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Registros recuperados: 14
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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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Deregulation of the Australian Wheat Export Market: What Happened to Wheat Prices? AgEcon
Curwen, Reece; Mugera, Amin W.; White, Benedict.
This paper investigates whether deregulation of the Australian wheat export market induced a structural change in the price data generation process. We examine the unit root properties of Western Australian wheat prices by testing for the possibility of single and double structural breaks in the price series. Daily prices for the period 20th of May 2003 to 14th of September 2010 are used. We find that the wheat price series has a unit root with two structural breaks but neither break coincided with the time when the Wheat Export Marketing Act 2008 came into effect on 1 July 2008. We conclude that change in local market behaviour would have started prior to actual deregulation with subsequent effect on local price.
Tipo: Working or Discussion Paper Palavras-chave: Deregulation; Unit root; Structural breaks; Wheat price; Agribusiness; Demand and Price Analysis; Marketing; Q13; Q18.
Ano: 2011 URL: http://purl.umn.edu/102023
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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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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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Histerese no comércio internacional brasileiro: uma análise por modelos ARFIMA AgEcon
Maia, Sinezio Fernandes; Jubert, Roberto Wagner; Paixao, Marcia Cristina.
Após a abertura comercial em 1998, grandes mudanças ocorreram no comércio exterior nacional devido sucessivos choques cambiais aos quais a economia foi exposta. A literatura de referência sugere que grandes choques na taxa de câmbio induzem mudanças persistentes na relação entre a taxa de câmbio e o comércio. Este fenômeno é conhecido por histerese. Desta forma, o objetivo deste trabalho é evidenciar a existência de histerese no comércio internacional brasileiro, com interesse particular no setor agrícola. Os resultados indicaram evidências de histerese simples na taxa de câmbio e nas importações brasileiras, e de histerese fraca no setor agrícola e nas exportações. Conclui-se que a mudança de regime cambial em 1999 e a unificação cambial em 2005...
Tipo: Conference Paper or Presentation Palavras-chave: Agrícola; ARFIMA; Histerese; Quebra estrutural; Taxa de Câmbio; Agricultural. ARFIMA; Exchange rate; Hysteresis; Structural breaks; International Relations/Trade.
Ano: 2008 URL: http://purl.umn.edu/102896
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Livestock Market Integration and Price Discovery: Case of Mali AgEcon
Bizimana, Jean-Claude; Bessler, David A.; Angerer, Jay P..
Replaced with revised version of paper 02/22/11.
Tipo: Conference Paper or Presentation Palavras-chave: Cointegration; Structural breaks; Market integration; Agricultural and Food Policy; Demand and Price Analysis; International Development; Livestock Production/Industries.
Ano: 2011 URL: http://purl.umn.edu/98856
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Marketing and pricing dynamics in the presence of structural breaks - the Hungarian pork market AgEcon
Bakucs, Lajos Zoltan; Ferto, Imre.
The study of marketing margins and price transmission on various commodity markets has been a popular research topic of the past decades (see MEYER, VON CRAMONTAUBADEL, 2004, for a recent survey), however with a few exceptions these studies focused on developed economies. In this paper we examine the above phenomena on the: Hungarian pork market. The Johansen (maximum likelihood) or Engle and Granger (two step) cointegration tests do not reject the no-cointegration null hypothesis between the Hungarian pork producer and retail price series. Therefore we apply the Gregory and Hansen procedure with recursively estimated breakpoints and ADF statistics, and found that the prices are cointegrated with a structural break occurring in April 1996. Exogeneity tests...
Tipo: Conference Paper or Presentation Palavras-chave: Price transmission; Marketing margin; Pricing; Structural breaks; Hungarian pork market; Demand and Price Analysis; Marketing.
Ano: 2006 URL: http://purl.umn.edu/10031
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Price Transmission in Three Italian Food Chains: A Structural Break Approach AgEcon
Carraro, Alessandro; Stefani, Gianluca.
Recently a wide instability of food prices has been observed in world and European agricultural and food markets. Both media and policy makers have dealt with the unsatisfactory patterns of marketing margins and price transmission along the food chain which may bring about distributive issues and affect inflationary trends. Although price transmission and margins dynamics have attracted so much interest at the policy level, few Italian studies deal with this topic. Our aim is to provide a first analysis of the price transmission mechanism in three Italian agri-food chains (lamb, pork and pasta), within a structural change framework. Results show that structural breaks in the price transmission mechanism are an issue in the food chain of pasta and pork with...
Tipo: Conference Paper or Presentation Palavras-chave: Price transmission; Cointegration; Structural breaks; Agribusiness; Q13; L11.
Ano: 2011 URL: http://purl.umn.edu/114317
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Relationship between Spatial Price Transmission and Geographical Distance in Brazil AgEcon
Hernandez-Villafuerte, Karla Vanessa.
Selected Paper prepared for presentation at the Agricultural & Applied Economics Association’s 2011 AAEA & NAREA Joint Annual Meeting, Pittsburgh, Pennsylvania, July 24-26, 2011. (Poster Presentation)
Tipo: Conference Paper or Presentation Palavras-chave: Cointegration; Price transmission; Geographical distance; Structural breaks; Principal component regression; Rice; Brazil.; Agricultural and Food Policy; Demand and Price Analysis; C32; Q11; Q13.
Ano: 2011 URL: http://purl.umn.edu/103677
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RELATIONSHIP BETWEEN SPATIAL PRICE TRANSMISSION AND GEOGRAPHICAL DISTANCE IN BRAZIL AgEcon
Hernandez-Villafuerte, Karla Vanessa.
The price transmission between markets is often interpreted as providing insights into the market’s infrastructure efficiency and transaction costs. Thus, finding a possible explanation for the degree of integration has become an issue of special interest. Recent researchers have pointed out the distance between markets as one of the possible factors. However, the distance is closely related with other elements, such as road quality and the proximity to an export point, which affect transport costs, opportunity costs and thus the integration. Therefore, what the most important factor is when determining the relationship among markets remains unclear. The cointegration framework, OLS and principal component regressions are applied in order to investigate...
Tipo: Conference Paper or Presentation Palavras-chave: Cointegration; Price transmission; Geographical distance; Structural breaks; Principal component regression; Rice; Brazil; Demand and Price Analysis.
Ano: 2011 URL: http://purl.umn.edu/114545
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Spot and Futures Prices of Agricultural Commodities: Fundamentals and Speculation AgEcon
Baldi, Lucia; Peri, Massimo; Vandone, Daniela.
This paper investigates the long-run relationship between spot and futures prices for corn and soybeans, for the period January 2004 -September 2010. We apply cointegration methodology in the presence of potentially unknown structural breaks in the commodities prices and we then study the causality relationships between spot and futures prices within each specific sub-period identified, with the aim to analyze where changes in spot and futures price originate and how they spread. Empirical estimates highlight the following evidence: i) breaks relate to events that have significantly affected the supply and demand of corn and soybeans for food and energy purposes; ii) subperiods consequently identified express different dynamics in the causal relationship...
Tipo: Presentation Palavras-chave: Commodity; Futures markets; Price discovery; Cointegration; Structural breaks; Agribusiness; Agricultural and Food Policy; Productivity Analysis; C32; G13; G14; Q11.
Ano: 2011 URL: http://purl.umn.edu/122002
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Testing the Order of Integration with Low Power Tests. An Application to Argentine Macro-variables AgEcon
Carrera, Jorge Eduardo; Feliz, Mariano; Panigo, Demian.
The low power of available econometric tests is an important problem in applied research on unit roots and related issues. Based on the principle of methodological triangulation, the problem should be analyzed from different points of view in order to increase the validity of the results. Following this approach a strategy to test the order of integration in time series is presented using a sequence of eleven consolidated tests. In this way it is possible to determine the persistence of shocks, to specify the best strategy for trend-cycle decomposition and to obtain additional information useful for public policies. As an application of the methodology, the integration properties in the main 14 Argentine macroeconomic variables are studied. A...
Tipo: Journal Article Palavras-chave: Unit root; Persistence; Cycles; Structural breaks; Argentine macroeconomic variables; Research Methods/ Statistical Methods; C3; C5; E3.
Ano: 2003 URL: http://purl.umn.edu/43989
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The relationship between spatial price transmission and geographical distance: the case of Brazil AgEcon
Hernandez-Villafuerte, Karla Vanessa.
The objectives of this research are to investigate the influence of geographical distance on the cointegration relationship in order to increase knowledge on the issue, and to indentify its role in Brazilian agricultural markets. With this intention, the cointegration framework is applied allowing for the presence of multiple structural breaks in the long run equation. The inclusion of breaks is in response to the multiple changes of the agricultural system during the period of investigation. The spatial integration is calculated between each market pair. The cointegration coefficient and geographical distance relationship is calculated by means of an OLS regression, taking into account the quality of roads and the proximity to a border or port. The effect...
Tipo: Conference Paper or Presentation Palavras-chave: Cointegration; Price transmission; Geographical distance; Structural breaks; Rice; Soybeans; Brazil.; Agribusiness; Agricultural and Food Policy; Community/Rural/Urban Development; Food Consumption/Nutrition/Food Safety; Labor and Human Capital.
Ano: 2010 URL: http://purl.umn.edu/95030
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THE ROLE OF ASYMMETRIC PRICE TRANSMISSION AND STRUCTURAL BREAKS IN THE RELATIONSHIP BETWEEN COSTA RICAN MARKETS OF LIVESTOCK CATTLE, BEEF AND MILK AgEcon
Hernandez-Villafuerte, Karla Vanessa.
The research analyzes the price transmission among the Costa Rican markets of cattle, beef and milk, accounting for asymmetric behavior and structural breaks. Monthly price data covering the first month of 1998 to the fourth month of 2008 were used. Price transmission between each market pair was found. The Price adjustment is consistent at 1% of significant with the behaviour expected. Cattle prices adjust in the milk - cattle relationship, beef meat prices adjust in the cattle - beef meat relation and in the milk - beef meat relation. This finding supports the statement regarding the leading position of “Dos Pinos” as the main player in the market. The results of the asymmetric analysis are not as expected. The coefficients of both adjustments (positive...
Tipo: Conference Paper or Presentation Palavras-chave: Asymmetric prices transmission; Structural breaks; Livestock; Beef; Milk; Costa Rica.; Demand and Price Analysis; Food Consumption/Nutrition/Food Safety; Livestock Production/Industries; C32; Q11; Q13.
Ano: 2008 URL: http://purl.umn.edu/51697
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