SABIIA - Sistema Aberto e Integrado de Informação em Agricultura (Sabiia)

Carlberg, Jared G.; Ward, Clement E..

Price discovery is a frequent topic of research, but many times is not clearly defined and thus purported to cover a myriad of topics. This article provides two alternative theories as the basis for one line of price discovery research. Empirical models consistent with the two theories are estimated using a common data set. Empirical results differ as expected. This article evidences why the theoretical basis for an empirical model depends on clearly defining the objective(s) of the research.

Tipo: Journal Article

Palavras-chave: Derived demand; Fed cattle; Partial adjustment model; Price discovery; Q13; Q11; Q12; C51; C22.

Ano: 2003

URL: http://purl.umn.edu/43201

Democracy and Economic Growth in China: Evidence from Cointegration and Causality Testing

Narayan, Paresh Kumar; Smyth, Russell.

This article considers the relationship between democracy and economic growth in China using the Error-Correction Mechanism test for cointegration, Autoregressive Distributed Lag modelling, Granger causality and dynamic modelling via variance decomposition and impulse response analysis. Our main findings are that in the long run the lack of democracy in China has had a statistically significant negative effect on real income, while in the short run democracy has had a statistically insignificant effect on economic growth. Our results suggest that in the long run growth in capital, labour and democracy Granger cause economic growth, while in the short run there is bi-directional Granger causality between democracy and economic growth.

Tipo: Journal Article

Palavras-chave: China; Democracy; Economic growth; International Development; C22; E23.

Ano: 2006

URL: http://purl.umn.edu/50282

Modeling Advertising Expenditures and Spillover Effects Applied to the U.S. Non-Alcoholic Beverage Industry: Vector Autoregression (VAR) and Polynomial Distributed Lag (PDL) Approaches

Dharmasena, Senarath; Capps, Oral, Jr.; Bessler, David A..

The non-alcoholic beverage market in the U.S. is a multi-billion dollar industry growing steadily over the past decade. Also, non-alcoholic beverages are among the most heavily advertised food and beverage groups in the United States. Several studies pertaining to non-alcoholic beverages including the incorporation of advertising effects have been conducted, but most of these have centered attention on milk consumption. Some studies have considered demand interrelationships for several beverages including advertising effects in systems-wide analyses. In our analysis, we develop and employ a unique monthly time-series data set derived from Nielsen Homsescan panels for household purchases of non-alcoholic beverages over the period from January 1998 through...

Tipo: Presentation

Palavras-chave: Non-alcoholic beverages; Vector autoregression; Polynomial distributed lags; Beverage advertizing; Directed acyclic graphs; Agricultural and Food Policy; Consumer/Household Economics; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; Marketing; C18; C22; C52; C53; C81; D11; D12.

Ano: 2012

URL: http://purl.umn.edu/124363

INTERREGIONAL INTEGRATION OF WHEAT MARKETS IN KAZAKHSTAN

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...

Dynamic Relationships Among U.S. Wheat-Related Markets: Applying Directed Acyclic Graphs to a Time Series Model

Palavras-chave: Kazakhstan; Price transmission; Market integration; Threshold cointegration; Crop Production/Industries; Marketing; C22; Q13.

Ano: 2005

URL: http://purl.umn.edu/14921

Babula, Ronald A.; Bessler, David A.; Payne, Warren S..

Using advanced methods of directed acyclic graphs with Bernanke structural vector autoregression models, this article extends recent econometric research on quarterly U.S. markets for wheat and wheat-based value-added products downstream. Analyses of impulse response simulations and forecast error variance decompositions provide updated estimates of market elasticity parameters that drive these markets, and updated policy-relevant information on how these quarterly markets run and dynamically interact. Results suggest that movements in wheat and downstream wheat-based markets strongly influence each other, although most of these effects occur at the longer-run horizons beyond a single crop cycle.

Tipo: Journal Article

Palavras-chave: Bernanke structural VARs; Directed acyclic graphs; Quarterly wheat-related markets; C22; Q11.

Ano: 2004

URL: http://purl.umn.edu/42896

Spatial Price Dynamics in U.S. Regional Broiler Markets

Awokuse, Titus O.; Bernard, John C..

The U.S. broiler industry is highly vertically integrated and increasingly concentrated in the number of firms and production areas. These structural elements could have implications for performance and the functioning of the law of one price (LOP) across regions. This article investigates this using data on four regional markets. Cointegration results indicate that regional prices are spatially linked in the long run, but pairwise cointegration was not found, suggesting that the LOP does not hold. Causality tests confirm the relative importance of price shocks from the South. This finding is reflective of price coordination by firms with production in multiple regions.

Tipo: Journal Article

Palavras-chave: Broiler prices; Causality; Cointegration; Market integration; Livestock Production/Industries; Marketing; Q13; D43; C22.

Ano: 2007

URL: http://purl.umn.edu/6324

Export Instability, Investment and Economic Growth in Asian Countries: A Time Series Analysis

Sinha, Dipendra.

In this study, we look at the relationship between export stability, investment and economic growth in nine Asian countries using time series data. The few previous time series studies in this area have not paid any attention to stationarity and cointegration issues. We find that in most cases, the variables are non-stationary in their levels and not cointegrated. These results raise serious doubts about the results of these studies. The results are not uniform across countries casting doubts about the validity of the numerous cross-section studies. For Japan, Malaysia, Philippines and Sri Lanka, we find a negative relationship between export instability and economic growth. For (South) Korea, Myanmar, Pakistan and Thailand, we find a positive relationship...

Optimal Grain Marketing Revisited: A German and Polish Perspective

Palavras-chave: Export instability; Growth; Stationarity; Cointegration; Teaching/Communication/Extension/Profession; C22; F49; O11.

Ano: 1999

URL: http://purl.umn.edu/28466

Loy, Jens-Peter; Pieniadz, Agata.

Increasing grain price volatility over the last year has revived the discussion on optimal marketing strategies. Various models of optimal grain marketing have been proposed and simulated in the literature. In this study an overview on these models is presented and critical aspects are discussed. Optimal strategies are then applied to the wheat market in Germany and Poland. Results indicate that gains from optimal marketing are rather small and uncertain in the real world, indicating that scientific assistance might be of limited importance. However, an understanding of optimization and price generating processes is likely to improve farmers’ decisions, e.g. if farmers have additional (private) information to improve price forecasts.

EU and World Agricultural Markets: Are They more Integrated after the Fischler Reform?

Palavras-chave: Grain Marketing; Storage; Germany; Poland; Agribusiness; Crop Production/Industries; Demand and Price Analysis; Industrial Organization; Marketing; Q13; D81; C15; C22.

Ano: 2009

URL: http://purl.umn.edu/51058

Mela, Giulio; Canali, Gabriele.

This work uses cointegration techniques allowing for structural breaks to assess the extent to which the Fischler reform of the CAP increases price transmission elasticity (PTE) between the world and European corn, wheat, and soybean markets. Results show that the reform increased PTE in the case of corn and wheat, while its impact was negligible for soybeans. However, the long-term relationship (cointegration) between world and European prices can be detected only taking into account – other than the Fischler reform’s structural break – also the fact that world commodity markets were interested, in 2003-04 and 2007-08, by price bubbles. In particular the latter affected the world – European corn price relationship in the ascending phase, while the wheat...

Tipo: Presentation

Palavras-chave: Cointegration; Structural breaks; Agricultural commodity prices; Fischler CAP reform; Risk and Uncertainty; C22; Q02; Q18; O13..

Ano: 2012

URL: http://purl.umn.edu/122480

On the Economic Determinants of Oil Production. Theoretical Analysis and Empirical Evidence for Small Exporting Countries

Cologni, Alessandro; Manera, Matteo.

In this paper, decisions regarding production in oil exporting countries are studied by means of theoretical analysis and empirical investigation. Under the assumptions of exogenous oil prices and world oil demand, we are able to describe the relationship between oil production levels and changes in the conditions in world oil markets. Intertemporal production decisions by a representative oil producer are modelled by means of a partial equilibrium model. In this theoretical model, oil producers are subject to exogenous shocks in world oil demand and prices. Oil companies can change output levels only by incurring a fixed cost. Results from the simulation of this model show a strong relationship between oil production and changes in world oil consumption....

The Agricultural and the External (Net Barter) Terms of Trade in Bangladesh: Trends, Movements and Relationships, 1952-2006

Palavras-chave: Oil Production; Exogenous Shocks; Theoretical Modelling; Time Series Analysis; Resource /Energy Economics and Policy; C22; D21; D22; Q41.

Ano: 2011

URL: http://purl.umn.edu/115725

Recent Trends in Agricultural Land Prices in South Africa: A Preliminary Investigation Using Cointegration Analysis

Hossain, Akhand Akhtar.

This paper analyses the trends and movements of, and the relationship between, the agricultural and the external (net barter) terms of trade in Bangladesh for the period 1952-2006. The Pesaran bounds testing results suggest the presence of a cointegral relationship between the agricultural and the external terms of trade in Bangladesh. The forecasting ability of the error-correction model of the agricultural terms of trade is highly, satisfactory, irrespective of whether the level or the percentage change in the agricultural terms of trade is being forecasted. The overall results suggest that the agricultural terms of trade in Bangladesh is determined endogenously and does not seem to have been deployed by policy makers to ‘squeeze agriculture’ within...

Tipo: Journal Article

Palavras-chave: Agriculture; Terms-of-trade; Cointegration; International Relations/Trade; C22; O24; Q11.

Ano: 2008

URL: http://purl.umn.edu/50011

Obi, Ajuruchukwu; van Schalkwyk, Herman D..

The main objective of this paper is to report preliminary findings on the recent trends in agricultural land prices in South Africa against the backdrop of growing concerns over their rising levels. Given the important role of land prices, the impact such increases would have on significant national development efforts, including the on-going land reform programme and other aspects of agricultural restructuring, provide strong justification for this investigation. The cointegration approach was employed within a framework that allowed for both long-run and short-run dynamics of the relationships to be identified. Building on previous structural modelling of farmland prices in the country, and using much expanded time series spanning forty-nine years, it...

The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine

Palavras-chave: Land Economics/Use; C22; E3; Q15; Q18; Q24.

Ano: 2006

URL: http://purl.umn.edu/25234

Fischer, Christian; Gil-Alana, Luis A..

This paper deals with the relationship between international trade and tourism. We focus on the effect that German tourism to Spain has on German imports of Spanish wine. Due to the different properties of the series under analysis, which display different orders of integration, a long memory regression model is used, where tourism is supposed to be exogenous. The period covered is January 1998 to November 2004. The results show that tourism has an effect on wine imports that lasts between two and nine months, depending on the type of tourism series employed. Disaggregating the imports across the different types of wine it is observed that only for quality red wines from Navarra, Penedús and Valdepeñas, and to a certain extent for sparkling wine, tourism...

The Nature of the Relationship between International Tourism and International Trade: The Case of German Imports of Spanish Wine

Palavras-chave: International trade; Tourism; Long memory; Spanish wine.; International Relations/Trade; F14; C22; Q13; L83.

Ano: 2006

URL: http://purl.umn.edu/10049

Fischer, Christian; Gil-Alana, Luis A..

Forecasting Food Price Inflation, Challenges for Central Banks in Developing Countries using an Inflation Targeting Framework: the Case of Colombia

Palavras-chave: International trade; Tourism; Long memory; Spanish wine; International Relations/Trade; F14; C22; Q13; L83.

Ano: 2006

URL: http://purl.umn.edu/25341

Gomez, Miguel I.; Gonzalez, Eliana; Melo, Luis F.; Torres, Jose L..

Replaced with revised version of paper 11/17/06. Former title: Forecasting Food Price Inflation, Challenges for Central Banks in Developing Countries using an Inflation Targeting Framework: the Case of Colombia

O pass-through das variações da taxa de câmbio para os preços dos principais produtos exportados pelo Brasil

Palavras-chave: Food Inflation; Time Series; Forecast Combination; Inflation Targeting; Financial Economics; C22; E31; Q11.

Ano: 2006

URL: http://purl.umn.edu/21181

Tejada, Cesar Augusto Oviedo; Silva, Agnaldo Gomes da.

The aim of the present paper is to analyze the relationship between exchange rates changes and prices of main Brazilian exports, the exchange rate pass-through. A varying-parameter model was used to estimate the coefficients of pass-through. The results suggest that incomplete pass-through of exchange rate changes is a pervasive phenomenon. These results are in line with other estimates presented in the literature.

Tipo: Journal Article

Palavras-chave: Exchange rate pass-through; Export prices; Brazil; Political Economy; C22; C50; F12.

Ano: 2008

URL: http://purl.umn.edu/61279

Heterogeneous Seasonal Patterns in Agricultural Data and Evolving Splines

Caceres-Hernandez, Jose Juan; Martin-Rodriguez, Gloria.

In this paper an appropriate model of the seasonal pattern in high frequency agricultural data is proposed that takes the specific nature of such a pattern into account. The methodological proposal is based on evolving splines that are shown to be a tool capable of modelling seasonal variations in which either the period or the magnitude of the seasonal fluctuations do not remain the same over time. The seasonal pattern in each year or agricultural campaign is modelled in such a way that the seasonal effect at each season is a function of the seasonal effects corresponding to some fixed seasons that act as reference points. The spline function is enforced to satisfy several conditions that provide some regularity in the adjusted seasonal fluctuation; on...

IMPACT ANALYSIS OF FOOD POLICY RESPONSE ON HOUSEHOLD FOOD SECURITY: THE CASE OF SOUTH AFRICA’S MAIZE SUBSECTOR

Palavras-chave: Farm Management; C22; Q17.

Ano: 2006

URL: http://purl.umn.edu/25261

Vermeulen, Hester; Ndibongo Traub, Lulama; Meyer, Ferdinand H..

This study quantifies the possible income and nutritional impact of the recent commitment by the South African Department of Agriculture to increase budgetary spending on agricultural development. Three levels of models are utilized. The first, a large-scale partial equilibrium model, generated an outlook for maize grain under two possible future scenarios; the first is the baseline scenario under which it is assumed no additional government investment in the agricultural sector takes place, the second allows for the impact of an investment within the maize subsector large enough to increase local maize production by 15% above the baseline. The second model, a rational distributed lag model, links the grain sector to the maize meal down-stream market....

Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation

Palavras-chave: Partial Equilibrium Model; Vertical Price Transmission; Household Food Security.; Agricultural and Food Policy; Consumer/Household Economics; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; Food Security and Poverty; Marketing; C22; C32; C53; D1; Q11; Q18.

Ano: 2009

URL: http://purl.umn.edu/51396

The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine

Morana, Claudio.

What is the role of financial speculation in determining the real oil price? We find that while macroeconomic shocks have been the major upward driver of the real oil price since the mid 1980s, also financial shocks have sizably contributed since the early 2000s, and at a much larger extent since the mid 2000s: over the period 2004:1 through 2010:3, the real oil price increased 65%; of the latter, 33% is related to fundamental financial shocks, 11% to non fundamental financial shocks, with macroeconomic and oil market supply side shocks contributing with a 5% and 3% increase, respectively. Yet, it would be inaccurate describing the third oil price shock as a purely financial episode: macroeconomic shocks largely accounted for the 65% real oil price run up...

Tipo: Working Paper

Palavras-chave: Oil Price; Financial speculation; Macro-finance Interface; International Business Cycle; Factor Vector Autoregressive Models; Resource /Energy Economics and Policy; C22; E32; G12.

Ano: 2012

URL: http://purl.umn.edu/121723

Fischer, Christian; Gil-Alana, Luis A..

This paper deals with the relationship between international trade and tourism. In particular, we focus on the effect that German tourism to Spain has on German imports of Spanish wine. Due to the different stochastic properties of the series under analysis, which display different orders of integration, we use a methodology based on long memory regression models, where tourism is supposed to be exogenous. The results show that at the aggregate level, tourism has an effect on wine imports that lasts between two and nine months. Disaggregating the imports across the different types of wine it is observed that only for red wines from Navarra, Penedús and Valdepeñas, and to a certain extent for sparkling wine, tourism produces an effect on future import...