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	Provedor de dados AgEcon (5) Autor Mallory, Mindy L. (5) Baylis, Katherine R. (1) Hart, Chad E. (1) Hayes, Dermot J. (1) Irwin, Scott H. (1) Jolejole-Foreman, Maria Christina (1) Lence, Sergio H. (1) Miller, Elizabeth (1) Zhang, Tianwei (1) Mais... Palavra-chave Cointegration (2) Demand and Price Analysis (2) Financial Economics (2) Agricultural Finance (1) Agricultural and Food Policy (1) Arbitrage (1) C15 (1) C32 (1) Corn (1) Crop Production/Industries (1) Energy (1) Ethanol (1) Futures (1) Johansen cointegration test (1) Marketing (1) Moving average (1) Philippines (1) Policy (1) Price-Margin (1) Price-analysis (1) Mais... Tipo do documento Conference Paper or Presentation (4) Working or Discussion Paper (1) Ano 2011 (2) 2010 (3) País United States (5) Idioma Inglês (5)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 5 Primeira ... 1 ... Última Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing? AgEcon 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 Analyzing Market Price Transmission, Government Intervention and Weather Shocks for Rice Market in the Philippines AgEcon Jolejole-Foreman, Maria Christina; Mallory, Mindy L.. In the Philippines, where rice is considered the most important food crop, attempts to influence rice prices have been prevalent. The government, through National Food Authority (NFA) has sought to establish stocks and control imports to stabilize prices since its establishment in 1972 to support farm gate prices and reduce retail price of rice. But data shows divergence in retail prices and farm prices since mid 1960s. In this paper, we use vector autoregression (VAR) to analyze the movement of Philippine rice margins with government stocks and weather supply shocks to able to determine government effectiveness in actual times of market stress. Comparing VARs across regions, we are able to identify the regions in which price margins are significantly... Tipo: Conference Paper or Presentation Palavras-chave: Vector-auto-regression; Price-Margin; Rice; Philippines; Policy; Agricultural and Food Policy; Demand and Price Analysis; Q11; Q13; Q18. Ano: 2011 URL: http://purl.umn.edu/103163 How Market Efficiency and the Theory of Storage Link Corn and Ethanol Markets AgEcon Mallory, Mindy L.; Hayes, Dermot J.; Irwin, Scott H.. In this article we use the theories of market efficiency and supply of storage to develop a conceptual link between the corn and ethanol markets and explore statistical evidence for the link. We propose that a long-run no-profit condition is established in distant futures markets for ethanol, corn, and natural gas and then use the theory of storage to define an inter-temporal equilibrium among these prices. The relationship shows that under certain conditions, future price expectations will influence current spot prices and that a short-term relationship between input and output prices will exist. This short-term relationship will contain fixed costs. We demonstrate validity of the theory using a structural price model and then by means of time-series... Tipo: Working or Discussion Paper Palavras-chave: Arbitrage; Cointegration; Corn; Energy; Ethanol; Futures; Price-analysis; Storage.; Crop Production/Industries; Demand and Price Analysis; Marketing; Risk and Uncertainty. Ano: 2010 URL: http://purl.umn.edu/97611 Ethanol’s Affect on Basis in the Corn Belt AgEcon Miller, Elizabeth; Mallory, Mindy L.; Baylis, Katherine R.; Hart, Chad E.. Tipo: Conference Paper or Presentation Palavras-chave: Resource /Energy Economics and Policy. Ano: 2011 URL: http://purl.umn.edu/104004 Patronage Refunds Paying Decision of Farm Credit System Associations: A Logit Model AgEcon Zhang, Tianwei; Mallory, Mindy L.. Tipo: Conference Paper or Presentation Palavras-chave: Financial Economics. Ano: 2010 URL: http://purl.umn.edu/61756 Registros recuperados: 5 Primeira ... 1 ... Última

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