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Registros recuperados: 9
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Considering threshold effects in the long-run equilibrium in a vector error correction model: An application to the German apple market AgEcon
Goetz, Linde; von Cramon-Taubadel, Stephan.
We propose a three-step procedure to estimate a regime-dependent vector error correction model (VECM). In this model, not only the short-run adjustment process towards equilibrium is non-linear, as in threshold VECM and Markov switching VECM frameworks, but the long-run equilibrium relationship itself can also display threshold-type non-linearity. The proposed approach is unique in explicitly testing the null hypothesis of linear cointegration against the alternative of threshold cointegration based on the Gonzalo AND PITARAKIS (2006) test. The model is applied to apple price data on wholesale markets in Hamburg and Munich, using the share of domestic apples in total wholesale trade as the threshold variable. We identify four price transmission regimes...
Tipo: Conference Paper or Presentation Palavras-chave: Threshold cointegration; Spatial price transmission; Vector error correction model; Marketing.
Ano: 2008 URL: http://purl.umn.edu/44247
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Dynamic Relation Mechanism between Cotton Future Price and Stock Price of Related Listed Companies AgEcon
Liu, Peng.
The Dynamic relation mechanism between ZCE cotton futures price and related listed company stock price had been studied based on the metastock historical data in January 1st, 2007 to September 1st, 2010,Johansen co-integration analysis, Vector error correction model, Granger causality test and variance decomposition method. The results indicated that: long-term equilibrium relationship existed between ZCE cotton futures price and Xinsai share stock price while which changed in the same tendency and speed in the long-term. Cotton futures price is the main reason for the changing of Xinsai share stock price. The lead-lag relationship in changing course had been confirmed that existed between ZCE cotton futures price and the Xinsai share stock price....
Tipo: Journal Article Palavras-chave: Cotton futures; Listed companies stock price; Relation mechanism; Vector error correction model; Granger causality test; China; Agribusiness.
Ano: 2011 URL: http://purl.umn.edu/117428
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Dynamic Relationships Between Farm Real Estate Values and Federal Farm Program Payments AgEcon
Shaik, Saleem; Miljkovic, Dragan.
This study examines the dynamic relationships among farm real estate values, farm returns, farm program payments, and real interest rates in an income capitalization model. Endogeneity is assumed among the variables in a dynamic framework because the direction of causality is unclear from a theoretical standpoint. The analysis encompasses the period beginning with the introduction of the first farm bill in 1933 and ending in 2006. Results indicate farm program payments have positive direct impacts in the short run and positive indirect impacts (via farm returns) in the long run on farm real estate values.
Tipo: Journal Article Palavras-chave: Dynamics; Farm program payments; Farm real estate values; U.S. data 1933 – 2006; Vector error correction model; Agricultural and Food Policy; Land Economics/Use.
Ano: 2010 URL: http://purl.umn.edu/61069
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Evidence of non-linear price transmission between maize markets in Mexico and the US AgEcon
Araujo-Enciso, Sergio Rene.
The present work provides evidence that non linear co-integration between Mexico and the US maize prices exists, at country and regional level. The models suggest that Mexican prices adjust at changes in US prices. Despite asymmetry was statistically rejected, it is likely that it might occur for thriving parameters different that zero in the error correction term. The results suggest on which way the research might be improved in order to assess such co-integration relationship accurately.
Tipo: Conference Paper or Presentation Palavras-chave: Co-integration; Asymmetric price transmission; Vector error correction model; Error correction term; Loading parameter; Mexico; US; Maize; Agricultural and Food Policy; Food Security and Poverty; Research Methods/ Statistical Methods; C32; Q11; Q13.
Ano: 2009 URL: http://purl.umn.edu/51366
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How effective is the EU Entry Price System for Fresh Fruits and Vegetables? AgEcon
Goetz, Linde; Grethe, Harald.
The EU protects EU growers of 15 kinds of fresh fruits and vegetables against international competition not only by the means of ad valorem tariffs of up to 20%, but also by the EU entry-price system (EPS), which is designed to restrict imports below the product-specific, politically designated entry price level. This study investigates the influence of the EPS on import prices of fruits and vegetables per product and country of origin. We utilise a unique data set comprising about 60,000 observations of daily synthetic import prices. We develop two indicators for the effectiveness of the EPS, which serve as variables in a cluster analysis identifying four classes differing in the relevance of the EPS. Results suggest that the relevance of the EPS is...
Tipo: Conference Paper or Presentation Palavras-chave: Threshold cointegration; Spatial price transmission; Vector error correction model; Agricultural and Food Policy; Demand and Price Analysis.
Ano: 2008 URL: http://purl.umn.edu/44063
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Induced Technological Change in Canadian Agriculture Field Crops - Canola and Wheat: 1926-2003 AgEcon
Mupondwa, Edmund K..
A tractable two-stage constant elasticity of substitution (CES) production function is applied to disaggregated western Canadian wheat and canola data for 1926-2003 to investigate the induced innovation hypothesis. Time series properties of the data are analyzed using cointegration and error correction to assess causality in differentiating between technological change and factor substitution. The results provide empirical support for the hypothesis with respect to prairie wheat and canola production.
Tipo: Conference Paper or Presentation Palavras-chave: Disaggregated data; Induced innovation; Stationarity; Unit roots; Cointegration; Vector error correction model; Research and Development/Tech Change/Emerging Technologies.
Ano: 2005 URL: http://purl.umn.edu/19333
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La integración económica del mercado de maíz entre México y Estados Unidos, y su relación con el ingreso de los productores rurales. Colegio de Postgraduados
Ramos Castro, José Guadalupe.
En esta investigación se examinó la relación entre los precios del mercado de maíz de México y los precios del mercado de maíz de los Estados Unidos y su vinculación con los pequeños productores del grano. El concepto teórico de la Ley de un solo Precio (LOP) fue utilizada para determinar integración comercial del mercado de maíz entre ambos países. La estimación econométrica, utilizando análisis de cointegración y un Vector de Corrección de Errores, muestra que las series de precios analizadas están cointegradas en el largo plazo, la Ley de un solo Precio se cumple, lo cual es evidencia de integración entre los mercados. Los movimientos de los precios internacionales determinan el movimiento de los precios en México, estos últimos tardan entre 13 a 18...
Palavras-chave: Cointegración; Vector de corrección de error; Maíz; Pequeños productores; Co-integration; Vector error correction model; Maize; Peasants; Maestría; EDAR; Estrategías para el Desarrollo Agrícola Regional.
Ano: 2010 URL: http://hdl.handle.net/10521/373
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Market integration for Chilean wheat prices using Vector Error Correction Models (VECM), a cointegration analysis: análisis de cointegración Ciencia e Investigación Agraria
Valdes,Rodrigo; von Cramon-Taubadel,Stephan; Díaz,José.
Historically Chile has been a wheat net importer country. This situation, added to the small size of its economy, causes that the domestic price of this cereal is highly influenced by import prices of substitute wheat. This research analyzed the integration level of the Chilean wheat market with respect to the USA and Argentinean markets using a vector error correction model (VECM), the impact of the band prices (D-BAND) and the change of the band mechanism introduced in 2004 (D-MECH) by the inclusion of two binary variables in the VECM. The results showed strong market integration among Argentina, Chile and USA, with USA leading the market. Additionally, the price of the Chilean wheat was influenced by the USA and Argentina prices. The binary variables,...
Tipo: Journal article Palavras-chave: Cointegration analysis; Price band; Wheat; Cereal prices; International market of commodities; Vector error correction model.
Ano: 2011 URL: http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-16202011000100001
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Nature of Dynamic Relationships Between Farm Real Estate Values and Federal Farm Program Payments AgEcon
Shaik, Saleem; Miljkovic, Dragan.
The objective of this study is to test the dynamic relationships among variables including farm real estate values, farm returns, farm program payments, and real interest rates in an income capitalization model. Our analysis is unique in multiple ways: (1) it covers the period beginning with the introduction of the first farm bill in 1933 through 2006; (2) assumes endogeneity of the variables, and (3) develops a dynamic modeling framework. Endogeneity is assumed among farm real estate values, farm program payments, and farm receipts since the direction of causality is unclear from a theoretical standpoint. Results indicate that policy makers are reactive rather than pro-active in making transfers to farmers. Once farm program payments are implemented,...
Tipo: Report Palavras-chave: Dynamics; Farm programs payments; Farm real estate values; Vector error correction model; U.S. data; 1933-2006; Agricultural Finance; Farm Management; Q18; H50; C32.
Ano: 2008 URL: http://purl.umn.edu/44823
Registros recuperados: 9
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