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	Provedor de dados AgEcon (15) Autor Ihle, Rico (15) von Cramon-Taubadel, Stephan (6) Amikuzuno, Joseph (4) Brümmer, Bernhard (4) Busse, Stefan (3) Thompson, Stanley R. (2) Zorya, Sergiy (2) Grethe, Harald (1) Kleinwechter, Ulrich (1) Lakner, Sebastian (1) Luckmann, Jonas (1) Wurriehausen, Nadine (1) Mais... Palavra-chave Demand and Price Analysis (7) Q11 (7) Agricultural and Food Policy (5) Cointegration (5) Q13 (5) C32 (4) Research Methods/ Statistical Methods (4) Crop Production/Industries (3) Marketing (3) Price transmission (3) Q18 (3) Agricultural Finance (2) Biodiesel (2) C22 (2) F14 (2) Ghana (2) International Relations/Trade (2) Maize (2) Market integration (2) Markov-switching (2) Mais... Tipo do documento Conference Paper or Presentation (14) Journal Article (1) Ano 2011 (3) 2010 (7) 2009 (3) 2008 (2) País United States (15) Idioma Inglês (13) Alemão (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 15 Primeira ... 1 ... Última A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis AgEcon 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 Adapting Johansen’s Estimation Method for Flexible Regime-dependent Cointegration Modelling AgEcon Ihle, Rico; Amikuzuno, Joseph; von Cramon-Taubadel, Stephan. Tipo: Conference Paper or Presentation Palavras-chave: Research Methods/ Statistical Methods. Ano: 2011 URL: http://purl.umn.edu/114461 AUSWIRKUNGEN DER FISCHLER-REFORM UND DER BLAUZUNGENKRANKHEIT AUF DIE EUROPÄISCHEN KÄLBERMÄRKTE AgEcon Ihle, Rico; Brümmer, Bernhard; Thompson, Stanley R.. C1_3 Tipo: Conference Paper or Presentation Palavras-chave: Entkopplung; Europäische Union; Faktormärkte; Fischlerreform; GAP; Kälbermarkt; Marktintegration; Agricultural and Food Policy; Demand and Price Analysis; Research Methods/ Statistical Methods. Ano: 2010 URL: http://purl.umn.edu/93953 Can Vietnamese Upland Farmers Profit from High World Market Prices? A Price Transmission Analysis AgEcon Luckmann, Jonas; Ihle, Rico; Grethe, Harald; Kleinwechter, Ulrich. Replaced with revised version of paper 09/14/11. Tipo: Conference Paper or Presentation Palavras-chave: Agricultural Finance; International Relations/Trade. Ano: 2011 URL: http://purl.umn.edu/114376 Country and border effects in the transmission of maize prices in Eastern Africa: evidence from a semi-parametric regression model AgEcon 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 German Rapeseed Oil and Biodiesel Pricing under Changing Market Conditions: A Markov-switching Vector Error Correction Model Approach AgEcon Busse, Stefan; Ihle, Rico. We analyze vertical price transmission in the German biodiesel market studying the relationship between rapeseed oil, soya oil and biodiesel prices. We focus on the period from summer 2002 to late 2007 during which the German biodiesel market developed into the largest market worldwide, mainly driven by political intervention. Tests on the adequacy of a traditional linear vector error correction model provide strong evidence against it and favor a regime-dependent model. We consider the Markov-switching vector error correction model which allows for parameter switching between regimes to be suitable for the question to be analyzed. We find two distinct regimes with differing error-correction behavior. Estimation results indicate that only rapeseed oil... Tipo: Conference Paper or Presentation Palavras-chave: Biodiesel; Cointegration; Nonlinear vector error-correction model; Regime dependent model; Markov-switching; Agricultural and Food Policy; Demand and Price Analysis; Resource /Energy Economics and Policy; C22; Q11; Q18. Ano: 2009 URL: http://purl.umn.edu/51032 Grenzeffekte in der Marktintegration bei Mais in Ostafrika: Einsichten aus einem semi-parametrischen Regressionsmodell AgEcon Ihle, Rico; Amikuzuno, Joseph; von Cramon-Taubadel, Stephan; Zorya, Sergiy. Diese Arbeit analysiert Faktoren, die Einfluß auf das Ausmaß der inländischen und grenz-übergreifenden Integration der Maismärkte Kenias, Tansanias und Ugandas ausüben. Die Stärke der Reaktion der Preise auf Abweichungen von ihren Langzeitgleichgewichtswerten als Maß der Marktintegration und die Determinanten dieser Reaktion werden für 85 Marktpaare von Januar 2000 bis Oktober 2008 untersucht. Zu diesem Zweck wird ein semi-parametrisches partiell-lineares Regressionsmodell genutzt, das imstande ist, den Einfluß der Marktentfernung, der sich als nichtlinear herausstellt, adäquat zu modellieren. Die Ergebnisse der Untersuchung sind kohärent mit der ökonomischen Theorie und von politischem Interesse. Ein Grenzeffekt wird identifiziert, der in dem Sinne... Tipo: Conference Paper or Presentation Palavras-chave: Grenzeffekt; Mais; Ostafrika; Räumliche Marktintegration; Semi-parametrische Regression; Research Methods/ Statistical Methods. Ano: 2009 URL: http://purl.umn.edu/53272 INVESTIGATING RAPESEED PRICE VOLATILITIES IN THE COURSE OF THE FOOD CRISIS AgEcon Busse, Stefan; Brümmer, Bernhard; Ihle, Rico. C2_3 Tipo: Conference Paper or Presentation Palavras-chave: Multivariate GARCH; MATIF; Rapeseed; Crude oil; Volatilities; Food crisis; Demand and Price Analysis; Research Methods/ Statistical Methods; C32; E44; G1; Q11; Q13; Q49. Ano: 2010 URL: http://purl.umn.edu/93957 Nonlinear Vector Error Correction Models in Price Transmission Analysis: Threshold Models vs. Markov-Switching Models AgEcon 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 Seasonal Asymmetric Price Transmission in Ghanaian Tomato Markets: Adapting Johansen’s Estimation Method AgEcon Amikuzuno, Joseph; Ihle, Rico. We assess market integration and price transmission of perishable agricultural produce in Sub-Saharan Africa by studying Ghanaian tomato markets which are characterized by pronounced seasonality in production and trade flows. We analyse the tomato markets of Ghana by simultaneously regarding its five most important markets, Navrongo, Techiman, Kumasi, Tamale and Accra, in a multivariate asymmetric price transmission framework. The estimation of the model is based on a unique dataset and on a modified version of the Johansen estimation procedure which is suitable for estimating such multivariate models. We estimate the price transmission parameters for four regimes which are a combination of the seasonal patterns in trade flows and asymmetries in the... Tipo: Conference Paper or Presentation Palavras-chave: Asymmetric price transmission; Cointegration; Ghana; Regime-dependent model; Seasonality; Tomato; Vector error-correction model; Crop Production/Industries; Demand and Price Analysis; C32; Q11; Q13; F14; F15. Ano: 2010 URL: http://purl.umn.edu/96814 Semiparametric Evidence on the Nature of Price Transmission in Tanzanian Maize Markets AgEcon Ihle, Rico; von Cramon-Taubadel, Stephan. Maize is a major staple food in Sub-Saharan Africa. Monthly maize prices in Tanzania are analyzed since the country is an important maize producer and exporter in East Africa. We analyze price transmission between the five most important urban regions of Tanzania between 2000 and 2008 which correspond to major maize production or consumption areas. We propose a novel method for the analysis. The semiparametric vector error-correction model allows the partial impact of the past deviations from price equilibria on current price changes to be potentially nonlinear. The nonparametric estimates of these partial influences suggest that they can be adequately modeled by linear functions. Tipo: Conference Paper or Presentation Palavras-chave: Cointegration; Maize; Nonlinear time series model; Price transmission; Semiparametric model; Tanzania.; Crop Production/Industries; Marketing; C32; Q11; Q13. Ano: 2010 URL: http://purl.umn.edu/61606 Structural change in European calf markets: Policy decoupling and movement restrictions AgEcon Ihle, Rico; Brümmer, Bernhard; Thompson, Stanley R.. We analyse weekly calf prices from 2003 to 2009 to assess the impact of two important events which changed the structure of European cattle markets. We find the four European calf markets studied to be integrated. The decoupling of farm payments in the framework of the 2003 reforms of the Common Agricultural Policy is found to reduce prices. We ascertain that the outbreak of the Blue Tongue disease induced a structural change in some of the markets. Using counterfactual scenarios, we provide an indication of the effects resulting from granting member states a high degree of discretion in implementation. Tipo: Conference Paper or Presentation Palavras-chave: 2003 CAP reform; Cattle market; Decoupling; European Union; Market integration; Agricultural and Food Policy; Farm Management; Land Economics/Use. Ano: 2010 URL: http://purl.umn.edu/61085 The Integration of the Conventional and Organic Wheat Market AgEcon Wurriehausen, Nadine; Ihle, Rico; Lakner, Sebastian. Tipo: Conference Paper or Presentation Palavras-chave: Crop Production/Industries; Marketing. Ano: 2011 URL: http://purl.umn.edu/115784 The Integration of Tomato Markets in Ghana with and without Direct Trade Flows AgEcon Ihle, Rico; Amikuzuno, Joseph. Spatial market equilibrium theory views trade flow as the driving force behind market integration. We assess spatial price transmission between domestic tomato markets in Ghana to ascertain whether spatial price transmission veritably depends on direct trade between markets, or whether other forces drive market integration. We analyze a unique data set on tomato trade consisting of semi-weekly price and trade flow data for the five most important Ghanaian markets for fresh tomato, which represents one of the most important commercially produced and consumed vegetables in the country. A regime-dependent vector error correction model is proposed to investigate this question, and the results are compared with those of a linear vector error correction model.... Tipo: Conference Paper or Presentation Palavras-chave: Keywords— spatial market integration; Regime-dependent vector error correction model; Information flow; Ghana; Tomato.; Agricultural and Food Policy; Food Security and Poverty; International Relations/Trade; Marketing; JEL: C32; Q11; Q13; F14. Ano: 2009 URL: http://purl.umn.edu/51402 The Pattern of Integration between Fossil Fuel and Vegetable Oil Markets: The Case of Biodiesel in Germany AgEcon Busse, Stefan; Brümmer, Bernhard; Ihle, Rico. With this paper, we provide the first quantitative investigation of vertical price transmission in the biodiesel supply chain in Germany with the focus on the developments during the food crisis and the impact of subsidized US biodiesel exports. With the strong promotion of the production and use of biodiesel during the first half of the past decade, the German biodiesel market became the largest national biodiesel market worldwide. This analysis utilizes prices of rapeseed oil, soya oil, biodiesel and crude oil over a sample period covering the rapid growth of the German demand in 2002 until its decline in 2009. The effects of both the market development and different policies on price transmission are analyzed in detail. Due to the numerous changes in... Tipo: Conference Paper or Presentation Palavras-chave: Biodiesel; Cointegration; Nonlinear vector error correction model; Regime-dependent model; Markov-switching; Agricultural and Food Policy; Demand and Price Analysis; C22; Q11; Q18. Ano: 2010 URL: http://purl.umn.edu/61010 Registros recuperados: 15 Primeira ... 1 ... Última

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