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Cointegrated Vector Autoregression Methods: An Application to Non-Normally Behaving Data on Selected U.S. Sugar-Related Markets AgEcon
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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How do domestic policies affect the integration of Ethiopian fertiliser markets with world markets? JARTS
Agbahey, Johanes Uriel Ibidjola; Luckmann, Jonas; Grethe, Harald; Alamirew Alemu, Bamlaku.
Frequent shifts in policy on fertiliser markets have occurred in Ethiopia with the aim of facilitating both physical and economic access of farmers to fertiliser. The last shift was the introduction of a monopoly on each stage of the supply chain in 2008. Furthermore, government control of prices and margins as well as stockholding programmes are also present on the markets. This paper evaluates the effect of these policies on the integration of domestic with world markets of fertiliser, using cointegration methods. Time series data of diammonium phosphate (DAP) and urea prices on world, import and retail markets between 1971 and 2012 are used. The findings show high transmission of price signals from world markets to import prices for both DAP and urea....
Tipo: Info:eu-repo/semantics/article Palavras-chave: Agricultural economics agricultural policy; Ethiopia; Fertiliser use; Price transmission; Vector error correction models.
Ano: 2015 URL: http://www.jarts.info/index.php/jarts/article/view/2015111149311
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Market integration and price leadership in selected sugar markets. The case of Colombia, Brazil and the world AgEcon
Bugueiro, Mauricio; Brümmer, Bernhard; Diaz, Jose.
Published by Asociación de Economistas Agrarios de Chile
Tipo: Journal Article Palavras-chave: Market integration; Cointegration; Law of one price; Vector error correction models; Agribusiness; Marketing.
Ano: 2010 URL: http://purl.umn.edu/104405
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