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Registros recuperados: 47
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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
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An Empirical Analysis of Market Integration and Efficiency for U.S. Fresh Tomato Markets AgEcon
Padilla-Bernal, Luz E.; Thilmany, Dawn D.; Loureiro, Maria L..
Fresh tomato trade between the United States and Mexico grew significantly during the 1990s. Moreover, major structural changes in U.S. produce marketing channels increase the complexity of conducting analyses to delineate the impact of liberalized trade. Following the work of Barrett, Li, and Bailey, this study implements a mixed distribution to examine spatial-price relationships between major shipping points and terminal markets for Mexican imported, and Florida and California tomatoes. Although markets are often efficiently integrated, results suggest strategic pricing and product shipments may exist and vary among terminal markets in Los Angeles, Boston, and Chicago.
Tipo: Journal Article Palavras-chave: Market integration; North American tomato trade; Spatial analysis; Tomato markets; Industrial Organization.
Ano: 2003 URL: http://purl.umn.edu/31061
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ANÁLISE DA ESTRUTURA ESPACIAL DO MERCADO BRASILEIRO DE SUÍNOS AgEcon
Rosado, Patricia Lopes; Maciel, Marilia Fernandes; Lima, Joao Eustaquio de.
Objetivou-se, neste trabalho, analisar o padrão e o grau de integração dos mercados de suínos nos diferentes estados brasileiros, no período de janeiro de 1980 a março de 2005. foram analisados aspectos relacionados à forma de relacionamento entre eles e à determinação dos mercados mais ou menos integrados. além do mais, analisaram-se os fatores que determinam o grau de integração entre esses mercados. O método utilizado neste estudo foi o de séries temporais, mais especificamente a análise de co-integração multivariada de modo geral, observou-se que o mercado brasileiro de suínos apresentou grande dinamismo em relação ao comportamento dos preços nas diferentes localidades que compõem o mercado, considerando que todos os ajustes ocorreram relativamente...
Tipo: Conference Paper or Presentation Palavras-chave: Integração de mercado; Suínos e co-integração multivariada; Market integration; Swine e multivariate co-integration; Livestock Production/Industries.
Ano: 2008 URL: http://purl.umn.edu/109794
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Assessing Market Functioning: The Case of the Hungarian Milk Chain AgEcon
Hockmann, Heinrich; Voneki, Eva.
The paper discusses the impact of market power in the Hungarian milk chain. In a first step a vector error correction model is estimates to assess whether a domestic market for raw milk exists. Since the answer was positive we proceed by developing a structural market model of the Hungarian market for raw milk that is able to identify a possible affect of market power on resource allocation. A nonlinear 3SLS approach was applied to estimate the supply and the demand for raw milk. The results provide that despite the high concentration of in dairy processing the indications for market poser are rather limited. The “Bertrand like” equilibrium can be attributed to the low degree of capacity utilization in dairy processing and the marketing alternative of...
Tipo: Conference Paper or Presentation Palavras-chave: Market power; Market integration; Dairy; Hungary.; Livestock Production/Industries; Marketing.
Ano: 2007 URL: http://purl.umn.edu/7805
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Black Sea Wheat Market Integration with the International Wheat Markets: Some Evidence from Co-integration Analysis AgEcon
Goychuk, Kateryna; Meyers, William H..
Replaced with revised version of paper 07/19/11.
Tipo: Conference Paper or Presentation Palavras-chave: Price transmission; Market integration; Ukraine; Agricultural and Food Policy; Demand and Price Analysis; Research Methods/ Statistical Methods.
Ano: 2011 URL: http://purl.umn.edu/103894
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Cointegration and Market Integration: An Application to the Potato Markets in Rural West Bengal, India AgEcon
Basu, Jyotish Prakash.
The paper attempts to examine the market integration with the help of cointegration test on the prices of potato of Hooghly district in West Bengal. The analysis has been made at two levels, namely at the level of wholesale markets and at the retail markets. The cointegration test by Johansen and Jeselius (1990) applied to weekly prices of three important potato markets in Hooghly district suggest that the markets are integrated. Our results revealed that price signals and information are transmitted smoothly across the markets. These results have important policy implications. In a situation when potato markets are spatially integrated the government may think of reducing or even withdrawing its efforts to influence the price in the market. The finding of...
Tipo: Conference Paper or Presentation Palavras-chave: Market integration; Cointegration; Wholesale potato market; Retail potato market; Price signal and information.; Crop Production/Industries; Marketing; Q13.
Ano: 2006 URL: http://purl.umn.edu/25705
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DISTINGUISHING BETWEEN EQUILIBRIUM AND INTEGRATION IN MARKETS ANALYSIS AgEcon
Li, Jau-Rong; Barrett, Christopher B..
This paper introduces a new market analysis methodology based on maximum likelihood estimation of a mixture distribution model incorporating price, transfer cost, and trade flow data. Not only does this method obviate statistical problems associated with conventional price analysis methods, it also permits differentiation between market integration and competitive market equilibrium. The model generates estimates of the frequency of alternative regimes, combinations of which provide useful, intuitive measures of intermarket tradability, competitive market equilibrium, perfect integration, segmented equilibrium, and segmented disequilibrium. An application to trade in soybean meal among Pacific Rim economies demonstrates the usefulness of the method.
Tipo: Working or Discussion Paper Palavras-chave: International trade; Law of one price; Market integration; Spatial equilibrium; International Relations/Trade.
Ano: 1999 URL: http://purl.umn.edu/14607
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Domestic policy responses to the food price crisis: The case of Bolivia JARTS
Schüttel, Carsten; Kleinwechter, Ulrich; Ihle, Rico; Grethe, Harald.
In face of the global food crisis of 2007–2008, severe concerns arose about how developing countries would be affected by the extreme short-term fluctuations in international commodity prices. We examine the effects of the crisis on Bolivia, one of the poorest countries of the Americas. We focus on the effectiveness of the domestic policy interventions in preventing spillovers of the development of international food prices to domestic markets. Using a cointegration model, we study price interdependencies of wheat flour, sunflower oil and poultry. The analysis suggests that the policy measures taken had little effect on food security during the food crisis. Throughout the entire period, perfect price transmission between the Bolivian poultry and sunflower...
Tipo: Info:eu-repo/semantics/article Palavras-chave: Agricultural economics agricultural trade policies; Bolivia; Cointegration; Error-correction; Food crisis; Food security; Market integration; Price transmission.
Ano: 2012 URL: http://www.jarts.info/index.php/jarts/article/view/2012011740368
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Environmental efficiency of small farms in selected EU NMS AgEcon
Suta, Cornelia Madalina; Bailey, Alastair; Davidova, Sophia.
The objective of this paper is to investigate the relationship between the environmental efficiency and farm commercialisation in selected EU NMS (Bulgaria, Romania and Poland). Using a cross- section of agricultural households, environmental technical efficiency scores are calculated using hyperbolic distance function approach. The results indicate there is a negative relation between the increase in commercialisation of small farms and the production of negative externalities, like nitrogen surplus.
Tipo: Conference Paper or Presentation Palavras-chave: Distance function; Nitrogen surplus; Market integration; Stochastic frontier analysis; Community/Rural/Urban Development.
Ano: 2010 URL: http://purl.umn.edu/95323
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Factors Constraining Efficiency of Russian Corporate Farms: The Case of the Moscow Region AgEcon
Hockmann, Heinrich; Svetlov, Nikolai M..
A time series model is estimated to identify the interrelation among prices on the international and the EU domestic market for butter. Although the findings were not derived from a causal model, the inspection of the data provides economically reasonable and important insights in structural relationship between international and domestic prices. The fact that international prices in the EU and Oceania are causal for each other is an indication of an integrated market. Price transmission is not perfect suggesting that competition between the EU and Oceania exists, however, but not as intense as it could be expected for a homogeneous good like butter. The estimates provide that the EU absorbs price fluctuations form the word market. Interestingly, changes...
Tipo: Conference Paper or Presentation Palavras-chave: Dairy market; International trade; Market integration; Agribusiness; Productivity Analysis; F15; Q13; Q17.
Ano: 2006 URL: http://purl.umn.edu/25439
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Greenhouse Tomatoes Change the Dynamics of the North American Fresh Tomato Industry AgEcon
Cook, Roberta L.; Calvin, Linda.
The rapid growth of the North American greenhouse tomato industry has changed the longstanding dynamics of the fresh tomato industry. During the 1990s, Canada emerged as the largest North American producer of greenhouse tomatoes, a prominence it never attained in the fresh field tomato industry. The United States and Mexico have also become important greenhouse tomato producers, consistent with their long dominance in North American fresh field tomato production. Greenhouse tomatoes have changed the look of U.S. retail tomato sales, where they now account for 37 percent of the quantity sold of fresh tomatoes. While the primary U.S. fresh field tomato product, the mature green tomato, long dominated retail sales, its share has decreased significantly due to...
Tipo: Report Palavras-chave: Greenhouse tomatoes; Field tomatoes; Mature green tomatoes; United States; Canada; Mexico; Market integration; Product differentiation; Seasonality in production; Crop Production/Industries.
Ano: 2005 URL: http://purl.umn.edu/7244
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Impact of Mandatory Price Reporting on Fed Cattle Market Integration AgEcon
Pendell, Dustin L.; Schroeder, Ted C..
Geographic fed cattle markets are important because cattle are bulky and perishable, and production and consumption areas are separated. These characteristics make cattle transportation costly and can contribute to segmented markets. This study uses USDA-AMS reported fed cattle market price data from five U.S. regional fed cattle markets to investigate the effects of mandatory price reporting on spatial market integration. Results indicate these markets have been, and remain, highly cointegrated after implementation of mandatory price reporting (MPR). Following introduction of mandatory price reporting, the five regional fed cattle markets have become more fully integrated (i.e., prices tend to move more closely one-for-one following introduction of MPR).
Tipo: Journal Article Palavras-chave: Cattle markets; Cointegration; Mandatory price reporting; Market integration; Regime shift; Livestock Production/Industries; Marketing.
Ano: 2006 URL: http://purl.umn.edu/8622
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Impact of Mandatory Price Reporting on Hog Market Integration AgEcon
Franken, Jason R.V.; Parcell, Joseph L.; Tonsor, Glynn T..
This research examines whether mandatory price reporting (MPR) impacted price relationships among U.S. hog markets. Markets are cointegrated before and after MPR enactment, but not fully integrated in either period. Terminal markets adjust to shocks in the Iowa-Southern Minnesota market more quickly and Iowa-Southern Minnesota prices adjust to shocks in terminal markets more slowly following MPR enactment. Granger causality tests indicate a causal flow from terminal markets to Iowa-Southern Minnesota prices before MPR and a causal reversal after MPR enactment. These results likely reflect decreases in volume of negotiated sales, particularly in terminal markets, and greater reliance on mandatorily reported prices for market information.
Tipo: Journal Article Palavras-chave: Cointegration; Hog markets; Mandatory price reporting; Market integration; Regime shift; Livestock Production/Industries; Marketing; Q13.
Ano: 2011 URL: http://purl.umn.edu/104624
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Institutional Impact of GATT: An Examination of Market Integration and Efficiency in the World Beef and Wheat Market under the GATT Regime AgEcon
Fabiosa, Jacinto F..
Studies on the General Agreement on Tariffs and Trade (GATT) are abundant in the literature. But most researchers have examined GATT's impact on economic activities with scant or no attention given to its impact on institutions such as market integration and efficiency. To the latter issues, this paper is addressed. Even prior to the signing of the final act, questions were raised on possible maneuvers that might frustrate its intent, that of ushering in an era of true liberalization in agricultural trade. This study finds consistent evidence that GATT reforms promoted market integration and improved market efficiency. Decomposition of price variability into its various sources shows that the transmission of shocks becomes more widespread across markets...
Tipo: Working or Discussion Paper Palavras-chave: Market integration; Market efficiency; Cointegration; Vector autoregression; GATT; Beef and wheat markets; International Relations/Trade.
Ano: 1999 URL: http://purl.umn.edu/18508
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Integração espacial de mercados na presença de custos de transação: um estudo para o mercado de boi gordo em Minas Gerais e São Paulo AgEcon
Mattos, Leonardo Bornacki de; Lima, Joao Eustaquio de; Lirio, Viviani Silva.
The analysis of market integration of agricultural commodities based on price information are limited because the effects of transaction costs are not considered in the adjustment process. The main objective of this paper was to estimate the possible transaction costs impacts on market integration of beef cattle between the states of Minas Gerais and São Paulo. It was estimated a Threshold Vector Error Correction Model (TVEC model) using monthly price data for the period from January 1972 to August 2005. The results indicated the presence of threshold cointegration implying that transaction costs have important effect on the price adjustment process.
Tipo: Journal Article Palavras-chave: Market integration; Transaction costs; Beef cattle; TVEC model; Threshold cointegration.; Agribusiness; Q13; C32.
Ano: 2009 URL: http://purl.umn.edu/60821
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INTEGRATION AND BEHAVIOR IN THE U.S. WINTER MARKET FOR FRESH TOMATOES AgEcon
Jordan, Kenrick H.; VanSickle, John J..
Alternative hypotheses of market integration in the U.S. winter market for fresh tomatoes were evaluated using a dynamic model of spatial price adjustment. The results showed that while Florida and Mexico were integrated in the same market, a price change in one area was not instantaneously reflected in the other. Lagged effects were important with long-run integration being supported for both Florida and Mexico and short-run integration for Mexico. However, the information flow, while relatively efficient, was not symmetric. Florida was found to be dominant in the price formation process with Mexico responding to changes in the Florida price.
Tipo: Journal Article Palavras-chave: Florida; Market integration; Mexico; Pricing; Tomatoes; Marketing.
Ano: 1995 URL: http://purl.umn.edu/15349
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INTERREGIONAL INTEGRATION OF WHEAT MARKETS IN KAZAKHSTAN AgEcon
Brosig, Stephan; Yakhshilikov, Yorbol.
Reliable marketing opportunities in both interregional and international trade along with relatively low transportation [and transaction] costs are essential to profitability of wheat production. In this study we have investigated one aspect of the quality of marketing and trade opportunities in the Kazakh wheat sector, that is the extent and nature of integration among regional wheat markets. We applied threshold cointegration technique to assess the co-movement between time series of elevator prices at three grain-trading (and producing) spots in the northern and central parts of the country. Results suggest that markets of two northern grain trading spots (Petropavlovsk and Kokshetau) are closely connected with each other while their connection with...
Tipo: Working or Discussion Paper Palavras-chave: Kazakhstan; Price transmission; Market integration; Threshold cointegration; Crop Production/Industries; Marketing; C22; Q13.
Ano: 2005 URL: http://purl.umn.edu/14921
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Land Fragmentation, Market Integration and Farm Efficiency: Empirical Evidence from Kosovo AgEcon
Sauer, Johannes; Davidova, Sophia; Gorton, Matthew.
This paper investigates the effect of land fragmentation on farm efficiency in Kosovo utilising agricultural household survey data. To recognise heterogeneity among agricultural production systems in Kosovo, we estimate the technology separately for different groups or “classes” of farms, identified using latent class modelling. This approach separates the data into multiple technological “classes” according to estimated probabilities of class membership based on multiple specified characteristics, relating in this case to land fragmentation and market integration. The latent class frontier method is linked to the estimation of a multi-output multi-input production function, namely a directional output distance function, and to the estimation of Morishima...
Tipo: Presentation Palavras-chave: Land fragmentation; Market integration; Farm households; Kosovo; Agricultural and Food Policy; Production Economics; Productivity Analysis; O13; Q12.
Ano: 2012 URL: http://purl.umn.edu/123236
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Linkage between World and Domestic Prices of Rice under the regime of Agricultural Trade Liberalization in Bangladesh AgEcon
Alam, Mohammad Jahangir; Buysse, Jeroen; McKenzie, Andrew M.; Wailes, Eric J.; Van Huylenbroeck, Guido.
The paper examines the relationship between the world market and domestic market prices of rice for Bangladesh in the regime of agricultural trade liberalization. The long run price relationship information is an important piece of information for the policy makers in formulating domestic polices and negotiating trade policies at the international level. The monthly data used for this study are taken from different sources, the Food outlook, FAO and Global Information and Early Warning System, FAO and the Bangladesh Bank for the period June 1998 to July 2007. Both Engle-Granger bi-variate and Johansen multivariate cointegration tests were used for the results sensitivity. We sequentially proceed to estimate the standard error correction model. The results...
Tipo: Conference Paper or Presentation Palavras-chave: Market integration; Domestic price; World price; Error correction model; Marketing.
Ano: 2010 URL: http://purl.umn.edu/58878
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Linking Small Scale Farmers in China with the International Markets: A Case of Apple Export Chains AgEcon
Zhang, Xiaoyong; Qiu, Huanguang; Huang, Zhurong.
This study describes how governance mechanisms were formed that link small-scale apple farmers in China with export markets. These institutional innovations have improved the efficiency of price transmission and generated higher profit margins for various actors in the supply chain, in particular for small-scale farmers. Chinese apple exports are highly coordinated through ongoing long term loyal network relationships and vertical integration. Relevant policy implications and further challenges are discussed in the conclusion.
Tipo: Journal Article Palavras-chave: Supply chain; Price transmission; Institutions; Market integration; Demand and Price Analysis; Institutional and Behavioral Economics; Marketing; Q10; Q13.
Ano: 2009 URL: http://purl.umn.edu/53798
Registros recuperados: 47
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