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| Registros recuperados: 62 | |
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| Letson, David; McCullough, B.D.. |
| In this paper we seek to characterize the robustness of the ENSO/soybean price relationship and to determine whether it has practical economic content. If such a meaningful relationship exists, the implications could be profound for commodity traders and for public sector investments in climate forecasting capabilities. Also, the validity of economic evaluations of climate impacts and climate forecasts based on ENSO-price independence would come into question. Our findings suggest a relationship between interannual climate and soybean prices, although we are not able to attribute the relationship to ENSO or to say the ENSO is economically important. |
| Tipo: Journal Article |
Palavras-chave: Climate forecasting; Granger causality; Spectral analysis; SOI; SST; Resource /Energy Economics and Policy; C22; Q11. |
| Ano: 2001 |
URL: http://purl.umn.edu/15443 |
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| Bathla, Seema. |
| Globalization and trade liberalization have exposed agricultural sector of many developing countries to sudden disturbances, caused not just by demand-supply conditions within their economies but also by volatility in global commodity prices, exchange rate and surge in imports. This paper evaluates the magnitude of sensitivity of Indian agriculture to these factors, and explores policy options that may neutralize their adverse effects, maintain price incentives and stability. The analysis is undertaken for one important tradable commodity viz. wheat by applying a structural econometric model, separately under the exportable and importable scenarios from 1980-81 to 2009-10. Findings reveal wheat to be increasingly driven by an incentive structure based on... |
| Tipo: Presentation |
Palavras-chave: Agricultural trade; Price transmission; Volatility; Macroeconomic policies; International Relations/Trade; Risk and Uncertainty; Q17; C22; E69; E60. |
| Ano: 2012 |
URL: http://purl.umn.edu/122543 |
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| Figiel, Szczepan; Hamulczuk, Mariusz; Klimkowski, Cezary. |
| In this paper we use weekly milling wheat price series for nine selected EU countries to evaluate levels and components of volatility in the period from July 2004 to April 2011 and to examine how sensitive the results can be to spatial aggregation of the price data. The prices were analyzed in levels and logarithmic rate of returns. To asses price risk, apart from basic measures of price variability, the price series were decomposed using multiplicative model in order to determine shares of seasonal and random components in the total variance of the prices. We also applied ARMAX model to separate the stochastic components of the price series to properly evaluate real price risk exposure and tested for ARCH and GARCH effects. We found considerable... |
| Tipo: Presentation |
Palavras-chave: Wheat prices; Volatility; Price risk; Data aggregation; Risk and Uncertainty; C22. |
| Ano: 2012 |
URL: http://purl.umn.edu/122549 |
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| Brosig, Stephan; Yakhshilikov, Yorbol. |
| Reliable marketing opportunities in both interregional and international trade along with relatively low transportation [and transaction] costs are essential to profitability of wheat production. In this study we have investigated one aspect of the quality of marketing and trade opportunities in the Kazakh wheat sector, that is the extent and nature of integration among regional wheat markets. We applied threshold cointegration technique to assess the co-movement between time series of elevator prices at three grain-trading (and producing) spots in the northern and central parts of the country. Results suggest that markets of two northern grain trading spots (Petropavlovsk and Kokshetau) are closely connected with each other while their connection with... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Kazakhstan; Price transmission; Market integration; Threshold cointegration; Crop Production/Industries; Marketing; C22; Q13. |
| Ano: 2005 |
URL: http://purl.umn.edu/14921 |
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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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| Yakhshilikov, Yorbol; Brosig, Stephan. |
| Reliable marketing opportunities in both interregional and international trade are an important precondition for further development of the agricultural sector. In this study we assess interregional integration of Kazakh wheat markets. We apply asymmetric threshold error correction models to assess the co-movement of elevator prices at three grain-trading spots in the northern and central parts of the country. Results suggest that markets of two northern grain-trading spots (Petropavlovsk and Kokshetau) are closely connected with each other while their connection with Karaganda in central Kazakhstan is much weaker. Here, levelling out price gaps through arbitrage trade only occurs after a threshold of considerable extent has been surpassed. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Kazakhstan; Price transmission; Threshold VECM; Crop Production/Industries; Demand and Price Analysis; C22; Q13. |
| Ano: 2006 |
URL: http://purl.umn.edu/25690 |
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| Jayne, Thomas S.; Myers, Robert J.; Nyoro, James K.. |
| The Government of Kenya pursues maize marketing policy objectives through the National Cereals and Produce Board (NCPB) which procures and sells maize at administratively determined prices, and stores maize as a contingency against future shortages. A private sector marketing channel competes with the NCPB and prices in this channel are set by supply and demand forces. This paper estimates the effects of NCPB activities on the historical path of private sector maize market prices in Kenya between 1989 and 2004. Results provide important insights into the historical effects of the NCPB, and will provide useful input into deliberations on the appropriate role for the NCPB in the future. It was not possible to use a fully structural econometric model to... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Kenya; Income transfers; Maize policy; Price stabilization; VAR; International Development; C22; O2; Q13; Q18. |
| Ano: 2006 |
URL: http://purl.umn.edu/25555 |
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| Caballero, Ricardo J.; Engel, Eduardo M.R.A.. |
| In most instances, the dynamic response of monetary and other policies to shocks is infrequent and lumpy. The same holds for the microeconomic response of some of the most important economic variables, such as investment, labor demand, and prices. We show that the standard practice of estimating the speed of adjustment of such variables with partial-adjustment ARMA procedures substantially overestimates this speed. For example, for the target federal funds rate, we find that the actual response to shocks is less than half as fast as the estimated response. For investment, labor demand and prices, the speed of adjustment inferred from aggregates of a small number of agents is likely to be close to instantaneous. While aggregating across microeconomic units... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Speed of adjustment; Discrete adjustment; Lumpy adjustment; Aggregation; Calvo model; ARMA process; Partial adjustment; Expected response time; Monetary policy; Investment; Labor demand; Sticky prices; Idiosyncratic shocks; Impulse response function; Wold representation; Time-to-build; Financial Economics; C22; C43; D2; E2; E5. |
| Ano: 2003 |
URL: http://purl.umn.edu/28419 |
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| Hodgson, Douglas J.; Linton, Oliver; Vorkink, Keith. |
| We apply semiparametric efficient estimation procedures for a seemingly unrelated regression model where the multivariate error density is elliptically symmetric to study the efficiency of the foreign exchange market. We consider both cointegrating regressions and standard stationary regressions. The elliptical symmetry assumption allows us to avoid the curse of dimensionality problem that typically arises in multivariate semiparametric estimation procedures, because the multivariate elliptically symmetric density function can be written as a function of a scalar transformation of the observed multivariate data. We test the unbiasedness hypothesis on both weekly and daily exchange rate data and strongly reject unbiasedness at the weekly horizon, but fail... |
| Tipo: Journal Article |
Palavras-chave: Forward exchange market; Time series econometrics; Nonparametric statistics; C22. |
| Ano: 2004 |
URL: http://purl.umn.edu/43548 |
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| Registros recuperados: 62 | |
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