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| Registros recuperados: 126 | |
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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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| Esposti, Roberto; Listorti, Giulia. |
| This paper analyses the horizontal transmission of cereal price shocks both across different market places and across different commodities. The analysis is carried out using Italian and international weekly spot (cash) price data and concentrating the attention on years 2006-2010, a period of generalized exceptional exuberance and consequent rapid drop of agricultural prices. The work aims at investigating how price transmission may be affected during price bubbles. The properties of price time series are firstly explored to assess which data generation process may have eventually produced the observed patterns. Secondly, the interdependence across prices is specified and estimated adopting appropriate cointegration techniques. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Price Transmission; Price Bubbles; Time Series Properties; Cointegration; Demand and Price Analysis; Q110; C320. |
| Ano: 2011 |
URL: http://purl.umn.edu/114338 |
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| Margarido, Mario Antonio; Bueno, Carlos Roberto Ferreira. |
| Esse artigo utilizou testes de exogeneidade e de co-integração para determinar o poder de compra entre os segmentos de produtores agrícolas, atacado e varejo em São Paulo. Foram utilizadas séries de preços de arroz em nível de produtor de arroz no estado de São Paulo, preço de arroz no atacado e varejo, ambos na cidade de São Paulo. O período de análise abrange o período de janeiro de 1995 a dezembro de 2006. Os resultados mostram que, no longo prazo, o atacado deprime o valor recebido pelo produtor de arroz em 15,10% (elasticidade de transmissão de preço maior que a unidade), resultado que demonstra o poder de compra do primeiro sobre o segundo. Os resultados também mostram que o varejo deprime os preços do arroz no atacado no longo prazo, porém, com... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Poder de compra; Teste de exogeneidade; Co-integração; Mercado de arroz; Buyers’ power; Exogeneity test; Cointegration; Rice market; Crop Production/Industries. |
| Ano: 2008 |
URL: http://purl.umn.edu/112733 |
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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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| Gali, Jyothi; Brown, Colin G.. |
| Barley can be differentiated into feed and malting barley based on its end-use markets. Substitutability both in supply and in demand complicates analysis of price information in the barley market. The paper examines the price linkages between feed and malting barley in the Queensland barley market by using cointegration and error correction models. Malting barley prices respond to restore equilibrium relationships with corresponding feed barley prices in the long run, but not vice versa. Thus there appears to be a price leadership role for feed barley, and one-way substitutability and quality differences in the barley market. |
| Tipo: Presentation |
Palavras-chave: Barley; Cointegration; Substitutability; Quality; Demand and Price Analysis; Marketing. |
| Ano: 2000 |
URL: http://purl.umn.edu/123649 |
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| 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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| Babula, Ronald A.; Newman, Douglas. |
| The methods of the cointegrated vector autoregression/error correction (VAR/VEC) model are applied to monthly U.S. markets for sugar and for sugar-using markets for confectionary, soft drink, and bakery products. Primarily a methods paper, Johansen and Juselius' methods are applied, with a special focus on addressing well-known issues that preclude statistically normal behavior, and that confront the modelled sugar-based data. In so doing, we illustrate the effectiveness and the benefits of modelling this sugar-related set of markets as a cointegrated system. Perhaps for the first time, cointegrated VEC model results are used to estimate crucial policy-relevant market parameters that drive the markets, as well as to illuminate the dynamic nature of the... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Cointegration; Sugar-based U.S. markets; Vector autoregression; Vector error correction models; Industrial Organization; Research Methods/ Statistical Methods. |
| Ano: 2005 |
URL: http://purl.umn.edu/15878 |
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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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| 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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| McKee, Gregory J.; Miljkovic, Dragan. |
| Analysts often use a single average or otherwise aggregated price series to represent several geographic or product markets even when disaggregate data are available. We hypothesize that such an approach may not be appropriate under some circumstances, such as when only long-term relationships hold among price series or when homogeneous but relatively perishable products are considered. This question is of particular relevance in agriculture because of seasonality in production and harvest across various production regions, and the effect of changes in demand as substitute crops become available. We analyze this question in the context of fresh strawberry production. We find that in the case of the strawberry market, aggregate series are appropriate for... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Strawberry; Price; Cointegration; Granger causality; Average price; Research Methods/ Statistical Methods. |
| Ano: 2007 |
URL: http://purl.umn.edu/9843 |
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| Abbas, Faisal; Hiemenz, Ulrich. |
| This study describes the macroeconomic determinants of health care spending in a broad context using time series data from Pakistan on economic, demographic, social, and political variables. The data spans a period from 1972- 2006 and was analyzed using cointegration and error correction approaches. All variables were found to be first difference stationary and the results confirm the presence of one cointegrating vector. This proves the existence of a long-run relationship between public health care expenditures and the other variables used in the model. The income elasticity of public health care expenditures is estimated at 0.23. As this value is less than unity it suggests that, contrary to most of the Organization for Economic Co-operation and... |
| Tipo: Working Paper |
Palavras-chave: Public Health Expenditures; Unemployment; Urbanization; Cointegration; Time series; Pakistan; Health Economics and Policy. |
| Ano: 2011 |
URL: http://purl.umn.edu/118422 |
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| Registros recuperados: 126 | |
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