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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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Awokuse, Titus O.. |
Existing empirical evidence on the impact of macroeconomic variables on agriculture remains mixed and inconclusive. This paper re-examines the dynamic relationship between monetary policy variables and agricultural prices using alternative vector autoregression (VAR) type model specifications. Directed acyclic graph theory is proposed as an alternative modeling approach to supplement existing modeling methods. Similar to results in other studies, this studys findings show that over the time period analyzed (19752000), changes to money supply as a monetary policy tool had little or no impact on agricultural prices. The primary macroeconomic policy instrument that affects agricultural prices is the exchange rate, which is shown to be directly linked to... |
Tipo: Journal Article |
Palavras-chave: Agricultural prices; Cointegration; Directed acyclic graphs; Monetary policy; VAR; Agricultural and Food Policy; Demand and Price Analysis. |
Ano: 2005 |
URL: http://purl.umn.edu/10239 |
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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 |
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Wang, H. Holly; Ke, Bingfan. |
The efficiency of the Chinese wheat and soybean futures markets is studied. Formal statistical tests were conducted based on Johansen’s cointegration approach for three different cashmarkets and six different futures forecasting horizons ranging from1 week to 4 months.The results suggest a long-termequilibrium relationship between the futures price and cash price for soybeans and weak short-term efficiency in the soybean futures market. The futures market for wheat is inefficient, which may be caused by overspeculation and government intervention. |
Tipo: Article |
Palavras-chave: Cointegration; Futures market; Price; Soybean; Wheat; Marketing; Risk and Uncertainty. |
Ano: 2005 |
URL: http://purl.umn.edu/118441 |
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Chebbi, Houssem Eddine; Boujelbene, Y.. |
This short paper investigates the cointegration and causality link between energy consumption and agricultural, non-agricultural outputs (manufacturing sector and services sector) and overall gross domestic product in Tunisia for 1971-2003 period. Empirical results suggest that there is only unidirectional causality running from agricultural and non-agricultural sectors to energy consumption as well as from overall GDP growth to energy consumption. This unidirectional causality signifies a less energy dependent economy and suggests that it is sectoral growth that drives the energy consumption in Tunisia and not vice versa. Empirical results suggest also that Tunisian agricultural sector growth does not depend on energy, and high consumption of energy do... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Energy consumption; Output growth; Causality; Cointegration; Tunisia; Resource /Energy Economics and Policy. |
Ano: 2008 |
URL: http://purl.umn.edu/44055 |
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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 |
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Martinez-Mejia, Pablo; Malaga, Jaime E.. |
For years, the U.S. price of grain sorghum has been settled as 95% of the price of corn. Nevertheless, the increasing demand for corn and grain sorghum in ethanol production might have changed that price relationship. In this study, we use cointegration and the vector autoregressive model with independent variable (VARX) to assess the relationship between the spot price of sorghum in several U.S. markets and corn’s futures market price during the period 1996–2008. The results indicate a price relationship between the price of sorghum in the Gulf ports, Kansas City, and Texas, and corn prices of 1.01, 0.99, and 0.99, respectively. These new relationships are noteworthy for producers and other stakeholders. |
Tipo: Journal Article |
Palavras-chave: Causality test; Cointegration; Futures markets; VARX model; Agribusiness; Marketing. |
Ano: 2009 |
URL: http://purl.umn.edu/90656 |
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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 |
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Pfumayaramba, Tichaona. |
Flue cured tobacco has been an important crop for the Zimbabwean economy historically in terms of foreign currency earnings and employment creation. Between 1980 and 2000, there is a general increase in tobacco output, followed by a sharp decline from 2001 up to 2008 and then output starts to increase again. Flue cured tobacco output as measured by the quantity that is delivered to the auction floors is used to estimate supply elasticity. The objective is to determine if flue-cured tobacco supply is price elastic and whether price incentives alone will boost supply in the short -run. Time series data on flue cured tobacco output, prices, production costs, prices of major competing crops, the exchange rates and inflation are analysed to model the price... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Supply elasticity; Stationary data; Cointegration; Error correction model.; Research Methods/ Statistical Methods. |
Ano: 2011 |
URL: http://purl.umn.edu/100696 |
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Registros recuperados: 126 | |
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