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| Falsafian, Azadeh; Yazdani, Saeed; Moghaddasi, Reza. |
| This paper analyses the asymmetric price transmission and non-linear adjustment at the farm and retail levels in the Iran’s mutton market. We applied a multivariate threshold error correction mechanism for monthly price data. We tested the non-linear adjustment using sup-LR, sup-LM and sup-Wald tests. The results confirm the presence of non-linear cointegration relationship between the retail and farm prices. In short-run, the price transmission behavior reveals that reactions of both the retail and farm prices to positive and negative deviations from the long-run price spread are asymmetric. More specially, the retailers show more strong responses to the both positive and negative shocks imposed to the farmers. |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Threshold Cointegration; Non-linearity; Mutton; Price; Iran; Livestock Production/Industries. |
| Ano: 2011 |
URL: http://purl.umn.edu/114363 |
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| Baldi, Lucia; Vandone, Daniela; Peri, Massimo. |
| This paper analyzes the relationship between Global Wine Industry Share Price Indexes and composite stock market indexes using a Threshold Vector Error Correction Model (TVECM), aiming to investigate if investments in the wine sector play a role in determining financial risk and return to investors who include it in their portfolio. Whilst in most of the literature analyses the return of investments of fine wine, this paper places the focus to “normal” (i.e. non‐fine) wine, using data from the Mediobanca database covering companies in the wine industry listed on regulated stock market in France, US, Australia, Chile and China . The dataset cover the time period going from January 1, 2001, to the end of February 2009. The estimates of the TVECM lead to the... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Wine sector; Stock Market; Threshold Cointegration; Agribusiness; Farm Management; Food Consumption/Nutrition/Food Safety; Production Economics; Research Methods/ Statistical Methods; Q11; G14; C32. |
| Ano: 2010 |
URL: http://purl.umn.edu/100506 |
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