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Registros recuperados: 127
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A Cointegration Analysis of Wool Prices AgEcon
Chang, Hui-Shung (Christie).
Based on cointegration analysis and monthly data from 1976.8 to 1999.10, a long-run equilibrium relationship was found to exist between prices for wools of 19 to 23 microns, despite the wool Reserve Price Scheme operated until February 1991. Furthermore, the prices for 19, 20 and 21 micron wools were found to be weakly exogenous. The latter result suggested that, although co-integrated, prices for finer wools tended to be less volatile than coarser wools. The implications are that wool producers would enjoy more stable prices by producing finer wools and that cross-hedging is possible given co-movements of prices.
Tipo: Working or Discussion Paper Palavras-chave: Cointegration; Error correction model; Reserve price scheme; Wool marketing.; Demand and Price Analysis; Livestock Production/Industries; Marketing.
Ano: 2000 URL: http://purl.umn.edu/12929
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A FONTOSABB HAZAI TERMÉKPÁLYÁK ÁRALKUINAK JELLEMZŐI AgEcon
Varga, Tibor; Tunyogine Nechay, Veronika; Kemeny, Gabor.
A termékpályák tagoltsága, a termékpálya-fázisok eltérő koncentráltságából fakadó piaci formák a tevékenységi láncban kialakult áralkukat, valamint az elérhet ő árnyereséget, illetve árveszteséget meghatározzák. A számítási eredményeket a piac szereplőinek véleményével ütköztető vizsgálataink megerősítik, hogy a termékek túlnyomó részénél az erőfölény a legkoncentráltabb oldalnál, a kereskedelmi fázisban található. A kiskereskedelmi láncok nem csak egyértelműen árvezetők, de egyben a feldolgozott termékek importárain keresztül az egész vertikum áralakulását meghatározzák. A termelői és feldolgozói fázis között – nagyon kevés kivétellel – az árnyereség a feldolgozóknál figyelhető meg. Az ágazati szintű erőfölény vizsgálataink szerint termékenként erősen...
Tipo: Journal Article Palavras-chave: Árcentrum; Ártranszmisszió; Értékesítési csatorna; Kointegráció; Termékpálya; Piaci erő; Price centre; Price transmission; Merchandising channels; Cointegration; Farm produce; Market force; Agribusiness; Demand and Price Analysis.
Ano: 2007 URL: http://purl.umn.edu/57718
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A Model of Inflation for Sri Lanka AgEcon
Cooray, Arusha.
This paper uses two models: an open economy model and a closed economy model to estimate a price equation for Sri Lanka. The results suggest greater support for the open economy model. Consistent with previous studies for Sri Lanka, supply side factors appear to be important in influencing the general price level in Sri Lanka.
Tipo: Journal Article Palavras-chave: Sri Lanka; Inflation; Price; Nested - non nested models; Cointegration; Error correction; Farm Management; E31; E64; C51; C52.
Ano: 2008 URL: http://purl.umn.edu/50017
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A Robust Multivariate Long Run Analysis of European Electricity Prices AgEcon
Bosco, Bruno; Parisio, Lucia; Pelagatti, Matteo; Baldi, Fabio.
This paper analyses the interdependencies existing in wholesale European electricity prices. The results of a multivariate long run dynamic analysis of weekly median prices reveal the presence of a strong although not perfect integration among some neighboring markets considered in the sample and the existence of common long-term dynamics of electricity prices and gas prices but not oil prices. The existence of long-term dynamics among gas prices and electricity prices may prove to be important for long-term hedging operations to be conducted even in markets where there are no electricity derivatives.
Tipo: Working or Discussion Paper Palavras-chave: European Electricity Prices; Cointegration; Interdependencies; Equilibrium Correction Model; Oil Prices; Resource /Energy Economics and Policy; C15; C32; D44; L94; Q40.
Ano: 2007 URL: http://purl.umn.edu/7438
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Agricultural and non-agricultural outputs and energy consumption in Tunisia: empirical evidences from cointegration and causality AgEcon
Chebbi, Houssem Eddine; Boujelbene, Y..
This short paper investigates the cointegration and causality link between energy consumption and agricultural, non-agricultural outputs (manufacturing sector and services sector) and overall gross domestic product in Tunisia for 1971-2003 period. Empirical results suggest that there is only unidirectional causality running from agricultural and non-agricultural sectors to energy consumption as well as from overall GDP growth to energy consumption. This unidirectional causality signifies a less energy dependent economy and suggests that it is sectoral growth that drives the energy consumption in Tunisia and not vice versa. Empirical results suggest also that Tunisian agricultural sector growth does not depend on energy, and high consumption of energy do...
Tipo: Conference Paper or Presentation Palavras-chave: Energy consumption; Output growth; Causality; Cointegration; Tunisia; Resource /Energy Economics and Policy.
Ano: 2008 URL: http://purl.umn.edu/44055
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Agricultural Price Transmission Across Space and Commodities During Price Bubbles AgEcon
Esposti, Roberto; Listorti, Giulia.
This paper analyses the horizontal transmission of cereal price shocks both across different market places and across different commodities. The analysis is carried out using Italian and international weekly spot (cash) price data and concentrating the attention on years 2006-2010, a period of generalized exceptional exuberance and consequent rapid drop of agricultural prices. The work aims at investigating how price transmission may be affected during price bubbles. The properties of price time series are firstly explored to assess which data generation process may have eventually produced the observed patterns. Secondly, the interdependence across prices is specified and estimated adopting appropriate cointegration techniques.
Tipo: Conference Paper or Presentation Palavras-chave: Price Transmission; Price Bubbles; Time Series Properties; Cointegration; Demand and Price Analysis; Q110; C320.
Ano: 2011 URL: http://purl.umn.edu/114338
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ANÁLISE DO PODER DE COMPRA NO MERCADO DE ARROZ EM SÃO PAULO AgEcon
Margarido, Mario Antonio; Bueno, Carlos Roberto Ferreira.
Esse artigo utilizou testes de exogeneidade e de co-integração para determinar o poder de compra entre os segmentos de produtores agrícolas, atacado e varejo em São Paulo. Foram utilizadas séries de preços de arroz em nível de produtor de arroz no estado de São Paulo, preço de arroz no atacado e varejo, ambos na cidade de São Paulo. O período de análise abrange o período de janeiro de 1995 a dezembro de 2006. Os resultados mostram que, no longo prazo, o atacado deprime o valor recebido pelo produtor de arroz em 15,10% (elasticidade de transmissão de preço maior que a unidade), resultado que demonstra o poder de compra do primeiro sobre o segundo. Os resultados também mostram que o varejo deprime os preços do arroz no atacado no longo prazo, porém, com...
Tipo: Conference Paper or Presentation Palavras-chave: Poder de compra; Teste de exogeneidade; Co-integração; Mercado de arroz; Buyers’ power; Exogeneity test; Cointegration; Rice market; Crop Production/Industries.
Ano: 2008 URL: http://purl.umn.edu/112733
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Analysis of Flue-cured Tobacco Supply Elasticity in Zimbabwe 1980-2010: An Error Correction Model Approach AgEcon
Pfumayaramba, Tichaona.
Flue cured tobacco has been an important crop for the Zimbabwean economy historically in terms of foreign currency earnings and employment creation. Between 1980 and 2000, there is a general increase in tobacco output, followed by a sharp decline from 2001 up to 2008 and then output starts to increase again. Flue cured tobacco output as measured by the quantity that is delivered to the auction floors is used to estimate supply elasticity. The objective is to determine if flue-cured tobacco supply is price elastic and whether price incentives alone will boost supply in the short -run. Time series data on flue cured tobacco output, prices, production costs, prices of major competing crops, the exchange rates and inflation are analysed to model the price...
Tipo: Conference Paper or Presentation Palavras-chave: Supply elasticity; Stationary data; Cointegration; Error correction model.; Research Methods/ Statistical Methods.
Ano: 2011 URL: http://purl.umn.edu/100696
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Analysis of Import Demand for Wooden Beds in the U.S. AgEcon
Wan, Yang; Sun, Changyou; Grebner, Donald L..
The market of wooden beds in the U.S. has been flooded with imports from China and Vietnam in recent years. Static and dynamic Almost Ideal Demand System models are used to assess the import demand for wooden beds from the top seven supplying countries. The analyses reveal that the antidumping investigation on China has some temporary trade depression effect on China, but trade diversion occur to Vietnam, Indonesia, Canada, and Brazil. The formal implementation of antidumping duties since 2005 has not shown any significant effect on the trade pattern. U.S. consumers spend more on beds from newly industrialized countries and there are moderate degrees of substitution among wooden beds from most countries.
Tipo: Journal Article Palavras-chave: Antidumping; Cointegration; Demand elasticity; Furniture; Trade diversion; Agribusiness; Consumer/Household Economics; Demand and Price Analysis; Financial Economics; Marketing; C32; D12; F14; Q23.
Ano: 2010 URL: http://purl.umn.edu/100522
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ANALYSIS OF INTEGRATION BETWEEN QUEENSLAND FEED AND MALTING BARLEY MARKETS AgEcon
Gali, Jyothi; Brown, Colin G..
Barley can be differentiated into feed and malting barley based on its end-use markets. Substitutability both in supply and in demand complicates analysis of price information in the barley market. The paper examines the price linkages between feed and malting barley in the Queensland barley market by using cointegration and error correction models. Malting barley prices respond to restore equilibrium relationships with corresponding feed barley prices in the long run, but not vice versa. Thus there appears to be a price leadership role for feed barley, and one-way substitutability and quality differences in the barley market.
Tipo: Presentation Palavras-chave: Barley; Cointegration; Substitutability; Quality; Demand and Price Analysis; Marketing.
Ano: 2000 URL: http://purl.umn.edu/123649
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Changes in Price Behavior in the U.S. Catfish Industry: Evidence Using Cointegration AgEcon
Hudson, Darren.
The implications of market development in the catfish industry on catfish price behavior are explored using cointegration. It is hypothesized that market development, through increases in competition between processors and shifts in consumer preferences toward fish, has caused changes in price behavior among levels of the catfish market. Using monthly catfish price data, a cointegration analysis of subsets of prices shows that price behavior has changed through time, with catfish prices becoming integrated as the number of processors has increased. These results may have implications for the examination of market price behavior in developing or emerging markets.
Tipo: Journal Article Palavras-chave: Catfish; Cointegration; Price behavior; Vertically related markets; Agribusiness; Demand and Price Analysis; Livestock Production/Industries.
Ano: 1998 URL: http://purl.umn.edu/90441
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Co-integração entre os mercados spot e futuro: evidências dos mercados de boi gordo e soja AgEcon
Abitante, Kleber Giovelli.
One of the measures of future markets’ efficiency is its linkage with the spot market. The objective of this paper is to verify the existence of a statistical linkage between spot market and the Brazilian Mercantile & Future Exchange (BM&F) live cattle future market and between spot market and the BM&F and Chicago Board of Trade (CBOT) soybean future market. In addition, an efficiency indicator for the BM&F live cattle future market was estimated. With regard to live cattle, the daily time series used was price of the future contracts with maturity month between January/05 and November/05 and for soybean, the price of the future contracts used was with maturity between March 2005 until September 2005 and November 2005. Concerning live...
Tipo: Journal Article Palavras-chave: Cointegration; Futures markets; Soybean; Live cattle.; Agribusiness; C32; Q1; Q11.
Ano: 2008 URL: http://purl.umn.edu/61272
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Cointegrated Vector Autoregression Methods: An Application to Non-Normally Behaving Data on Selected U.S. Sugar-Related Markets AgEcon
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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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
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Cointegration and Market Integration: An Application to the Potato Markets in Rural West Bengal, India AgEcon
Basu, Jyotish Prakash.
The paper attempts to examine the market integration with the help of cointegration test on the prices of potato of Hooghly district in West Bengal. The analysis has been made at two levels, namely at the level of wholesale markets and at the retail markets. The cointegration test by Johansen and Jeselius (1990) applied to weekly prices of three important potato markets in Hooghly district suggest that the markets are integrated. Our results revealed that price signals and information are transmitted smoothly across the markets. These results have important policy implications. In a situation when potato markets are spatially integrated the government may think of reducing or even withdrawing its efforts to influence the price in the market. The finding of...
Tipo: Conference Paper or Presentation Palavras-chave: Market integration; Cointegration; Wholesale potato market; Retail potato market; Price signal and information.; Crop Production/Industries; Marketing; Q13.
Ano: 2006 URL: http://purl.umn.edu/25705
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Country and border effects in the transmission of maize prices in Eastern Africa: evidence from a semi-parametric regression model AgEcon
Ihle, Rico; von Cramon-Taubadel, Stephan; Zorya, Sergiy.
This study uses a rich dataset of 85 market pairs between January 2000 and October 2008 for Kenya, Tanzanian and Uganda, the three largest member countries of the East Africa Community, to analyze the factors determining national and cross-national maize price transmission. Although the three countries are members of the community’s customs union and they each claim to pursue maize trade without borders, their agricultural trade policies still differ, thus affecting prices and trade flows to different extents. This analysis extends the existing border effects literature in three ways. First, it assesses the magnitude of price transmission, instead of analyzing trade flows or price variability. Second, distance is shown to have a significant impact on price...
Tipo: Journal Article Palavras-chave: Border effect; Spatial market integration; Cointegration; Semi-parametric regression; Partially linear model; Eastern Africa; Maize; Demand and Price Analysis; C32; Q11; Q13; Q17; Q18.
Ano: 2010 URL: http://purl.umn.edu/96184
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Data Aggregation and Information Loss AgEcon
McKee, Gregory J.; Miljkovic, Dragan.
Analysts often use a single average or otherwise aggregated price series to represent several geographic or product markets even when disaggregate data are available. We hypothesize that such an approach may not be appropriate under some circumstances, such as when only long-term relationships hold among price series or when homogeneous but relatively perishable products are considered. This question is of particular relevance in agriculture because of seasonality in production and harvest across various production regions, and the effect of changes in demand as substitute crops become available. We analyze this question in the context of fresh strawberry production. We find that in the case of the strawberry market, aggregate series are appropriate for...
Tipo: Conference Paper or Presentation Palavras-chave: Strawberry; Price; Cointegration; Granger causality; Average price; Research Methods/ Statistical Methods.
Ano: 2007 URL: http://purl.umn.edu/9843
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Demanda industrial de energia elétrica em Minas Gerais, 1970-2002 AgEcon
Mattos, Leonardo Bornacki de; Reis, Bricio dos Santos; Lima, Joao Eustaquio de; Lirio, Viviani Silva.
The main objective of this paper was to obtain an estimate for the industrial electricity demand in Minas Gerais in the period from 1970 to 2002. After identifying that the series were nonstationary, it was used the Cointegration approach, being estimated a Vector Error Correction Model (VEC Model). The results showed that both price and income elasticities are inferiors to the unit. The projections for period 2004/2008 indicate that the consumption of electricity should present superior taxes of growth to the observed ones in the decade of 90.
Tipo: Journal Article Palavras-chave: Industrial Demand; Electricity; Cointegration; VEC Model; Demand and Price Analysis.
Ano: 2005 URL: http://purl.umn.edu/56746
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Determinants of Public Health expenditures in Pakistan AgEcon
Abbas, Faisal; Hiemenz, Ulrich.
This study describes the macroeconomic determinants of health care spending in a broad context using time series data from Pakistan on economic, demographic, social, and political variables. The data spans a period from 1972- 2006 and was analyzed using cointegration and error correction approaches. All variables were found to be first difference stationary and the results confirm the presence of one cointegrating vector. This proves the existence of a long-run relationship between public health care expenditures and the other variables used in the model. The income elasticity of public health care expenditures is estimated at 0.23. As this value is less than unity it suggests that, contrary to most of the Organization for Economic Co-operation and...
Tipo: Working Paper Palavras-chave: Public Health Expenditures; Unemployment; Urbanization; Cointegration; Time series; Pakistan; Health Economics and Policy.
Ano: 2011 URL: http://purl.umn.edu/118422
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Determinants of Selected Agricultural Export Crops in Nigeria: An Ecm Approach AgEcon
Yusuf, Sina A.; Yusuf, W.A..
This study examines the factors that determine the export performance of three major agricultural exportable commodities of cocoa, rubber and palm-kernel in the context of liberalization. Using time series data covering thirty three years and to avoid spurious result, error correction model was applied in the analysis. The unit root test is in line with the a priori expectation that macroeconomic variables are not stationary at their level. Virtually all the variables tested were differenced once before attaining stationarity. Each of the three equations indicated that the dependent variables cointegrated with their arguments at 1 percent level. There is the existence of short term and long term equilibrium relationships between the dependent variables and...
Tipo: Conference Paper or Presentation Palavras-chave: Agricultural exports; Cointegration; ECM; Nigeria; Agricultural and Food Policy; Community/Rural/Urban Development; Crop Production/Industries; Demand and Price Analysis; Farm Management; Food Consumption/Nutrition/Food Safety; Food Security and Poverty; Industrial Organization; International Relations/Trade; Marketing; Productivity Analysis; Research and Development/Tech Change/Emerging Technologies.
Ano: 2008 URL: http://purl.umn.edu/52181
Registros recuperados: 127
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