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Registros recuperados: 8
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Structure of interdependencies among international stock markets and contagion patterns of 2008 global financial crisis 31
Ahmedov, Zafarbek; Bessler, David A..
In this study, we apply directed acyclic graphs and search algorithm designed for time series with non-Gaussian distribution to obtain causal structure of innovations from an error correction model. The structure of interdependencies among six international stock markets is investigated. The results provide positive empirical evidence that there exist long-run equilibrium and contemporaneous causal structure among these stock markets. DAG analysis results show that Hong Kong is influenced by all other open markets in contemporaneous time, whereas Shanghai is not influenced by any of the other markets in contemporaneous time. Historical decompositions indicate that New York and Shanghai stock markets are highly exogenous and Germany and Hong Kong are the...
Tipo: Conference Paper or Presentation Palavras-chave: VAR; Cointegration; Error correction; DAG; Causality; Financial contagion; Agricultural Finance; Financial Economics.
Ano: 2011 URL: http://purl.umn.edu/98858
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Money-Income Relationships between Three ERM Countries 31
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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A Model of Inflation for Sri Lanka 31
Cooray, Arusha.
This paper uses two models: an open economy model and a closed economy model to estimate a price equation for Sri Lanka. The results suggest greater support for the open economy model. Consistent with previous studies for Sri Lanka, supply side factors appear to be important in influencing the general price level in Sri Lanka.
Tipo: Journal Article Palavras-chave: Sri Lanka; Inflation; Price; Nested - non nested models; Cointegration; Error correction; Farm Management; E31; E64; C51; C52.
Ano: 2008 URL: http://purl.umn.edu/50017
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PRICE TRANSMISSION, THRESHOLD BEHAVIOR, AND ASYMMETRIC ADJUSTMENT IN THE U.S. PORK SECTOR 31
Goodwin, Barry K.; Harper, Daniel C..
The US pork sector has experienced many significant structural changes in recent years. Such changes may have influenced price dynamics and transmission of shocks through marketing channels. We investigate linkages among farm, wholesale, and retail markets using weekly price data for the period covering 1987 through 1998. Our analysis uses a threshold cointegration model that permits asymmetric adjustment to positive and negative price shocks. Our results reveal important asymmetries. Our results are consistent with existing literature which has determined that price adjustment patterns are unidirectional and that information tends to flow from farm, to wholesale, to retail markets.
Tipo: Journal Article Palavras-chave: Asymmetric price transmission; Vertical price transmission; Error correction; Thresholds; Pork markets; Demand and Price Analysis; Livestock Production/Industries.
Ano: 2000 URL: http://purl.umn.edu/15308
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Horizontal Price Transmission of the Finnish Meat Sector with Major EU Players 31
Liu, Xing.
The integration of the Finnish meat market in the EU has important implications for domestic agricultural policy. Our aim is to estimate the characteristics of the Finnish pork and beef markets in relation to those of Germany and Denmark. Our analysis uses symmetric and asymmetric threshold error correction models. Both pork and beef prices in Finland are found to have slowly cointegrated with German prices, but the cointegration relationship of the two counties is only found to be symmetric for pork prices, while it is asymmetric for beef prices. The producer price for pork in Finland is symmetrically cointegrated with the Danish price, but the Finnish and Danish beef prices show a random walk. This implies that the price transmission to the Finnish pork...
Tipo: Conference Paper or Presentation Palavras-chave: Cointegration; Asymmetric; Error correction; Thresholds; Pork and beef prices; Demand and Price Analysis; Livestock Production/Industries.
Ano: 2011 URL: http://purl.umn.edu/114380
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Testing for signals on oligopolistic behaviour – case of Finnish and German pork meat price 31
Liu, Xing.
Market integration of Finland toward EU has important implication to domestic agricultural policy. Our aim is to estimate the characteristics of the Finnish pork markets in relation to Germany. Our analysis use symmetric and asymmetric threshold error correction models. Pork prices are found cointegrated, and cointegration relationship of two counties is found asymmetric. A large positive shock in Germany is transmitted faster to Finland than a large negative one. It implies that a combination of cooperative processors and public quoted companies as in Finland, can smooth out some of the short term price fluctuations observed abroad.
Tipo: Conference Paper or Presentation Palavras-chave: Cointegration; Asymmetric; Error correction; Agricultural and Food Policy; Marketing.
Ano: 2008 URL: http://purl.umn.edu/44248
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Horizontal price transmission of the Finnish meat sector with major EU players 31
Liu, Xing.
The integration of the Finnish meat market in the EU has important implications for domestic agricultural policy. Our aim is to estimate the characteristics of the Finnish pork and beef markets in relation to those of Germany and Denmark. Our analysis uses symmetric and asymmetric threshold error correction models. Both pork and beef prices in Finland are found to have slowly cointegrated with German prices, but the cointegration relationship of the two counties is only found to be symmetric for pork prices, while it is asymmetric for beef prices. The producer price for pork in Finland is symmetrically cointegrated with the Danish price, but the Finnish and Danish beef prices show a random walk. This implies that the price transmission to the Finnish pork...
Tipo: Working or Discussion Paper Palavras-chave: Cointegration; Asymmetric; Error correction; Thresholds; Pork and beef prices; Agribusiness; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; International Relations/Trade.
Ano: 2011 URL: http://purl.umn.edu/100215
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Price Discovery in Nebraska Cattle Markets 31
Stockton, Matthew C.; Bessler, David A.; Wilson, Roger K..
Monthly observations on prices from 10 weight/gender classifications of Nebraska beef cattle are studied in an error correction model (ECM) framework. This study attempts a replication of the 2003 paper on Texas prices by Bessler and Davis, where they find medium heifers (600–700 lb) at the center of price discovery. Using the ECM results Nebraska light steers are found to be weakly exogenous, with the innovation accounting results showing marked differences. Industry structure, production choices, and animal type and breeding herd differences between Texas and Nebraska are proposed as plausible reasons for partial (or incomplete) success at replication.
Tipo: Journal Article Palavras-chave: Bernanke factorization; Cattle prices; Cointegration; Directed acyclical graphs; Error correction; PC algorithm; Price discovery; Agribusiness; Demand and Price Analysis; Industrial Organization; Livestock Production/Industries; Production Economics; Research Methods/ Statistical Methods; C49; Q13.
Ano: 2010 URL: http://purl.umn.edu/57149
Registros recuperados: 8
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