving forecasting precision along with more reliable confidence intervals for the forecasts.  A probability distribution function modeling approach, which has been shown to provide more reliable confidence intervals for the dependent variable forecasts than the standard models that assume error term normality, is used to estimate cotton supply response in the Southeastern United States.
Tipo: Journal Article
Palavras-chave: Nonnormality; Probability distribution function; Supply response; Q11; Q18; C32.
Ano: 2004
URL: http://purl.umn.edu/43420

Border Effects on Spatial Price Transmission between Fresh Tomato Markets in Ghana and Burkina-Faso: Any Case for Promoting Trans-Border Trade in West Africa?
Provedor de dados: 31
Autores: Amikuzuno,   Joseph.
Cross-border trade in food commodities within sub-regional economic blocks in Sub-Sahara Africa (SSA) is believed to be faster, cheaper, more convenient and welfare-enhancing than overseas trade between SSA countries and the USA, EU and the BRIC countries. The difficulty of commodity arbitrage across international borders SSA is however a fundamental constraint to price transmission, market integration and the realisation of the welfare-enhancing role of cross-border trade in Africa. This study examines the impact of border and distance on price transmission between tomato markets in Ghana and Burkina-Faso. The analysis applies a regime-switching vector error correction model to estimate semi-weekly, wholesale prices of tomato in four tomato markets in...
Tipo: Conference Paper or Presentation
Palavras-chave: Price Transmission; Border; Tomato; Ghana; Burkina-Faso; Agribusiness; C32; Q11; Q13; Q17; Q18.
Ano: 2011
URL: http://purl.umn.edu/115519

The Impacts of Animal Disease Crises on the Korean Meat Market
Provedor de dados: 31
Autores: Park,   Moon-Soo; Jin,   Yanhong H.; Bessler,   David A.
Employing the error correction method and historical decomposition with direct acyclic graphs, we quantify the impacts of domestic and oversea animal disease crises on the Korean meat markets. We find that (a) the market partially recovered 16 months after the foot-and-mouth outbreak in 2000, and 13 months after the avian influenza and the U.S. BSE incidents in 2003; (b) animal disease outbreaks have differentiate impacts by disease type and supply chain level. Retailers likely to have windfall profits as the retail price margin increased relative to the farm and wholesale levels; and (c) disease outbreaks affect dynamic price interdependence.
Tipo: Conference Paper or Presentation
Palavras-chave: Animal disease outbreak; Error correction model; Direct acyclic graphs; Korean meat market; Historical Decomposition; Price margins; Livestock Production/Industries; C32; Q11; L11.
Ano: 2008
URL: http://purl.umn.edu/6365

Seasonal Asymmetric Price Transmission in Ghanaian Tomato Markets: Adapting Johansen’s Estimation Method
Provedor de dados: 31
Autores: Amikuzuno,   Joseph; Ihle,   Rico.
We assess market integration and price transmission of perishable agricultural produce in Sub-Saharan Africa by studying Ghanaian tomato markets which are characterized by pronounced seasonality in production and trade flows. We analyse the tomato markets of Ghana by simultaneously regarding its five most important markets, Navrongo, Techiman, Kumasi, Tamale and Accra, in a multivariate asymmetric price transmission framework. The estimation of the model is based on a unique dataset and on a modified version of the Johansen estimation procedure which is suitable for estimating such multivariate models. We estimate the price transmission parameters for four regimes which are a combination of the seasonal patterns in trade flows and asymmetries in the...
Tipo: Conference Paper or Presentation
Palavras-chave: Asymmetric price transmission; Cointegration; Ghana; Regime-dependent model; Seasonality; Tomato; Vector error-correction model; Crop Production/Industries; Demand and Price Analysis; C32; Q11; Q13; F14; F15.
Ano: 2010
URL: http://purl.umn.edu/96814

Modelling Asymmetric Dependence Using Copula Functions: An Application to Value-at-Risk in the Energy Sector
Provedor de dados: 31
Autores: Bastianin,   Andrea.
In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a large cap stock index for the oil and gas industry. The following empirical questions have been analyzed: (i) are there nonnormalities in the marginals? (ii) are there nonnormalities in the dependence structure? (iii) is it worth modelling these nonnormalities in risk- management applications? (iv) do complicated models perform better than simple models? As for questions (i) and (ii) I have shown that the data do deviate from the null of normality at the univariate, as well as at the multivariate level. When considering the dependence structure of the data I have found that asymmetries show up in their...
Tipo: Working or Discussion Paper
Palavras-chave: Copula functions; Forecasting; Value-At-Risk; Risk and Uncertainty; C32; C52; C53; G17; Q43.
Ano: 2009
URL: http://purl.umn.edu/50452

INVESTIGATING RAPESEED PRICE VOLATILITIES IN THE COURSE OF THE FOOD CRISIS
Provedor de dados: 31
Autores: Busse,   Stefan; Brümmer,   Bernhard; Ihle,   Rico.
C2_3
Tipo: Conference Paper or Presentation
Palavras-chave: Multivariate GARCH; MATIF; Rapeseed; Crude oil; Volatilities; Food crisis; Demand and Price Analysis; Research Methods/ Statistical Methods; C32; E44; G1; Q11; Q13; Q49.
Ano: 2010
URL: http://purl.umn.edu/93957

LL601 Contamination and Its Impact on U.S. Rice Prices
Provedor de dados: 31
Autores: Li,   Yarui; Wailes,   Eric J.; McKenzie,   Andrew M.; Thomsen,   Michael R.
LL601 is a genetically modified rice variety and unapproved for commercial use. Its presence was found in commercial shipments of U.S. rice in 2006. This article explores its impact on prices and volume marketed for both the United States and Thailand, the major export competitor. The results show a significantly adverse but short duration effect on the U.S. rice market and little to no effect on the Thai rice market.
Tipo: Journal Article
Palavras-chave: Cointegration; Error correction model; Event study analysis; GM contamination; LibertyLink Rice 601; U.S. rice exports; Agribusiness; Agricultural and Food Policy; Crop Production/Industries; Food Consumption/Nutrition/Food Safety; International Relations/Trade; Research and Development/Tech Change/Emerging Technologies; C10; C32; Q11; A52.
Ano: 2010
URL: http://purl.umn.edu/57154

Agricultural Inter-Sectoral Linkages and Its Contribution to Economic Growth in the Transition Countries
Provedor de dados: 31
Autores: Subramaniam,   Vijay; Reed,   Michael R.
This study estimates an econometric model that incorporates the linkages among agriculture, manufacturing, service and trade sectors using a vector error correction model for Poland and Romania. Three cointegrating vectors for Poland and one for Romania confirm that the different sectors in the Poland and Romania moved together over the sample period, and for this reason, their growth rates are interdependent. The long-run relationship of industrial, service and trade sectors to agricultural sector were established, and the results show that the industrial sector in Poland contributes positively to the agricultural sector while the growing service sector shows mixed results. The results of Romania indicate that the industrial sector is detrimental to...
Tipo: Conference Paper or Presentation
Palavras-chave: Transition economy; Inter-sectoral growth linkages; Cointegration analysis; International Development; Research Methods/ Statistical Methods; P20; 041; C32.
Ano: 2009
URL: http://purl.umn.edu/51586

Entwicklung eines Modells zur Projektion des Wirtschaftswachstums und der langfristigen Nachfrage nach Produktionsfaktoren in Deutschland: unter besonderer Berucksichtigung des informations- technologischen Innovationsprozesses
Provedor de dados: 31
Autores: Danckwerts,   Rudolf-Ferdinand; Grossmann,   Wolf Dieter; Henne,   Wolfgang.
Es wird das Konzept für ein makroökonomisches Strukturmodell mit integriertem Innovationsprozesskern zur Analyse und Projektion der Wirtschaftsentwicklung in Deutschland vorgestellt. Das geplante Modell soll explizit die Auswirkungen des immer bedeutsamer werdenden IuK-technologischen Innovationsprozesses auf das Wirtschaftswachstum erfassen. Das Modell besteht aus einem makroökonometrischen Teil zur Darstellung der gesamtwirtschaftlichen Entwicklung und einem systemdynamischen Teil zur Erfassung des Innovationsprozesses auf mikroökonomischer Ebene. Als Modellteile sind zwei bereits existierende Modelle, das HWWA-Modell und das ISIS-Modell, nach ihrer Erweiterung und Anpassung vorgesehen. Die erforderlichen Modifizierungen, das Verfahren zur Kopplung der...
Tipo: Working or Discussion Paper
Palavras-chave: Zeitreihenmodelle; Dynamische Analyse; Prognose und Simulation; Neue Ökonomie; Technischer Wandel; Research Methods/ Statistical Methods; C32; C53; C61; E17; O33.
Ano: 2003
URL: http://purl.umn.edu/26166

Co-integração entre os mercados spot e futuro: evidências dos mercados de boi gordo e soja
Provedor de dados: 31
Autores: Abitante,   Kleber Giovelli.
One of the measures of future markets’ efficiency is its linkage with the spot market. The objective of this paper is to verify the existence of a statistical linkage between spot market and the Brazilian Mercantile &amp; Future Exchange (BM&amp;F) live cattle future market and between spot market and the BM&amp;F and Chicago Board of Trade (CBOT) soybean future market. In addition, an efficiency indicator for the BM&amp;F live cattle future market was estimated. With regard to live cattle, the daily time series used was price of the future contracts with maturity month between January/05 and November/05 and for soybean, the price of the future contracts used was with maturity between March 2005 until September 2005 and November 2005. Concerning live...
Tipo: Journal Article
Palavras-chave: Cointegration; Futures markets; Soybean; Live cattle.; Agribusiness; C32; Q1; Q11.
Ano: 2008
URL: http://purl.umn.edu/61272

Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach
Provedor de dados: 31
Autores: Manera,   Matteo; Nicolini,   Marcella; Vignati,   Ilaria.
This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between commodities are present and the conditional correlations among commodities are high and time-varying.
Tipo: Working Paper
Palavras-chave: Energy; Commodities; Futures Markets; Financial Speculation; Multivariate GARCH; Financial Economics; C32; G13; Q11; Q43.
Ano: 2012
URL: http://purl.umn.edu/122868

THE ROLE OF ASYMMETRIC PRICE TRANSMISSION AND STRUCTURAL BREAKS IN THE RELATIONSHIP BETWEEN COSTA RICAN MARKETS OF LIVESTOCK CATTLE, BEEF AND MILK
Provedor de dados: 31
Autores: Hernandez-Villafuerte,   Karla Vanessa.
The research analyzes the price transmission among the Costa Rican markets of cattle, beef and milk, accounting for asymmetric behavior and structural breaks. Monthly price data covering the first month of 1998 to the fourth month of 2008 were used. Price transmission between each market pair was found. The Price adjustment is consistent at 1% of significant with the behaviour expected. Cattle prices adjust in the milk - cattle relationship, beef meat prices adjust in the cattle - beef meat relation and in the milk - beef meat relation. This finding supports the statement regarding the leading position of “Dos Pinos” as the main player in the market. The results of the asymmetric analysis are not as expected. The coefficients of both adjustments (positive...
Tipo: Conference Paper or Presentation
Palavras-chave: Asymmetric prices transmission; Structural breaks; Livestock; Beef; Milk; Costa Rica.; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; Livestock Production/Industries; C32; Q11; Q13.
Ano: 2008
URL: http://purl.umn.edu/51697

How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets
Provedor de dados: 31
Autores: Hernandez,   Manuel A.; Ibarra,   Raul; Trupkin,   Danilo R.
This paper examines the dynamics of volatility across major global exchanges for corn, wheat, and soybeans in the United States, Europe, and Asia. We follow a multivariate GARCH approach and account for the potential bias that may arise when considering exchanges with different closing times. The results indicate that agricultural markets are highly interrelated and there are both own- and cross-volatility spillovers and dependence among most of the exchanges. Chicago particularly plays a major role in terms of spillover effects over other markets. Additionally, the level of interdependence between exchanges has only increased in recent years for some commodities.
Tipo: Presentation
Palavras-chave: Volatility transmission; Agricultural commodities; Futures markets; Multivariate GARCH; Risk and Uncertainty; Q11; G15; C32.
Ano: 2012
URL: http://purl.umn.edu/122511

Intra-industry Trade in Agricultural Products on intra-EC level: The Impact of the Common Agricultural Policy (CAP) Funds
Provedor de dados: 31
Autores: Katrakilidis,   Konstantinos; Mardas,   Dimitri.
This paper aims at specifying the main determinants of the intra-industry trade in agricultural products, associated with the funds of the Common Agricultural Policy (CAP) of the EC, and more precisely, with its “price support mechanism” and its “structural reform policy.” It presents CAP’s reformed main tools and mechanisms, and explains the choice of selected variables as determinants of intra-industry trade in agricultural products at intra-EC trade. The econometric analysis covers the period 1973-2005, following recent developments in time-series analysis employing the ARDL approach to cointegration. The empirical results provide evidence of Granger causal effects in both on short-run and long-run horizon running from CAP’s above mentioned policy tools...
Tipo: Article
Palavras-chave: Common Agricultural Policy (CAP); Economic integration; Intraindustry trade; Agribusiness; Agricultural and Food Policy; Q17; F15; C32.
Ano: 2010
URL: http://purl.umn.edu/118670

Common Trends, Common Cycles, and Price Relationships in the International Fiber Market - Evidence from a Seemingly Unrelated Structural Time Series
Provedor de dados: 31
Autores: Fadiga,   Mohamadou L.; Misra,   Sukant K.
This study shows that the stochastic process that governs price fluctuations in the international fiber market has transitory and permanent components. The results also indicate structural relationships between cotton price and wool price, wool price and oil price, rayon price and cotton price, and between polyester price and cotton price.
Tipo: Conference Paper or Presentation
Palavras-chave: Unobserved components; State-space; Kalman filter; Fiber prices; Cofeature; International Relations/Trade; C32; Q11.
Ano: 2005
URL: http://purl.umn.edu/35545

Analysis of Import Demand for Wooden Beds in the U.S.
Provedor de dados: 31
Autores: Wan,   Yang; Sun,   Changyou; Grebner,   Donald L.
The market of wooden beds in the U.S. has been flooded with imports from China and Vietnam in recent years. Static and dynamic Almost Ideal Demand System models are used to assess the import demand for wooden beds from the top seven supplying countries. The analyses reveal that the antidumping investigation on China has some temporary trade depression effect on China, but trade diversion occur  to Vietnam, Indonesia, Canada, and Brazil. The formal implementation of antidumping duties since 2005 has not shown any significant effect on the trade pattern. U.S. consumers spend more on beds from newly industrialized countries and there are moderate degrees of substitution among wooden beds from most countries.
Tipo: Journal Article
Palavras-chave: Antidumping; Cointegration; Demand elasticity; Furniture; Trade diversion; Agribusiness; Consumer/Household Economics; Demand and Price Analysis; Financial Economics; Marketing; C32; D12; F14; Q23.
Ano: 2010
URL: http://purl.umn.edu/100522

JAPANESE IMPORT DEMAND FOR U.S. BEEF AND PORK: EFFECTS ON U.S. RED MEAT EXPORTS AND LIVESTOCK PRICES
Provedor de dados: 31
Autores: Miljkovic,   Dragan; Marsh,   John M.; Brester,   Gary W.
Japanese import demand for U.S. beef and pork products and the effects on domestic livestock prices are econometrically estimated.  Japan is the most important export market for U.S. beef and pork products.  Results indicate foreign income, exchange rates, and protectionist measures are statistically significant.  The comparative statistics quantify the effects of recent economic volatility.  For example, the 1995-1998 depreciation in the Japanese yen (39%) reduced U.S. slaughter steer and hog prices by $1.29 per cwt and $0.99 per cwt, respectively, while the 1994-1998 reduction in tariffs (14%) increased slaughter steer and hog prices by $0.49 per cwt and $0.33 per cwt, respectively.  Livestock producers will continue to have a vested interest in Asian...
Tipo: Journal Article
Palavras-chave: Elasticities; Exchange rates; Import demand; Income; Tariffs; Demand and Price Analysis; Q17; F14; C32.
Ano: 2002
URL: http://purl.umn.edu/15072

Efficiency in Information Processing: A Study of Non-Nearby Currency Futures and Relationships with Nearby Counterparts
Provedor de dados: 31
Autores: Chen,   Kim Heng; Han,   Li-Ming.
This paper provides a comprehensive analysis of the responses of non-nearby Japanese yen and Deutsche mark futures contracts to macroeconomic announcements and the efficiency of information flow between the nearby and non-nearby contracts. The results show that macroeconomic announcements affect the non-nearby futures returns more through their effects on interest rate differentials than through the underlying spot exchange rates. Information flows efficiently between the Deutsche mark nearby and non-nearby contracts, while information flows primarily from the Japanese yen nearby contracts to the non-nearby counterparts.
Tipo: Journal Article
Palavras-chave: Nearby and non-nearby currency futures contracts; Macroeconomic announcement; Information and liquidity trading; Financial Economics; C32; G14.
Ano: 2006
URL: http://purl.umn.edu/50279

Relationship between Spatial Price Transmission and Geographical Distance in Brazil
Provedor de dados: 31
Autores: Hernandez-Villafuerte,   Karla Vanessa.
Selected Paper prepared for presentation at the Agricultural &amp; Applied Economics Association’s 2011 AAEA &amp; NAREA Joint Annual Meeting, Pittsburgh, Pennsylvania, July 24-26, 2011. (Poster Presentation)
Tipo: Conference Paper or Presentation
Palavras-chave: Cointegration; Price transmission; Geographical distance; Structural breaks; Principal component regression; Rice; Brazil.; Agricultural and Food Policy; Demand and Price Analysis; C32; Q11; Q13.
Ano: 2011
URL: http://purl.umn.edu/103677

Estimating Asymmetric Advertising Response: An Application to U.S. Nonalcoholic Beverage Demand
Provedor de dados: 31
Autores: Zheng,   Yuqing; Kaiser,   Harry M.
We propose a regime-switching model that allows demand to respond asymmetrically to upward and downward advertising changes. With the introduction of a smooth transition function, the model features smooth rather than abrupt parameter changes between regimes. We apply the model to nonalcoholic beverage data in the United States for 1974 through 2005 to investigate asymmetric advertising response. Results indicate that a decrease in milk advertising had a more profound impact on milk demand than an increase did. An increase in milk advertising had no impact on milk demand, but a decrease could have an own-advertising elasticity up to 0.049.
Tipo: Journal Article
Palavras-chave: Asymmetric advertising response; Demand system; Negative asymmetry; Nonalcoholic beverage demand; Positive asymmetry; Regime switching; Smooth transition function; Agribusiness; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; C32; M37; Q11.
Ano: 2008
URL: http://purl.umn.edu/47262

Monetary Impacts and Overshooting of Agricultural Prices in a Transition Economy
Provedor de dados: 31
Autores: Bakucs,   Lajos Zoltan; Ferto,   Imre.
The paper focus on the time adjustment paths of the exchange rate and prices in response to unanticipated monetary shocks following model developed by Saghaian et al. (2002). We employ Johansen's cointegration test along with a vector error correction model to investigate whether agricultural prices overshoot in a transition economy. The empirical results indicate that agricultural prices adjust faster than industrial prices to innovations in the money supply, affecting relative prices in the short run, but strict long-run money neutrality does not hold.
Tipo: Conference Paper or Presentation
Palavras-chave: Agricultural prices; Exchange rates; Monetary shocks; Overshooting; Transition economy; Agricultural Finance; C32; E51; P22; Q11.
Ano: 2005
URL: http://purl.umn.edu/24711

Effects of Japanese Import Demand on U.S. Livestock Prices: Reply
Provedor de dados: 31
Autores: Miljkovic,   Dragan; Marsh,   John M.; Brester,   Gary W.
In responding to a comment article, we concur that quantifying U.S. livestock price response to changing Japanese met import demand requires nonzero supply elasticities beyond one quarter. However, rigidities in market trade and empirical tests justify the inclusion of exchange rates in the short-run analysis. Producer welfare asymptotically approaches zero for increasing supply elasticities in the long run, but short-run transitions in producer surplus are meaningful to producers.
Tipo: Journal Article
Palavras-chave: Exchange rates; Import demand; Supply response; Q17; F14; C32.
Ano: 2004
URL: http://purl.umn.edu/42940

International Interlinkages of Biofuel Prices: The Role of Biofuel Policies
Provedor de dados: 31
Autores: Rajcaniova,   Miroslava; Drabik,   Dusan; Ciaian,   Pavel.
Based on their theoretical predictions, Kliauga, de Gorter, and Just (2008) and de Gorter, Drabik, and Just (2010) argue that the United States and the European Union establish the world ethanol and biodiesel prices, respectively. We test these theories using cointegration analysis and the Vector Error Correction (VEC) model. Weekly price series are analyzed for the major global biofuel producers (European Union, United States, and Brazil) for the period 2002 – 2010. Polices in the United States and Brazil appear to play an equal role in determining ethanol prices in other countries, thus only partially confirming the theoretical predictions. For biodiesel, our results demonstrate that the EU mandate impacts the world biodiesel price and thus they confirm...
Tipo: Conference Paper or Presentation
Palavras-chave: Biofuels; Biofuel polices; Price leadership; VEC; International Relations/Trade; Resource /Energy Economics and Policy; C32; Q16; Q17; Q47.
Ano: 2011
URL: http://purl.umn.edu/114786

The Influence of Macroeconomic Variables on the Hungarian Agriculture
Provedor de dados: 31
Autores: Bakucs,   Lajos Zoltan; Ferto,   Imre.
This paper focus on the time adjustment paths of the exchange rate and prices in response to unanticipated monetary shocks following model developed by Saghaian et al. (2002). We employ Johansen's cointegration test along with a vector error correction model to investigate whether agricultural prices overshoot in a transition economy. The empirical results indicate that agricultural prices adjust faster than industrial prices to innovations in the money supply, affecting relative prices in the short run, but strict long-run money neutrality does not hold.
Tipo: Conference Paper or Presentation
Palavras-chave: Agricultural prices; Exchange rates; Monetary shocks; Overshooting; Transition economy; Demand and Price Analysis; C32; E51; P22; Q11.
Ano: 2005
URL: http://purl.umn.edu/19232

Spatial Price Adjustment with and without Trade
Provedor de dados: 31
Autores: Stephens,   Emma C.; Mabaya,   Edward T.
In this paper we introduce a switching error correction model (SECM) estimator that allows for the possibility that price transmission between markets might vary during periods with and without physical trade flows. Applying this new approach to semi-weekly data on tomato markets in Zimbabwe, we find that intermarket price adjustment occurs quickly and as much when there is no trade as when product flows from one market to another. This finding underscores the importance of information flow for market performance.
Tipo: Conference Paper or Presentation
Palavras-chave: Marketing; Research Methods/ Statistical Methods; Q13; R12; C32; P42.
Ano: 2008
URL: http://purl.umn.edu/6538

Seafood Import Demand in the Caribbean Region
Provedor de dados: 31
Autores: Nguyen,   Giap V.; Jolly,   Curtis M.
Cointegration analysis and an Error Correction Model are used to estimate aggregate seafood import demand functions for selected Caribbean countries.  The results show that seafood import demand is price elastic.  Exchange rate has a negative effect on seafood import quantity.  Income and tourist arrivals have positive impacts on seafood imports.  Seafood import negatively affects domestic fishery production.  Tariff and production support policies reduce seafood imports, and enhance domestic production.   Both policies increase producer surplus, but a tariff reduces consumer surplus, and a production expansion policy increases consumer surplus. A production expansion subsidy is a more appropriate policy instrument than a tariff for small open economies,...
Tipo: Conference Paper or Presentation
Palavras-chave: Seafood; Import demand; Cointegration; Economic surplus; Agricultural and Food Policy; International Relations/Trade; Q17; Q22; C32.
Ano: 2010
URL: http://purl.umn.edu/56479

Business cycles in Mexico and the United States:  Do they share common movements?
Provedor de dados: 31
Autores: Herrera Hernandez,   Jorge.
In this document I apply a recently developed econometric technique to prove the existence of common movements between time series. Said methodology is used to test and measure the existence of common cycles between the economies of Mexico and the United States for the 1993-2001 period. It is found that both economies share a common trend and a common cycle. Also, given the existence of one common cycle between these economies, it is found that transitory shocks affecting Mexico’s GDP are more important than when a conventional trend-cycle decomposition methodology is applied. Finally, it is shown that there are efficiency gains in forecasting by considering the common cycle restriction in a bivariate vector error correction model that includes the Mexican...
Tipo: Journal Article
Palavras-chave: Time series models; U.S. GDP; Mexican GDP; C32; O51; O54.
Ano: 2004
URL: http://purl.umn.edu/43546

The ENSO Impact on Predicting World Cocoa Prices
Provedor de dados: 31
Autores: Ubilava,   David; Helmers,   Claes Gustav.
Cocoa beans are produced in equatorial and sub-equatorial regions of West Africa, Southeast Asia and South America. These are also the regions most affected by El Nino Southern Oscillation (ENSO) -- a climatic anomaly affecting temperature and precipitation in many parts of the world. Thus, ENSO, has a potential of affecting cocoa production and, subsequently, prices on the world market. This study investigates the benefits of using a measure of ENSO variable in world cocoa price forecasting through the application of a smooth transition autoregression (STAR) modeling framework to monthly data to examine potentially nonlinear dynamics of ENSO and cocoa prices. The results indicate that the nonlinear models appear to outperform linear models in terms of...
Tipo: Conference Paper or Presentation
Palavras-chave: Cocoa Prices; El Nino Southern Oscillation; Out-of-Sample Forecasting; Smooth Transition Autoregression; Demand and Price Analysis; Environmental Economics and Policy; Research Methods/ Statistical Methods; C32; Q11; Q54.
Ano: 2011
URL: http://purl.umn.edu/103528

FOOD SAFETY INFORMATION AND MEAT DEMAND IN SPAIN
Provedor de dados: 31
Autores: Radwan,   Amr; Gil,   Jose Maria; Ben Kaabia,   Monia; Serra,   Teresa.
This paper analyses the impact of food safety information about the “mad-cow” crisis on the demand for different types of fresh meat and fish in Spain. The theoretical model explicitly incorporates food safety information in the consumers’ utility function, from which demand equations are obtained. Two alternative functional forms have been considered, the standard AIDS and the Generalized Almost ideal Demand System (GAIDS) in order to overcome the problem of incorporating demand shifters in the traditional AIDS model. The food safety information has been incorporated into the demand function through a weighted information index built on the basis of the published news related to the mad-cow disease in the most popular Spanish newspaper. The comparison of...
Tipo: Conference Paper or Presentation
Palavras-chave: Meat consumption; Food safety information; BSE; Demand systems; GAIDS; Consumer/Household Economics; Food Consumption/Nutrition/Food Safety; Q11; C32; D12.
Ano: 2009
URL: http://purl.umn.edu/51540

Asimetrías en la transmisión de precios en el sector del tomate en España
Provedor de dados: 31
Autores: Ben Kaabia,   Monia; Gil Roig,   Jose Maria.
RESUMEN: El objetivo de este trabajo consiste en analizar el proceso de transmisión de precios a lo largo de la cadena comercial en el sector del tomate en España. Para ello se han considerado el precio percibido por el productor y el pagado por el consumidor. El enfoque metodológico adoptado se basa en la estimación de un Vector de Corrección del Error con umbrales. Los resultados indican que, a largo plazo, los dos precios son homogéneos. Sin embargo, en el corto plazo las reacciones de precios, tanto en velocidad como en magnitud, son asimétricas. Es más, los resultados indican que los detallistas se benefician (en el sentido de que son capaces de aumentar el margen comercial) de cualquier shock, ya sea positivo o negativo, que afecte tanto a las...
Tipo: Journal Article
Palavras-chave: Asimetrías; Cointegración por umbrales; Precios; Tomate; Threshold cointegration; Prices; Tomato; Asymmetries; Demand and Price Analysis; Research Methods/ Statistical Methods; C32; Q13.
Ano: 2008
URL: http://purl.umn.edu/37189

Inside the Black Box: Price Linkage and Transmission Between Energy and Agricultural Markets
Provedor de dados: 31
Autores: Du,   Xiaodong; McPhail,   Lihong Lu.
This study addresses the complex relationship between energy and agricultural markets—represented by corn, ethanol, and gasoline prices—particularly in light of the growth in biofuel production. Contemporaneous price response and transmission of market shocks are investigated in a simultaneous-equation system to disclose fundamental driving forces before and after the development of large-scale ethanol production. We use a dynamic conditional correlation multivariate GARCH model to demonstrate a strengthening relationship among corn, ethanol, and gasoline prices. We identify a structural change point at March 25, 2008 using the test by Bai and Perron (2003).  The strengthened market relationship is further illustrated by variance decomposition based on a...
Tipo: Conference Paper or Presentation
Palavras-chave: Corn; Ethanol; Gasoline; Structural break; Structural VAR; GARCH; Agricultural and Food Policy; Demand and Price Analysis; Research Methods/ Statistical Methods; Resource /Energy Economics and Policy; C32; Q11; Q4.
Ano: 2011
URL: http://purl.umn.edu/103268

Dynamic Interrelationships between the U.S. Agricultural Trade Balance and the Macroeconomy
Provedor de dados: 31
Autores: Baek,   Jungho; Koo,   Won W.
The effects of the exchange rate and the income and money supply of the United States and its major trading partners on the U.S. agricultural trade balance are examined using an autoregressive distributed lag (ARDL) model. Results suggest that the exchange rate is the key determinant of the short-and long-run behavior of the trade balance. It is also found that the income and money supply in both the United States and the trading partners have significant impacts on U.S. agricultural trade in both the short and long run.
Tipo: Journal Article
Palavras-chave: Agricultural trade balance; Autoregressive distributed lag model; Exchange rate; Income; Macroeconomy; Money supply; International Relations/Trade; C32; F14; Q17.
Ano: 2007
URL: http://purl.umn.edu/6301

Determination of Optimal Environmental Flow Acquisition  in Kor Basin, Doroudzan Dam
Provedor de dados: 31
Autores: Asad Falsafi Zadeh,   Neda; Sabouhi Sabouni,   Mahmood.
In current study, an irrigation examination and acquisition of environmental water in Kor River fields, that is dominated from Doroudzan dam to Bakhtegan Lake, was done by an integrated economy-environmental model. The model was considered by economic, hydrologic and agronomic components. In the economic component, an optimal harvesting of water was done using non-linear programming in two scenarios; with and without environmental water constraint. Solutions from simulation of environmental data in the hydrologic component, was used as initial data in the economic component. In the agronomic component, actual crop yield in wet, normal and dry years was determined using the relationship between crop yield and irrigation water amount. Results showed that,...
Tipo: Conference Paper or Presentation
Palavras-chave: Expected Net Income; Hydrology; Non-Linear Programming Model; Deficit Irrigation; Consumer/Household Economics; Environmental Economics and Policy; Farm Management; Food Consumption/Nutrition/Food Safety; Production Economics; Risk and Uncertainty; C32; C61; D42; D61.
Ano: 2009
URL: http://purl.umn.edu/50258

Estimating Indirect Production Functions with a More General Specification: An Application of the Lewbel Model
Provedor de dados: 31
Autores: Hilmer,   Christiana E.; Holt,   Matthew T.
Whereas consumer theory employs several different empirical specifications for estimating indirect utility functions, producer theory has relied on the Translog specification to estimate the indirect production function.  In this paper, we apply Lewbel’s more general functional specification and investigate its implications for the estimation of indirect production functions in productivity analysis.  An attractive feature of the Lewbel model is that it nests both the Translog and the almost ideal supply system, offering a method to assess the empirical validity of all three specifications.  Aggregate U.S. production data are used to examine the performance of the three models in an empirical application.
Tipo: Journal Article
Palavras-chave: Duality; Indirect production function; Nested test; C32; C52; Q12.
Ano: 2005
URL: http://purl.umn.edu/43484

VERTICAL PRICE TRANSMISSION IN DIFFERENTIATED PRODUCT MARKETS:  A DISAGGREGATED STUDY FOR MILK AND BUTTER
Provedor de dados: 31
Autores: Loy,   Jens-Peter; Holm,   Thore; Steinhagen,   Carsten.
Tipo: Presentation
Palavras-chave: Vertical Price Transmission; Threshold Error Correction Model; Dairy Products; Brands; Retail Market; Germany; Agribusiness; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; Marketing; C32; D21; L11; L81.
Ano: 2012
URL: http://purl.umn.edu/123284

International Interlinkages of Biofuel Prices: The Role of Biofuel Policies
Provedor de dados: 31
Autores: Rajcaniova,   Miroslava; Drabik,   Dusan; Ciaian,   Pavel.
Kliauga, de Gorter, and Just (2008) and de Gorter, Drabik, and Just (2010) argue that the United States and the European Union establish the world ethanol and biodiesel prices, respectively. We test these theories using a cointegration analysis and the Vector Error Correction (VEC) model. Weekly price series are analyzed for the major global biofuel producers (European Union, United States, and Brazil) for the period 2002 – 2010. Biofuel policies in both the United States and Brazil appear to play a role in determining the ethanol prices in other countries, thus only partially confirming the previous findings for the U.S. price leadership in the literature. For biodiesel, our results demonstrate that the EU tax exemption and mandate impact the world...
Tipo: Conference Paper or Presentation
Palavras-chave: Biofuels; Biofuel polices; Price leadership; VEC; Agricultural and Food Policy; International Relations/Trade; C32; Q16; Q17; Q47.
Ano: 2011
URL: http://purl.umn.edu/103222

Which factors drive which volatility in the grain sector?
Provedor de dados: 31
Autores: Ott,   Herve.
The present paper attempts to find empirical evidence on volatility in the grain sector (wheat, corn and soybean). The first challenge is to measure volatility. Intra-year volatility, inter-year volatility in level and return, also conditional volatility are defined and then calculated. The second challenge is to determine which factors impact volatility. The results show that depending on how volatility is measured, factors driving volatility are very different regarding their quantitative importance. Low stock to use ratio drives up mostly intra-year volatility but only moderately inter-year volatility and has almost no impact on conditional volatility. In contrast, a well functioning international market (trade flows without restriction) lowers...
Tipo: Presentation
Palavras-chave: Volatility; Agricultural commodities; Risk and Uncertainty; C26; C32; Q11.
Ano: 2012
URL: http://purl.umn.edu/122486

IMPACT ANALYSIS OF FOOD POLICY RESPONSE ON HOUSEHOLD FOOD SECURITY: THE CASE OF SOUTH AFRICA’S MAIZE SUBSECTOR
Provedor de dados: 31
Autores: Vermeulen,   Hester; Ndibongo Traub,   Lulama; Meyer,   Ferdinand H.
This study quantifies the possible income and nutritional impact of the recent commitment by the South African Department of Agriculture to increase budgetary spending on agricultural development. Three levels of models are utilized.  The first, a large-scale partial equilibrium model, generated an outlook for maize grain under two possible future scenarios; the first is the baseline scenario under which it is assumed no additional government investment in the agricultural sector takes place, the second allows for the impact of an investment within the maize subsector large enough to increase local maize production by 15% above the baseline.  The second model, a rational distributed lag model, links the grain sector to the maize meal down-stream market....
Tipo: Conference Paper or Presentation
Palavras-chave: Partial Equilibrium Model; Vertical Price Transmission; Household Food Security.; Agricultural and Food Policy; Consumer/Household Economics; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; Food Security and Poverty; Marketing; C22; C32; C53; D1; Q11; Q18.
Ano: 2009
URL: http://purl.umn.edu/51396

Integração e transmissão de preços entre os mercados de trigo argentino e internacional
Provedor de dados: 31
Autores: Coronel,   Daniel Arruda; Amorim,   Airton Lopes; Sousa,   Eliane Pinheiro de; Lima,   Joao Eustaquio de.
The aim of this paper is to check if there is a relation between the wheat prices of the Argentinian and the International market, if these markets are integrated in space. For that, it was used as time reference the period from January, 1994 to April, 2009. Unit root tests, Granger causality, Johansen cointegration, estimation of the impulse response function, decomposition of error variation and estimation and analysis of the error correction model were used. The results indicated that variations in the international prices of wheat were almost completely transmitted for the run long. However, it is not possible to affirm that the Argentinian and the International markets are perfectly integrated even if they have a higher transmission of prices This is...
Tipo: Working or Discussion Paper
Palavras-chave: Integration of prices; Law of the One Price; Wheat market; Demand and Price Analysis; International Relations/Trade; C32; Q13.
Ano: 2010
URL: http://purl.umn.edu/114463

Border Effects on Spatial Price Transmission between Fresh Tomato Markets in Ghana and Burkina-Faso: Any Case for Promoting Trans-border Trade in West Africa?
Provedor de dados: 31
Autores: Amikuzuno,   Joseph.
Cross-border trade in food commodities within sub-regional economic blocks in Sub-Sahara Africa (SSA) is believed to be faster, cheaper, more convenient and welfare-enhancing than trade between SSA countries and the USA or EU. The difficulty of commodity arbitrage across borders in SSA is however a fundamental impediment to price transmission, market integration and the realisation of the welfare-enhancing role of cross-border trade. This study examines the impact of border and distance on price transmission between tomato in Ghana and Burkina-Faso. The analysis applies a linear and a regime-switching vector error correction model to estimate wholesale prices of tomato in four tomato markets in Ghana and a producer market in Burkina-Faso. The estimated...
Tipo: Conference Paper or Presentation
Palavras-chave: Price Transmission; Border; Tomato; Ghana; Burkina-Faso; International Relations/Trade; C32; Q11; Q13; Q17; Q18.
Ano: 2011
URL: http://purl.umn.edu/108943

SPATIAL INTEGRATION OF MAIZE MARKETS IN POST-LIBERALIZED UGANDA
Provedor de dados: 31
Autores: Rashid,   Shahidur.
Using weekly price data for two sub-periods, this paper analyzes how Ugandan maize market performed in the years following agricultural market liberalization in the early 1990’s. For each time period, the extent of integration, causality among spatial locations, and relative importance of spatial locations in price formation are examined. The extent of integration, defined as a set of markets that shares common long-run price information, and the causal relationships among markets have been tested within Johansen’s cointegration framework. The relative importance of each market locations is examined by estimating the common trend coefficients with a dynamic vector moving average model. Results indicate that, while there has been an overall improvement in...
Tipo: Working or Discussion Paper
Palavras-chave: Uganda; Market integration; Causality; Common trend; Multivariate cointegration; Crop Production/Industries; C32; P11; O38.
Ano: 2004
URL: http://purl.umn.edu/16135

Semiparametric Evidence on the Nature of Price Transmission in Tanzanian Maize Markets
Provedor de dados: 31
Autores: Ihle,   Rico; von Cramon-Taubadel,   Stephan.
Maize is a major staple food in Sub-Saharan Africa. Monthly maize prices in Tanzania are analyzed since the country is an important maize producer and exporter in East Africa. We analyze price transmission between the five most important urban regions of Tanzania between 2000 and 2008 which correspond to major maize production or consumption areas. We propose a novel method for the analysis. The semiparametric vector error-correction model allows the partial impact of the past deviations from price equilibria on current price changes to be potentially nonlinear. The nonparametric estimates of these partial influences suggest that they can be adequately modeled by linear functions.
Tipo: Conference Paper or Presentation
Palavras-chave: Cointegration; Maize; Nonlinear time series model; Price transmission; Semiparametric model; Tanzania.; Crop Production/Industries; Marketing; C32; Q11; Q13.
Ano: 2010
URL: http://purl.umn.edu/61606

REGIONAL HOUSING PRICE CYCLES: A SPATIO-TEMPORAL ANALYSIS USING US STATE LEVEL DATA
Provedor de dados: 31
Autores: Kuethe,   Todd H.; Pede,   Valerien O.
We present a study of the effects of macroeconomic shocks on housing prices in the Western United States using quarterly state level data from 1988:1 – 2007:4. The study contributes to the existing literature by explicitly incorporating locational spillovers through a spatial econometric adaptation of vector autoregression (SpVAR). The results suggest these spillovers may Granger cause housing price movements in a large number of cases. SpVAR provides additional insights through impulse response functions that demonstrate the effects of macroeconomic events in different neighboring locations. In addition, we demonstrate that including spatial information leads to significantly lower mean square forecast errors.
Tipo: Working or Discussion Paper
Palavras-chave: Housing prices; VAR; Spatial econometrics; Community/Rural/Urban Development; Research Methods/ Statistical Methods; C31; C32; R21.
Ano: 2009
URL: http://purl.umn.edu/47596

On the Evolving Relationship between Corn and Oil Prices
Provedor de dados: 31
Autores: Elmarzougui,   Eskandar; Larue,   Bruno.
The relationship between corn and oil prices is not a stable one. We identified three breaks in the relationship between corn and oil prices. The first break coincides with the second oil crisis. The second break marks the end of the agricultural export subsidy war between the EU and the US in the mid 1980s while the third one occurred at the beginning of the ethanol boom at the very end of the 1990s. The relationship between corn and oil prices tends to be stronger when oil prices are highly volatile and when agricultural policies create less distortion. The ethanol boom strengthened the relation between corn and oil prices which are (were not) cointegrated in the fourth regime (first three) regime(s). Impulse response functions confirm that corn prices...
Tipo: Working Paper
Palavras-chave: Oil; Corn; Structural changes; Cointegration; Ethanol; Protectionism; Agricultural and Food Policy; C32; Q11; Q17; Q40.
Ano: 2011
URL: http://purl.umn.edu/118580

Fertility and Female Work Force Participation in Bangladesh: Causality and Cointegration
Provedor de dados: 31
Autores: Hossain,   Mohammad; Tisdell,   Clement A.
This paper examines the causal links between fertility and female labor force participation in Bangladesh over the period 1974-2000 by specifying a bivariate and several trivariate models in a vector error correction framework.  The three trivariate models alternatively include average age at first marriage for females, per capita GDP and infant mortality rate, which control for the effects of other socio-economic factors on fertility and female labor force participation.  All the specified models indicate an inverse long-run relationship between fertility and female labor force participation.  While the bivariate model also indicates bidirectional causality, the multivariate models confirm only a unidirectional causality – from labor force participation...
Tipo: Working or Discussion Paper
Palavras-chave: Fertility; Female Labor Force Participation; Causality; Labor and Human Capital; C32; J13; J22.
Ano: 2003
URL: http://purl.umn.edu/106947

Ley de precio único en el mercado español del aceite de oliva
Provedor de dados: 31
Autores: Roldan Casas,   Jose Angel; Dios-Palomares,   Rafaela.
RESUMEN: El objetivo de este trabajo es el estudio de la integración del mercado español del aceite de oliva y la contrastación de la Ley de Precio Único (LPU) en dicho mercado. El análisis se lleva a cabo aplicando la técnica multivariante de cointegración a series mensuales (1987-2001) de precios de aceite de oliva correspondientes a las regiones en que el MAPA divide el mercado español peninsular. Los resultados muestran que los mercados españoles de aceite de oliva tienen un alto grado de integración siendo Noreste el mercado líder. No obstante, el mecanismo de transmisión de precios no es perfecto.  SUMMARY: The aim of this paper is the study of long-run market integration of olive oil in Spain and the testing of the Law of One Price (LOP) in this...
Tipo: Journal Article
Palavras-chave: Aceite de oliva; Cointegración; Ley de precio único; Cointegration; Law of one price; Demand and Price Analysis; Production Economics; Q11; C32; F15; Olive oil.
Ano: 2008
URL: http://purl.umn.edu/37188

Estimation of supply response in CAPRI
Provedor de dados: 31
Autores: Jansson,   Torbjorn.
The primary objective of this paper is to estimate behavioural parameters of the quadratic regional supply models in the modelling system CAPRI, using the time series data in the CAPRI database. A secondary objective is to replace the constant yields of the original model by functions that depend on input use. Due to lack of statistical robustness, the second objective is not achieved, thus yields remain constant. A Bayesian highest posterior density estimator is developed to address the primary objective. After discarding regions with insufficient data, parameters for up to 23 crop production activities with related inputs, outputs, prices and behavioural functions are estimated for 165 regions in EU-15. The results are systematically compared to the...
Tipo: Working or Discussion Paper
Palavras-chave: Bayesian estimation; Errors-in-variables; PMP; Research Methods/ Statistical Methods; Q11; C32.
Ano: 2007
URL: http://purl.umn.edu/57030

Macroeconomics and Agriculture in Tunisia
Provedor de dados: 31
Autores: Ben Kaabia,   Monia; Gil,   Jose Maria; Chebbi,   Houssem Eddine.
This paper aims to analyse the impact of changes in the monetary policy and the exchange rate on agricultural supply, prices and exports. The methodology used is based on the multivariate cointegration approach. Ten variables are considered: interest and exchange rates, money supply, inflation, agricultural output and input prices, agricultural supply and exports, income and the rate of commercial openness. Sample period covers annual data from 1967 to 2002. Due to the short-sample period, two subsystems are considered. First, long-run relationships are identified in each subsystem. Second, both subsystems are merged in order to calculate the short-run dynamics. Results indicate that changes in macroeconomic variables have an effect on the agricultural...
Tipo: Conference Paper or Presentation
Palavras-chave: Macroeconomic policy; Agro-food sector; Tunisia; Impulse-response functions; Political Economy; C32; N57; O31.
Ano: 2005
URL: http://purl.umn.edu/24597