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| Registros recuperados: 126 | |
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| García Juárez, José de Jesús. |
| El objetivo de este trabajo es evaluar la eficiencia de las coberturas de precios de maíz blanco operadas por ASERCA. Para el estudio, se utiliza el análisis de cointegración de S. Johansen que consiste en probar la existencia de cointegración entre las variables de series de tiempo, en este caso: precios al mayoreo de maíz blanco, precio a futuro de maíz amarillo cotizado en la Bolsa de Futuros de Chicago (CBOT) y tipo de cambio peso-dólar; esta variable en particular, porque al adquirir una cobertura, existe también un riesgo cambiario dado que tanto la adquisición como la liquidación de las coberturas son realizadas en dólares. Los resultados indican que los precios de maíz al mayoreo de las centrales de abasto de Sinaloa, Jalisco, Estado de México,... |
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Palavras-chave: ASERCA; Cointegración; Riesgo; Serie de tiempo; Cointegration; Risk; Time series; Maestría; Economía. |
| Ano: 2011 |
URL: http://hdl.handle.net/10521/421 |
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| García Juárez, José de Jesús. |
| El objetivo de este trabajo es evaluar la eficiencia de las coberturas de precios de maíz blanco operadas por ASERCA. Para el estudio, se utiliza el análisis de cointegración de S. Johansen que consiste en probar la existencia de cointegración entre las variables de series de tiempo, en este caso: precios al mayoreo de maíz blanco, precio a futuro de maíz amarillo cotizado en la Bolsa de Futuros de Chicago (CBOT) y tipo de cambio peso-dólar; esta variable en particular, porque al adquirir una cobertura, existe también un riesgo cambiario dado que tanto la adquisición como la liquidación de las coberturas son realizadas en dólares. Los resultados indican que los precios de maíz al mayoreo de las centrales de abasto de Sinaloa, Jalisco, Estado de México,... |
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Palavras-chave: ASERCA; Cointegración; Riesgo; Serie de tiempo; Cointegration; Risk; Time series; Maestría; Economía. |
| Ano: 2011 |
URL: http://hdl.handle.net/10521/421 |
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| Margarido, Mario Antonio; Bueno, Carlos Roberto Ferreira. |
| Esse artigo utilizou testes de exogeneidade e de co-integração para determinar o poder de compra entre os segmentos de produtores agrícolas, atacado e varejo em São Paulo. Foram utilizadas séries de preços de arroz em nível de produtor de arroz no estado de São Paulo, preço de arroz no atacado e varejo, ambos na cidade de São Paulo. O período de análise abrange o período de janeiro de 1995 a dezembro de 2006. Os resultados mostram que, no longo prazo, o atacado deprime o valor recebido pelo produtor de arroz em 15,10% (elasticidade de transmissão de preço maior que a unidade), resultado que demonstra o poder de compra do primeiro sobre o segundo. Os resultados também mostram que o varejo deprime os preços do arroz no atacado no longo prazo, porém, com... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Poder de compra; Teste de exogeneidade; Co-integração; Mercado de arroz; Buyers’ power; Exogeneity test; Cointegration; Rice market; Crop Production/Industries. |
| Ano: 2008 |
URL: http://purl.umn.edu/112733 |
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| Choudhry, Taufiq. |
| This paper investigates the monetary interdependence and the money-income relationship between countries under a pegged and a floating exchange rate system during the same time period (1979-1997). The relationship is tested between three ERM countries, France, Germany and Holland, and also between these countries and the United States. The ERM countries have a pegged exchange rate between themselves, and the rate between these countries and the United States is freely floating. The empirical tests are conducted by means of the Johansen multivariate cointegration method and the error correction model. Among the ERM countries, international transmission of monetary policy is found in almost all directions. This may provide evidence against the theory of... |
| Tipo: Journal Article |
Palavras-chave: Monetary policy; Cointegration; Error correction; Speed of adjustment; Exchange rate; Public Economics; E50; E52. |
| Ano: 2002 |
URL: http://purl.umn.edu/44428 |
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| Hatzinikolaou, Dimitris; Polasek, Metodey. |
| Using Australian quarterly data from the post-float period 1984:1-2003:1 and a partial system, we identify and estimate two cointegrating relations, one for the interest-rate differential and the other for the nominal exchange rate. Our estimate of the long-run elasticity of the exchange rate with respect to commodity prices is 0.939, which strongly supports the widely held view that the floating Australian dollar is a ‘commodity currency’. We also find that the PPP and UIP cannot be rejected so long as commodity prices are included in the cointegrating relations. Our model outperforms the random walk model in forecasting the exchange rate in the medium run. |
| Tipo: Journal Article |
Palavras-chave: Australian dollar; Commodity currency; Cointegration; F31; F41. |
| Ano: 2005 |
URL: http://purl.umn.edu/37462 |
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| Weatherspoon, Dave D.; Seale, James L., Jr.; Moss, Charles B.. |
| Theil’s inequality index is used to measure convergence in 14 Organization for Economic Cooperation and Development (OECD) countries in terms of per capita income, per capita government and investment expenditures, and industrial employment. Results indicate that all four variables have converged over the sample period, 1950-1988. Next, the indices of the four variables are made dynamic by using pairwise cointegration and Johansen’s I(2) multi-cointegration tests. These tests indicate that the four inequalities are cointegrated; that is, there exists a long-run equilibrium between the four inequalities of the 14 OECD countries. However, the inequality in per capita government expenditure has no effect on the G-7 equilibrium when analyzed without the... |
| Tipo: Journal Article |
Palavras-chave: Cointegration; Convergence; G-7; Inequality; OECD. |
| Ano: 2003 |
URL: http://purl.umn.edu/43300 |
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| Reed, Albert J.; Clark, J. Stephen. |
| Recent trends in mergers and acquisitions in the U.S. food sector food manufacturers, wholesalers, and retailers raise concerns about market power. In the presence of market power, farmers may receive lower than competitive farm prices, and consumers may pay higher than competitive retail prices. This study presents empirical tests of market power at the national level for seven food categories: beef, pork, poultry, eggs, dairy, fresh fruit, and fresh vegetables. At the national level, our tests provide evidence of competitive conduct in both the sale of final food products and the purchase of farm ingredients. |
| Tipo: Report |
Palavras-chave: Retail food and farm prices; Market power; Structural change; Cointegration; Agribusiness; Industrial Organization. |
| Ano: 2000 |
URL: http://purl.umn.edu/33558 |
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| Gillman, Max; Otto, Glenn. |
| The paper presents a theory of the demand for money that combines a special case of the shopping time exchange economy with the cash-in-advance framework. The model predicts that both higher inflation and financial innovation - that reduces the cost of credit - induce agents to substitute away from money towards exchange credit. This results in an interest elasticity of money that rises with the inflation rate rather than the constant elasticity found in standard shopping time specifications. A number of the key predictions of the banking time theory are tested using quarterly data for the US and Australia. We find cointegration empirical support for the model, with robustness checks and a comparison to a standard specification. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Money demand; Cointegration; Financial technology; Banking time; O42; E13; E41; E51; Financial Economics. |
| Ano: 2003 |
URL: http://purl.umn.edu/26221 |
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| Varga, Tibor. |
| Price transmission studies related to the cointegration of price time series are a suitable means for studying market dominance at the various market levels in the food product chains. For this study a price transmission asymmetry study was carried out for 18 commercial food product chains. In this study a monthly price time series was used for the period 2001 to 2005. It was found that there is significant product variation in market dominance which spans the entire industry. However, the variation is not significantly linked to either sectors or vertical levels. At times it is unstable and can easily tilt toward the vertical partner level. Depending on price changes, it can also vary, which, in turn, reflects changes in weather conditions. Following a... |
| Tipo: Journal Article |
Palavras-chave: Price transmission; Cointegration; Market power; Food product chain; Hungary; Demand and Price Analysis; Marketing. |
| Ano: 2007 |
URL: http://purl.umn.edu/47014 |
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| Boshnjaku, L.; Ben Kaabia, Monia; Gil, Jose Maria. |
| Resumen El análisis de las relaciones de precios existentes en un determinado sector permiten, por un lado, ofrecer una idea aproximada del funcionamiento de los mercados y, por otro, anticipar respuestas ante shocks inesperados en mercados relacionados. El objetivo de este estudio se ha centrado en el análisis de la transmisión de precios entre los principales mercados de ovino en España. Para llevar a cabo este estudio se ha adoptado un enfoque econométrico que ha tenido en cuenta las propiedades estocásticas de las series, la posible naturaleza multivariante de los procesos de transmisión, y la distinción entre el comportamiento a corto y largo plazo. Los resultados indican que los mercados de ovino se encuentran bastante interrelacionados pudiéndose... |
| Tipo: Journal Article |
Palavras-chave: Price transmission; Cointegration; Lead-lag relationships; Spanish lamb sector; Demand and Price Analysis; Q12; Q18. |
| Ano: 2003 |
URL: http://purl.umn.edu/28747 |
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| Mela, Giulio; Canali, Gabriele. |
| This work uses cointegration techniques allowing for structural breaks to assess the extent to which the Fischler reform of the CAP increases price transmission elasticity (PTE) between the world and European corn, wheat, and soybean markets. Results show that the reform increased PTE in the case of corn and wheat, while its impact was negligible for soybeans. However, the long-term relationship (cointegration) between world and European prices can be detected only taking into account – other than the Fischler reform’s structural break – also the fact that world commodity markets were interested, in 2003-04 and 2007-08, by price bubbles. In particular the latter affected the world – European corn price relationship in the ascending phase, while the wheat... |
| Tipo: Presentation |
Palavras-chave: Cointegration; Structural breaks; Agricultural commodity prices; Fischler CAP reform; Risk and Uncertainty; C22; Q02; Q18; O13.. |
| Ano: 2012 |
URL: http://purl.umn.edu/122480 |
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| Registros recuperados: 126 | |
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