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Registros recuperados: 62
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Adjustment is Much Slower than You Think AgEcon
Caballero, Ricardo J.; Engel, Eduardo M.R.A..
In most instances, the dynamic response of monetary and other policies to shocks is infrequent and lumpy. The same holds for the microeconomic response of some of the most important economic variables, such as investment, labor demand, and prices. We show that the standard practice of estimating the speed of adjustment of such variables with partial-adjustment ARMA procedures substantially overestimates this speed. For example, for the target federal funds rate, we find that the actual response to shocks is less than half as fast as the estimated response. For investment, labor demand and prices, the speed of adjustment inferred from aggregates of a small number of agents is likely to be close to instantaneous. While aggregating across microeconomic units...
Tipo: Working or Discussion Paper Palavras-chave: Speed of adjustment; Discrete adjustment; Lumpy adjustment; Aggregation; Calvo model; ARMA process; Partial adjustment; Expected response time; Monetary policy; Investment; Labor demand; Sticky prices; Idiosyncratic shocks; Impulse response function; Wold representation; Time-to-build; Financial Economics; C22; C43; D2; E2; E5.
Ano: 2003 URL: http://purl.umn.edu/28419
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Agricultural Sector and Economic Growth in Tunisia: Evidence from Co-integration and Error Correction Mechanism AgEcon
Chebbi, Houssem Eddine; Lachaal, Lassaad.
For the past two decades, Tunisia has been undertaken important structural reforms, which call in most cases for market and trade liberalization (agricultural structural adjustment program, GATT reforms, free trade area with the European Union). The private-led type of growth strategy with less government intervention has culminated these last years into a more rapid economic growth and openness. Within this context, this paper examines the agricultural sector role into the economic growth and its interactions with the other sectors using time-series co-integration techniques. We use annual data from 1961 to 2005 to estimate a VAR model that includes GDP indices of five sectors in Tunisian economy. Empirical results from this study indicate that in the...
Tipo: Conference Paper or Presentation Palavras-chave: Co-integration; Economic growth; Agricultural sector; Tunisia; International Development; C22; O13; Q18.
Ano: 2007 URL: http://purl.umn.edu/9416
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Alternative Theories and Empirical Approaches to Price Discovery: An Application to Fed Cattle AgEcon
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
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Analysis of Multiple Structural Breaks in Relative Farm Prices in the United States, 1913-2003 AgEcon
Jin, Hyun Joung; Miljkovic, Dragan.
We analyze the movement of farm prices relative to other commodity prices in the period 1913:1-2003:12, investigating the number and time of structural breaks and discussing likely causes of structural breaks in the relative farm prices. Bai and Perron's (1998, 2003) multiple structural change test with a dynamic programming algorithm is used. This test makes it possible to have an efficient computation of the estimates of the break points as global minimizers of the sum of squared residuals. We find 6 structural breaks when we consider only the mean process and 2 breaks when we consider the mean and autoregressive processes. Possible causes for these breaks are discussed.
Tipo: Conference Paper or Presentation Palavras-chave: Farm Prices; Other Commodity Prices; Multiple Structural Breaks; Research Methods/ Statistical Methods; Q11; C22.
Ano: 2005 URL: http://purl.umn.edu/19118
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Breaking Trends and the Prebisch-Singer Hypothesis: A Further Investigation AgEcon
Ghoshray, Atanu; Kejriwal, Mohitosh; Wohar, Mark E..
This paper examines the Prebisch-Singer Hypothesis employing new time se- ries procedures that are robust to the nature of persistence in the commodity price shocks, thereby obviating the need for unit root pretesting. Speci…cally, the proce- dures allow consistent estimation of the number of structural breaks in the trend function as well as facilitate the distinction between trend breaks and pure level shifts. In comparison with past studies, we …nd fewer cases of commodities that display negative trends thereby weakening the case for the Prebisch-Singer Hypoth- esis. Finally, a new set of powerful unit root tests allowing for structural breaks under both the null and alternative hypotheses is applied to determine whether the underlying commodity price...
Tipo: Presentation Palavras-chave: Primary commodity prices; Structural breaks; Trend functions; Prebisch- Singer Hypothesis; Unit roots; Demand and Price Analysis; Marketing; Research Methods/ Statistical Methods; 013; C22.
Ano: 2011 URL: http://purl.umn.edu/120387
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China's Meat Consumption: An Income Elasticity Analysis and Long-Term Projections AgEcon
Masuda, Tadayoshi; Goldsmith, Peter D..
Cover, Poster, and Materials
Tipo: Conference Paper or Presentation Palavras-chave: Bennett's law; China; Meat consumption; Income elasticity; Vector error correction model (VECM); Projection; Agricultural and Food Policy; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; C22; Q11; Q13.
Ano: 2010 URL: http://purl.umn.edu/61601
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Demand Analysis for Fish in Tunisia: An Empirical Approach AgEcon
Dhehibi, Boubaker; Lachaal, Lassaad; Chebil, Ali.
The aim of this paper is to analyze and determine the factors influencing fish demand in Tunisia during the 1975-2000 period. A Box-Cox transformation is used to select the appropriate functional form between linear and double-log models. Results indicate that the double-log form fits better the data and is used for the empirical analysis. Calculated elasticities from static model show that fish demand is price-inelastic and that fish can be considered as a normal good. However, the dynamic analysis using Houthakker-Taylor model suggests that fish consumption in Tunisia depends on consumers psychological-buying habits. Finally, the values of the short and the long-run elasticities indicate that per capita consumption of fish in Tunisia is growing, but at a...
Tipo: Conference Paper or Presentation Palavras-chave: Fish demand; Box-Cox transformation; Double-log model; Tunisia; Demand and Price Analysis; D12; C22.
Ano: 2005 URL: http://purl.umn.edu/24715
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DEMAND INTERACTION BETWEEN FARMED SALMON AND WILD CAUGHT FISH IN THE UNITED KINGDOM AgEcon
Fofana, Abdulai; Clayton, Patty.
Demand relationships between salmon and a number of wild-caught whitefish and shellfish species using both single equation models and linearised AIDS system framework. The system is well represented although autocorrelation were found in both approaches but this is less of a problem in the systems approach. A cautious interpretation of the results indicated that salmon had a long-run market relationship with the whitefish species of cod, monkfish, saithe, whiting and plaice and with the shellfish species of mussels, nephrops, scallops and shrimp. These groups contain the main seafood species consumed within the United Kingdom, and therefore should include most potential substitutes for salmon.
Tipo: Working or Discussion Paper Palavras-chave: Demand; Salmon; Whitefish; Shellfish; AIDS; Elasticities; Demand and Price Analysis; Resource /Energy Economics and Policy; C32; C22; D12.
Ano: 2003 URL: http://purl.umn.edu/11828
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Democracy and Economic Growth in China: Evidence from Cointegration and Causality Testing AgEcon
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
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DER TÜRKISCHE TOMATENSEKTOR – REGIONALE GESICHTSPUNKTE UND RÄUMLICHE MARKTINTEGRATION AgEcon
Weitzel, Enno-Burghard; Keskin, Gulsen; Brosig, Stephan.
Tomatoes have the largest share among fruits and vegetables, which add substantially to the gross agricultural product in Turkey. We describe the structure and development of this sector from the year 1990 onwards, covering farms in primal production, trade facilities, processing firms, and marketing channels. An analysis of retail prices for table tomatoes in 22 provinces and their dynamics follows. Finally we employ a threshold vector error-correction model to analyse integration among the markets for table tomatoes in the presence of transaction costs. The results show a ring of integrated provinces along the coasts of Turkey, while the interior provinces are rather separated. In some cases price transmission only occurs when deviations from an...
Tipo: Working or Discussion Paper Palavras-chave: Gemüse; Tomaten; Türkei; Marktintegration; Fehlerkorrekturmodell; Tomatoes; Turkey; Spatial market integration.; Agribusiness; Community/Rural/Urban Development; Farm Management; Land Economics/Use; Marketing; Production Economics; Productivity Analysis; Q11; Q13; C22; L11.
Ano: 2008 URL: http://purl.umn.edu/91910
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DETERMINANTS OF THE FUNDING VOLATILITY OF INDONESIAN BANKS: A DYNAMIC MODEL AgEcon
Obben, James; Nugroho, Agus Eko.
Illiquidity is at the core of the various currency and banking/financial crises of the 1990s. In the wake of the Asian crisis of 1997/98 the term "systemic liquidity" has been coined to refer to adequate arrangements and practices which permit efficient liquidity management and which provide a buffer during financial distress. A constructed balance-sheet-based variable that captures the essence of the risk from systemic liquidity is funding volatility ratio, FVR. Using data covering January 1990 to July 2003 and employing cointegration techniques, this study attempts to quantify the purported link between FVR and the measurable determinants of a balanced liquidity infrastructure for Indonesia, the country that suffered the most from the Asian crisis. A...
Tipo: Working or Discussion Paper Palavras-chave: Autoregressive distributed lag model; Cointegration; Funding volatility ratio; Systemic liquidity; Financial Economics; C22.
Ano: 2003 URL: http://purl.umn.edu/23700
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Did the Fischler reform increase market integration between the EU and world commodity markets? AgEcon
Mela, Giulio.
This work assesses the extent to which h the Fischler reform of the CAP increased the elasticity of price transmission (EPT) between the world and the European agricultural commodity markets. Commodities considered are soft and durum wheat, corn, feed barley, and butter. Results show that the reform increased ETP for all commodities even though with different magnitude. Before reform implementation (January 2007), the ETP was almost zero (meaning market isolation) for soft wheat, feed barley, and butter, while it was relatively low (0.4) for corn and durum. After January 2007, the EPT increased to almost unity (perfect transmission) for soft wheat and barley, to 0.9 and 0.8 for durum and corn, and to 0.5 for butter, which had historically been amongst the...
Tipo: Presentation Palavras-chave: Price transmission elasticity; Fischler reform; Structural breaks; Agricultural commmodity prices; International Relations/Trade; Q11; Q18; Q13; C22.
Ano: 2012 URL: http://purl.umn.edu/124107
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Does the structure of agricultural science and technology policy system matter in developing country agricultural productivity growth trends? Evidence from Kenya and Uganda AgEcon
Mugunieri, Godiah Lawrence; Obare, Gideon A.; Omamo, Steven Were.
Paper to be presented at the IAAE Conference
Tipo: Conference Paper or Presentation Palavras-chave: Agricultural science and technology; Policy system; Developing countries; Food Security and Poverty; Productivity Analysis; C22; O12; O33.
Ano: 2009 URL: http://purl.umn.edu/50538
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Dynamic Relationships Among U.S. Wheat-Related Markets: Applying Directed Acyclic Graphs to a Time Series Model AgEcon
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
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Economic Evidence of Willingness to Pay for the National Animal Identification System in the US AgEcon
Resende Filho, Moises de Andrade; Buhr, Brian L..
This article investigates the willingness to pay for the National Animal Identification System (NAIS) in the US. It is assumed that with the NAIS in place, consumers' risk perception about zoonosis, BSE or mad cow and residues in meat may be mitigated. Therefore, food safety indices for beef, pork and poultry summing the number of references to meat safety found in the top fifty English language news articles in circulation in the US have been constructed. These indices were incorporated in generalized almost ideal demand systems to estimate the effect of those food safety scares on the demand for meat in the US. It has been found that food safety impacts upon the final demand for meat in the US are small and do not show lagged effects. Using the preferred...
Tipo: Conference Paper or Presentation Palavras-chave: Animal Identification System; Food Safety; System of Demand Equations; Meat Industry; USA; Food Consumption/Nutrition/Food Safety; Livestock Production/Industries; C22; Q11; Q13; Q18.
Ano: 2006 URL: http://purl.umn.edu/25342
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ENSO AND SOYBEAN PRICES: CORRELATION WITHOUT CAUSALITY AgEcon
Letson, David; McCullough, B.D..
In this paper we seek to characterize the robustness of the ENSO/soybean price relationship and to determine whether it has practical economic content. If such a meaningful relationship exists, the implications could be profound for commodity traders and for public sector investments in climate forecasting capabilities. Also, the validity of economic evaluations of climate impacts and climate forecasts based on ENSO-price independence would come into question. Our findings suggest a relationship between interannual climate and soybean prices, although we are not able to attribute the relationship to ENSO or to say the ENSO is economically important.
Tipo: Journal Article Palavras-chave: Climate forecasting; Granger causality; Spectral analysis; SOI; SST; Resource /Energy Economics and Policy; C22; Q11.
Ano: 2001 URL: http://purl.umn.edu/15443
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Estimating the Market Effect of a Food Scare: The Case of Genetically Modified StarLink Corn AgEcon
Carter, Colin A.; Smith, Aaron D..
Genetic modification of crops has revolutionized food production, but it remains controversial due to food safety and environmental concerns. A recent food safety scare provides a natural experiment on the corn market's willingness to accept unapproved genetically modified organisms. In 2000, a genetically modified corn variety called StarLink was discovered in the food-corn supply, even though it was not approved for human consumption. To estimate the price impact of this event, we develop the relative price of a substitute method, which applies not only to the StarLink event but also to rare events in other markets. We apply this method to measure the price impact of the StarLink contamination on the U.S. corn market. We find that the contamination led...
Tipo: Conference Paper or Presentation Palavras-chave: Food Consumption/Nutrition/Food Safety; Research and Development/Tech Change/Emerging Technologies; Q11; Q18; C22.
Ano: 2006 URL: http://purl.umn.edu/25447
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EU and World Agricultural Markets: Are They more Integrated after the Fischler Reform? AgEcon
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
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Evolving Seasonal Pattern of Tenerife Tomato Exports AgEcon
Rodriguez, Gloria Martin; Hernandez, Jose Juan Caceres.
The aim of this paper is to analyse the long term movements and, particularly, the seasonal pattern of Tenerife (Canary Islands) tomato exports throughout the last two decades. In order to observe more clearly the exporter's decisions, weekly data has been used. The instabilities in the long term behaviour of the series and the specific nature of the seasonal pattern should be taken into account in order to capture the performance of exports accurately. Thus, this analysis is carried out inside the frame delimited by the structural approach to time series and the usefulness of evolving splines as a tool capable of modelling seasonal variations in which either the period or the magnitude of the fluctuations do not remain the same over time is shown.
Tipo: Conference Paper or Presentation Palavras-chave: Tenerife tomato exports; Weekly data; Structural models; Evolving splines; International Relations/Trade; C22; Q17.
Ano: 2005 URL: http://purl.umn.edu/24501
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Expansion of Mercosur's Agricultural Exports to the EU: An Empirical Assessment of the Trade Flows AgEcon
Niemi, Jyrki S.; Huan-Niemi, Ellen; Ledebur, Oliver von; Salamon, Petra.
This paper provides new evidence on income and price elasticities of demand for agricultural exports from Mercosur countries to the EU. Econometric models are constructed for eight agricultural commodities - beef, cocoa, coffee, orange juice, poultry, sugar, soya and wheat - exported from Mercosur to the EU. A modelling approach based on the error correction mechanism is used in order to emphasise the importance of the dynamics of trade functions. The results indicate that there is a relatively weak demand response to income and price changes in the EU. However, the results also suggest that relative-price variations affect significantly the demand for Mercosur commodity exports, implying that the exporter's market share is influenced by price...
Tipo: Conference Paper or Presentation Palavras-chave: Agricultural trade; European Union; Mercosur; Econometric models; Cointegration; International Relations/Trade; C22; Q17.
Ano: 2005 URL: http://purl.umn.edu/24606
Registros recuperados: 62
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