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| 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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| Yildirim, Julide. |
| The high degree of economic integration has led to an increased degree of currency substitution in the EU countries, which could bring instability in national money demand functions while an EU-wide money demand function could be more stable. Currency substitution usually takes the form of cross border deposits (CBD), which are not included in the traditional monetary aggregates. Thus, extended monetary aggregates that include the relevant CBDs are defined in this study. In order to investigate the implications of currency substitution for the stability of the demand functions, the traditional and extended monetary aggregates for five EU countries are defined in addition to EU-wide monetary aggregates. The estimated EU-wide demand for extended money... |
| Tipo: Journal Article |
Palavras-chave: Currency substitution; Cross border deposits; Extended monetary aggregates; Demand for money; Vector autoregression; Financial Economics; E41; F33; E52; E47. |
| Ano: 2003 |
URL: http://purl.umn.edu/43999 |
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| Colino, Evelyn V.; Irwin, Scott H.; Garcia, Philip. |
| This study investigates the predictability of outlook hog price forecasts released by Iowa State University relative to alternative market and time-series forecasts. The findings suggest that predictive performance of the outlook hog price forecasts can be improved substantially. Under RMSE, VARs estimated with Bayesian procedures that allow for some degree of flexibility and model averaging consistently outperform Iowa outlook estimates at all forecast horizons. Evidence from the encompassing tests, which are highly stringent tests of forecast performance, indicates that many price forecasts do provide incremental information relative to Iowa. Simple combinations of these models and outlook forecasts are able to reduce forecast errors by economically... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Forecast; Futures; Models; Prices; Time-series; Vector autoregression; Agricultural Finance. |
| Ano: 2008 |
URL: http://purl.umn.edu/37620 |
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| Fabiosa, Jacinto F.. |
| Studies on the General Agreement on Tariffs and Trade (GATT) are abundant in the literature. But most researchers have examined GATT's impact on economic activities with scant or no attention given to its impact on institutions such as market integration and efficiency. To the latter issues, this paper is addressed. Even prior to the signing of the final act, questions were raised on possible maneuvers that might frustrate its intent, that of ushering in an era of true liberalization in agricultural trade. This study finds consistent evidence that GATT reforms promoted market integration and improved market efficiency. Decomposition of price variability into its various sources shows that the transmission of shocks becomes more widespread across markets... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Market integration; Market efficiency; Cointegration; Vector autoregression; GATT; Beef and wheat markets; International Relations/Trade. |
| Ano: 1999 |
URL: http://purl.umn.edu/18508 |
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| Awokuse, Titus O.; Bessler, David A.. |
| The paper considers the use of directed acyclic graphs (DAGs), and their construction from observational data with PC-algorithm TETRAD II, in providing over-identifying restrictions on the innovations from a vector autoregression. Results from Sims’ 1986 model of the US economy are replicated and compared using these data-driven techniques. The directed graph results show Sims’ six-variable VAR is not rich enough to provide an unambiguous ordering at usual levels of statistical significance. A significance level in the neighborhood of 30 % is required to find a clear structural ordering. Although the DAG results are in agreement with Sims’ theory-based model for unemployment, differences are noted for the other five variables: income, money supply, price... |
| Tipo: Journal Article |
Palavras-chave: Vector autoregression; Directed graphs; Policy analysis; Research Methods/ Statistical Methods; C1; E1. |
| Ano: 2003 |
URL: http://purl.umn.edu/44001 |
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