Consulta: subjectFacets:"Markov-switching vector error correction model"
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Data/hora: 09/07/2025 06:31:16

A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Ihle,   Rico; von Cramon-Taubadel,   Stephan.
We compare two regime-dependent econometric models for price transmission analysis, namely the threshold vector error correction model and Markov-switching vector error correction model. We first provide a detailed characterization of each of the models which is followed by a comprehensive comparison. We find that the assumptions regarding the nature of their regime-switching mechanisms are fundamentally different so that each model is suitable for a certain type of nonlinear price transmission. Furthermore, we conduct a Monte Carlo experiment in order to study the performance of the estimation techniques of both models for simulated data. We find that both models are adequate for studying price transmission since their characteristics match the underlying...
Tipo: Conference Paper or Presentation
Palavras-chave: Price transmission; Market integration; Threshold vector error correction model; Markov-switching vector error correction model; Comparison; Nonlinear time series analysis; Agricultural Finance.
Ano: 2008
URL: http://purl.umn.edu/37603

Nonlinear Vector Error Correction Models in Price Transmission Analysis: Threshold Models vs. Markov-Switching Models
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Ihle,   Rico; von Cramon-Taubadel,   Stephan.
This work provides a comparison of methodologies for applied research in price transmission analysis. We compare two regime-dependent econometric models, namely the threshold vector error correction model and the Markov-switching vector error correction model. We first provide a conceptual comparison in which we find that the regime-switching mechanisms of the models differ fundamentally so that each model is suitable for a certain type of nonlinear price trans-mission. Furthermore, we conduct a Monte Carlo experiment in order to study the performance of each of the models’ estimation techniques for simulated data. Although each model possesses an immediate economic interpretation which well matches an aspect of the theory of price transmission, the...
Tipo: Conference Paper or Presentation
Palavras-chave: Price transmission; Threshold vector error correction model; Markov-switching vector error correction model; Demand and Price Analysis.
Ano: 2008
URL: http://purl.umn.edu/44198

THE INFLUENCES OF EXPORT CONTROLS ON WHEAT MARKETS IN SERBIA DURING THE FOOD CRISIS 2007-2008
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Djuric,   Ivan; Glauben,   Thomas; Goetz,   Linde.
During the food crisis in 2007/2008 the government of Serbia restricted the export of wheat to ensure that wheat supply on the domestic market is sufficient thereby dampening the increase in consumer food prices. This study investigates the effects of the export restriction on the integration, equilibrium and stability of its domestic wheat market. Within the framework of a Markov-switching error correction model, we utilize weekly wheat grower prices of Serbia and world market prices and compare the state of the wheat market prevailing in the time period before the crisis to when the exports controls are effective. Our results suggest that although the degree of market integration and thus the long-run price elasticity do not change during the crisis, the...
Tipo: Conference Paper or Presentation
Palavras-chave: Wheat market; International market integration; Price transmission; Markov-switching vector error correction model; Agribusiness; Agricultural and Food Policy; International Relations/Trade.
Ano: 2009
URL: http://purl.umn.edu/57344

Vertical Price Transmission between Wheat and Flour in Ukraine: A Markov-Switching Vector Error Correction Approach
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Brümmer,   Bernhard; von Cramon-Taubadel,   Stephan; Zorya,   Sergiy.
The analysis of price transmission in transition countries is complicated by their often unstable policy environments. We utilise a Markov-switching vector error correction model (MSVECM) to allow for multiple regime shifts in the price relationship between wheat and wheat flour in Ukraine from June 2000 to November 2004. The analysis reveals four regimes. The observed temporal pattern of these regimes corresponds well to political and economic events in Ukraine. In particular, we find a strong link between a 'high uncertainty' regime and discretionary policy interventions in 2003, confirming that ad hoc policy responses to fluctuations in Ukrainian grain harvests have tended to increase rather than reduce instability. The Markov-switching VECM is shown to...
Tipo: Conference Paper or Presentation
Palavras-chave: Markov-switching vector error correction model; Vertical price transmission; Regime shifts; Grain policies; Ukraine; Industrial Organization; C22; Q11; Q18.
Ano: 2006
URL: http://purl.umn.edu/25575

Wheat / Flour Price Transmission and Agricultural Policies in Ukraine: A Markov-Switching Vector Error Correction Approach
Provedor de dados: Research in Agricultural & Applied Economics (AgEcon Searh)
Autores: Brümmer,   Bernhard; Zorya,   Sergiy.
The analysis of price transmission between raw and processed agricultural products in transition countries is complicated by the frequently changing conditions on their way from plan to market. We utilise a Markov-switching vector error correction model to allow for multiple regime shifts in the price relationship between wheat and wheat flour in Ukraine from June 2000 to November 2004. The analysis reveals four regimes. The observed temporal pattern of these regimes can be matched with certain political and economic events in Ukraine. In particular, we find a strong link between the 'high uncertainty' regime and discretionary policy interventions in 2003.
Tipo: Conference Paper or Presentation
Palavras-chave: Markov-switching vector error correction model; Vertical price transmission; Regime shifts; Grain policies; Ukraine; Demand and Price Analysis; Industrial Organization; C22; Q11; Q18.
Ano: 2005
URL: http://purl.umn.edu/24624