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Registros recuperados: 77
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A Robust Multivariate Long Run Analysis of European Electricity Prices AgEcon
Bosco, Bruno; Parisio, Lucia; Pelagatti, Matteo; Baldi, Fabio.
This paper analyses the interdependencies existing in wholesale European electricity prices. The results of a multivariate long run dynamic analysis of weekly median prices reveal the presence of a strong although not perfect integration among some neighboring markets considered in the sample and the existence of common long-term dynamics of electricity prices and gas prices but not oil prices. The existence of long-term dynamics among gas prices and electricity prices may prove to be important for long-term hedging operations to be conducted even in markets where there are no electricity derivatives.
Tipo: Working or Discussion Paper Palavras-chave: European Electricity Prices; Cointegration; Interdependencies; Equilibrium Correction Model; Oil Prices; Resource /Energy Economics and Policy; C15; C32; D44; L94; Q40.
Ano: 2007 URL: http://purl.umn.edu/7438
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Agricultural Inter-Sectoral Linkages and Its Contribution to Economic Growth in the Transition Countries AgEcon
Subramaniam, Vijay; Reed, Michael R..
This study estimates an econometric model that incorporates the linkages among agriculture, manufacturing, service and trade sectors using a vector error correction model for Poland and Romania. Three cointegrating vectors for Poland and one for Romania confirm that the different sectors in the Poland and Romania moved together over the sample period, and for this reason, their growth rates are interdependent. The long-run relationship of industrial, service and trade sectors to agricultural sector were established, and the results show that the industrial sector in Poland contributes positively to the agricultural sector while the growing service sector shows mixed results. The results of Romania indicate that the industrial sector is detrimental to...
Tipo: Conference Paper or Presentation Palavras-chave: Transition economy; Inter-sectoral growth linkages; Cointegration analysis; International Development; Research Methods/ Statistical Methods; P20; 041; C32.
Ano: 2009 URL: http://purl.umn.edu/51586
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Analysis of Import Demand for Wooden Beds in the U.S. AgEcon
Wan, Yang; Sun, Changyou; Grebner, Donald L..
The market of wooden beds in the U.S. has been flooded with imports from China and Vietnam in recent years. Static and dynamic Almost Ideal Demand System models are used to assess the import demand for wooden beds from the top seven supplying countries. The analyses reveal that the antidumping investigation on China has some temporary trade depression effect on China, but trade diversion occur to Vietnam, Indonesia, Canada, and Brazil. The formal implementation of antidumping duties since 2005 has not shown any significant effect on the trade pattern. U.S. consumers spend more on beds from newly industrialized countries and there are moderate degrees of substitution among wooden beds from most countries.
Tipo: Journal Article Palavras-chave: Antidumping; Cointegration; Demand elasticity; Furniture; Trade diversion; Agribusiness; Consumer/Household Economics; Demand and Price Analysis; Financial Economics; Marketing; C32; D12; F14; Q23.
Ano: 2010 URL: http://purl.umn.edu/100522
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Asimetrías en la transmisión de precios en el sector del tomate en España AgEcon
Ben Kaabia, Monia; Gil Roig, Jose Maria.
RESUMEN: El objetivo de este trabajo consiste en analizar el proceso de transmisión de precios a lo largo de la cadena comercial en el sector del tomate en España. Para ello se han considerado el precio percibido por el productor y el pagado por el consumidor. El enfoque metodológico adoptado se basa en la estimación de un Vector de Corrección del Error con umbrales. Los resultados indican que, a largo plazo, los dos precios son homogéneos. Sin embargo, en el corto plazo las reacciones de precios, tanto en velocidad como en magnitud, son asimétricas. Es más, los resultados indican que los detallistas se benefician (en el sentido de que son capaces de aumentar el margen comercial) de cualquier shock, ya sea positivo o negativo, que afecte tanto a las...
Tipo: Journal Article Palavras-chave: Asimetrías; Cointegración por umbrales; Precios; Tomate; Threshold cointegration; Prices; Tomato; Asymmetries; Demand and Price Analysis; Research Methods/ Statistical Methods; C32; Q13.
Ano: 2008 URL: http://purl.umn.edu/37189
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Border Effects on Spatial Price Transmission between Fresh Tomato Markets in Ghana and Burkina-Faso: Any Case for Promoting Trans-border Trade in West Africa? AgEcon
Amikuzuno, Joseph.
Cross-border trade in food commodities within sub-regional economic blocks in Sub-Sahara Africa (SSA) is believed to be faster, cheaper, more convenient and welfare-enhancing than trade between SSA countries and the USA or EU. The difficulty of commodity arbitrage across borders in SSA is however a fundamental impediment to price transmission, market integration and the realisation of the welfare-enhancing role of cross-border trade. This study examines the impact of border and distance on price transmission between tomato in Ghana and Burkina-Faso. The analysis applies a linear and a regime-switching vector error correction model to estimate wholesale prices of tomato in four tomato markets in Ghana and a producer market in Burkina-Faso. The estimated...
Tipo: Conference Paper or Presentation Palavras-chave: Price Transmission; Border; Tomato; Ghana; Burkina-Faso; International Relations/Trade; C32; Q11; Q13; Q17; Q18.
Ano: 2011 URL: http://purl.umn.edu/108943
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Border Effects on Spatial Price Transmission between Fresh Tomato Markets in Ghana and Burkina-Faso: Any Case for Promoting Trans-Border Trade in West Africa? AgEcon
Amikuzuno, Joseph.
Cross-border trade in food commodities within sub-regional economic blocks in Sub-Sahara Africa (SSA) is believed to be faster, cheaper, more convenient and welfare-enhancing than overseas trade between SSA countries and the USA, EU and the BRIC countries. The difficulty of commodity arbitrage across international borders SSA is however a fundamental constraint to price transmission, market integration and the realisation of the welfare-enhancing role of cross-border trade in Africa. This study examines the impact of border and distance on price transmission between tomato markets in Ghana and Burkina-Faso. The analysis applies a regime-switching vector error correction model to estimate semi-weekly, wholesale prices of tomato in four tomato markets in...
Tipo: Conference Paper or Presentation Palavras-chave: Price Transmission; Border; Tomato; Ghana; Burkina-Faso; Agribusiness; C32; Q11; Q13; Q17; Q18.
Ano: 2011 URL: http://purl.umn.edu/115519
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Business cycles in Mexico and the United States: Do they share common movements? AgEcon
Herrera Hernandez, Jorge.
In this document I apply a recently developed econometric technique to prove the existence of common movements between time series. Said methodology is used to test and measure the existence of common cycles between the economies of Mexico and the United States for the 1993-2001 period. It is found that both economies share a common trend and a common cycle. Also, given the existence of one common cycle between these economies, it is found that transitory shocks affecting Mexico’s GDP are more important than when a conventional trend-cycle decomposition methodology is applied. Finally, it is shown that there are efficiency gains in forecasting by considering the common cycle restriction in a bivariate vector error correction model that includes the Mexican...
Tipo: Journal Article Palavras-chave: Time series models; U.S. GDP; Mexican GDP; C32; O51; O54.
Ano: 2004 URL: http://purl.umn.edu/43546
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Business cycles in Mexico and the United States: Do they share common movements? AgEcon
Herrera Hernandez, Jorge.
In this document I apply a recently developed econometric technique to prove the existence of common movements between time series. Said methodology is used to test and measure the existence of common cycles between the economies of Mexico and the United States for the 1993-2001 period. It is found that both economies share a common trend and a common cycle. Also, given the existence of one common cycle between these economies, it is found that transitory shocks affecting Mexico’s GDP are more important than when a conventional trend-cycle decomposition methodology is applied. Finally, it is shown that there are efficiency gains in forecasting by considering the common cycle restriction in a bivariate vector error correction model that includes the Mexican...
Tipo: Journal Article Palavras-chave: Time series models; U.S. GDP; Mexican GDP; C32; O51; O54.
Ano: 2004 URL: http://purl.umn.edu/43550
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Co-integração entre os mercados spot e futuro: evidências dos mercados de boi gordo e soja AgEcon
Abitante, Kleber Giovelli.
One of the measures of future markets’ efficiency is its linkage with the spot market. The objective of this paper is to verify the existence of a statistical linkage between spot market and the Brazilian Mercantile & Future Exchange (BM&F) live cattle future market and between spot market and the BM&F and Chicago Board of Trade (CBOT) soybean future market. In addition, an efficiency indicator for the BM&F live cattle future market was estimated. With regard to live cattle, the daily time series used was price of the future contracts with maturity month between January/05 and November/05 and for soybean, the price of the future contracts used was with maturity between March 2005 until September 2005 and November 2005. Concerning live...
Tipo: Journal Article Palavras-chave: Cointegration; Futures markets; Soybean; Live cattle.; Agribusiness; C32; Q1; Q11.
Ano: 2008 URL: http://purl.umn.edu/61272
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Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing? AgEcon
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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Common Trends, Common Cycles, and Price Relationships in the International Fiber Market - Evidence from a Seemingly Unrelated Structural Time Series AgEcon
Fadiga, Mohamadou L.; Misra, Sukant K..
This study shows that the stochastic process that governs price fluctuations in the international fiber market has transitory and permanent components. The results also indicate structural relationships between cotton price and wool price, wool price and oil price, rayon price and cotton price, and between polyester price and cotton price.
Tipo: Conference Paper or Presentation Palavras-chave: Unobserved components; State-space; Kalman filter; Fiber prices; Cofeature; International Relations/Trade; C32; Q11.
Ano: 2005 URL: http://purl.umn.edu/35545
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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
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DEMAND INTERACTION BETWEEN FARMED SALMON AND WILD CAUGHT FISH IN THE UNITED KINGDOM AgEcon
Fofana, Abdulai; Clayton, Patty.
Demand relationships between salmon and a number of wild-caught whitefish and shellfish species using both single equation models and linearised AIDS system framework. The system is well represented although autocorrelation were found in both approaches but this is less of a problem in the systems approach. A cautious interpretation of the results indicated that salmon had a long-run market relationship with the whitefish species of cod, monkfish, saithe, whiting and plaice and with the shellfish species of mussels, nephrops, scallops and shrimp. These groups contain the main seafood species consumed within the United Kingdom, and therefore should include most potential substitutes for salmon.
Tipo: Working or Discussion Paper Palavras-chave: Demand; Salmon; Whitefish; Shellfish; AIDS; Elasticities; Demand and Price Analysis; Resource /Energy Economics and Policy; C32; C22; D12.
Ano: 2003 URL: http://purl.umn.edu/11828
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Determination of Optimal Environmental Flow Acquisition in Kor Basin, Doroudzan Dam AgEcon
Asad Falsafi Zadeh, Neda; Sabouhi Sabouni, Mahmood.
In current study, an irrigation examination and acquisition of environmental water in Kor River fields, that is dominated from Doroudzan dam to Bakhtegan Lake, was done by an integrated economy-environmental model. The model was considered by economic, hydrologic and agronomic components. In the economic component, an optimal harvesting of water was done using non-linear programming in two scenarios; with and without environmental water constraint. Solutions from simulation of environmental data in the hydrologic component, was used as initial data in the economic component. In the agronomic component, actual crop yield in wet, normal and dry years was determined using the relationship between crop yield and irrigation water amount. Results showed that,...
Tipo: Conference Paper or Presentation Palavras-chave: Expected Net Income; Hydrology; Non-Linear Programming Model; Deficit Irrigation; Consumer/Household Economics; Environmental Economics and Policy; Farm Management; Food Consumption/Nutrition/Food Safety; Production Economics; Risk and Uncertainty; C32; C61; D42; D61.
Ano: 2009 URL: http://purl.umn.edu/50258
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Dynamic Effects of Grain and Energy Prices on the Catfish Feed and Farm Sectors AgEcon
Muhammad, Andrew; Zheng, Hualu.
This study examines the dynamic effects of grain prices and energy prices on catfish feed prices and the price of food-sized catfish at the farm level. Using the autoregressive distributed lag model and bounds testing procedure, a long-run relationship between feed and farm prices and their determinants was confirmed. Given the effect of corn and soybean meal prices on catfish feed prices, and catfish fish feed prices on farm prices, the long-run responsiveness of feed prices to a percentage increase in U.S. ethanol production is 0.325, and the responsiveness of catfish farm prices is 0.064. Although both feed and farm prices increase with ethanol production, the relatively small responsiveness of farm prices when compared with feed prices suggests that...
Tipo: Journal Article Palavras-chave: Catfish; Prices; Autoregressive distributed lag (ARDL) model; Ethanol; Feed; Corn; Soybeans; Agribusiness; Agricultural Finance; Demand and Price Analysis; Financial Economics; Institutional and Behavioral Economics; Marketing; Production Economics; Productivity Analysis; Resource /Energy Economics and Policy; C32; Q11; Q22.
Ano: 2010 URL: http://purl.umn.edu/100520
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Dynamic Interrelationships between the U.S. Agricultural Trade Balance and the Macroeconomy AgEcon
Baek, Jungho; Koo, Won W..
The effects of the exchange rate and the income and money supply of the United States and its major trading partners on the U.S. agricultural trade balance are examined using an autoregressive distributed lag (ARDL) model. Results suggest that the exchange rate is the key determinant of the short-and long-run behavior of the trade balance. It is also found that the income and money supply in both the United States and the trading partners have significant impacts on U.S. agricultural trade in both the short and long run.
Tipo: Journal Article Palavras-chave: Agricultural trade balance; Autoregressive distributed lag model; Exchange rate; Income; Macroeconomy; Money supply; International Relations/Trade; C32; F14; Q17.
Ano: 2007 URL: http://purl.umn.edu/6301
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Effects of Japanese Import Demand on U.S. Livestock Prices: Comment AgEcon
Kinnucan, Henry W..
A recent study of Miljkovic, Marsh, and Brester estimates that reductions in the Japanese tariff-rate quota between 1993 and 2001 increased U.S. beef prices by $1.03 per cwt and yen depreciation between 1995 and 1998 reduced U.S. hog prices by $0.99 per cwt. Relaxing the assumption that U.S. beef and hog supplies are fixed cuts the total elasticities underlying these estimates by 50% or more. The upshot is that shocks in the Japanese market have little effect on U.S. beef and pork prices. Hence, producers may be better off focusing on domestic issues such as dietary concerns over red meat consumption.
Tipo: Journal Article Palavras-chave: Elasticities; Exchange rates; Import demand; Income; Supply response; Tariffs; Q17; F14; C32.
Ano: 2004 URL: http://purl.umn.edu/43432
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Effects of Japanese Import Demand on U.S. Livestock Prices: Reply AgEcon
Miljkovic, Dragan; Marsh, John M.; Brester, Gary W..
In responding to a comment article, we concur that quantifying U.S. livestock price response to changing Japanese met import demand requires nonzero supply elasticities beyond one quarter. However, rigidities in market trade and empirical tests justify the inclusion of exchange rates in the short-run analysis. Producer welfare asymptotically approaches zero for increasing supply elasticities in the long run, but short-run transitions in producer surplus are meaningful to producers.
Tipo: Journal Article Palavras-chave: Exchange rates; Import demand; Supply response; Q17; F14; C32.
Ano: 2004 URL: http://purl.umn.edu/42940
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Efficiency in Information Processing: A Study of Non-Nearby Currency Futures and Relationships with Nearby Counterparts AgEcon
Chen, Kim Heng; Han, Li-Ming.
This paper provides a comprehensive analysis of the responses of non-nearby Japanese yen and Deutsche mark futures contracts to macroeconomic announcements and the efficiency of information flow between the nearby and non-nearby contracts. The results show that macroeconomic announcements affect the non-nearby futures returns more through their effects on interest rate differentials than through the underlying spot exchange rates. Information flows efficiently between the Deutsche mark nearby and non-nearby contracts, while information flows primarily from the Japanese yen nearby contracts to the non-nearby counterparts.
Tipo: Journal Article Palavras-chave: Nearby and non-nearby currency futures contracts; Macroeconomic announcement; Information and liquidity trading; Financial Economics; C32; G14.
Ano: 2006 URL: http://purl.umn.edu/50279
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Entwicklung eines Modells zur Projektion des Wirtschaftswachstums und der langfristigen Nachfrage nach Produktionsfaktoren in Deutschland: unter besonderer Berucksichtigung des informations- technologischen Innovationsprozesses AgEcon
Danckwerts, Rudolf-Ferdinand; Grossmann, Wolf Dieter; Henne, Wolfgang.
Es wird das Konzept für ein makroökonomisches Strukturmodell mit integriertem Innovationsprozesskern zur Analyse und Projektion der Wirtschaftsentwicklung in Deutschland vorgestellt. Das geplante Modell soll explizit die Auswirkungen des immer bedeutsamer werdenden IuK-technologischen Innovationsprozesses auf das Wirtschaftswachstum erfassen. Das Modell besteht aus einem makroökonometrischen Teil zur Darstellung der gesamtwirtschaftlichen Entwicklung und einem systemdynamischen Teil zur Erfassung des Innovationsprozesses auf mikroökonomischer Ebene. Als Modellteile sind zwei bereits existierende Modelle, das HWWA-Modell und das ISIS-Modell, nach ihrer Erweiterung und Anpassung vorgesehen. Die erforderlichen Modifizierungen, das Verfahren zur Kopplung der...
Tipo: Working or Discussion Paper Palavras-chave: Zeitreihenmodelle; Dynamische Analyse; Prognose und Simulation; Neue Ökonomie; Technischer Wandel; Research Methods/ Statistical Methods; C32; C53; C61; E17; O33.
Ano: 2003 URL: http://purl.umn.edu/26166
Registros recuperados: 77
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