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Horizontal Price Transmission of the Finnish Meat Sector with Major EU Players
Liu, Xing - 2011
. Our analysis uses symmetric and asymmetric thresholderror correction models. Both pork and beef prices in Finland are … found to have slowly cointegratedwith German prices, but the cointegration relationship of the two counties is only found to … besymmetric for pork prices, while it is asymmetric for beef prices. The producer price for pork inFinland is symmetrically …
Persistent link: https://www.econbiz.de/10009442626
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Structure of interdependencies among international stock markets and contagion patterns of 2008 global financial crisis
Ahmedov, Zafarbek; Bessler, David A. - 2011
In this study, we apply directed acyclic graphs and search algorithm designed for timeseries with non-Gaussian distribution to obtain causal structure of innovations from an errorcorrection model. The structure of interdependencies among six international stock markets isinvestigated. The...
Persistent link: https://www.econbiz.de/10009445191
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Money-Income Relationships between Three ERM Countries
Choudhry, Taufiq - 2002
tests are conducted by means of the Johansen multivariate cointegration method and the error correction model. Among the ERM …
Persistent link: https://www.econbiz.de/10009445749
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Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico
Zhong, Maosen; Darrat, Ali F.; Otero, Rafael - 2004
that also incorporates possible cointegration between the futures and spot markets. The evidence supports both hypotheses …
Persistent link: https://www.econbiz.de/10009448857
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German Rapeseed Oil and Biodiesel Pricing under Changing Market Conditions: A Markov-switching Vector Error Correction Model Approach
Busse, Stefan; Ihle, Rico - 2009
We analyze vertical price transmission in the German biodiesel market studying therelationship between rapeseed oil, soya oil and biodiesel prices. We focus on the period fromsummer 2002 to late 2007 during which the German biodiesel market developed into thelargest market worldwide, mainly...
Persistent link: https://www.econbiz.de/10009444803
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Monetary Impacts and Overshooting of Agricultural Prices in a Transition Economy: The Case of Hungary
Bakucs, Lajos Zoltan; Ferto, Imre - 2009
This article examines the impacts of monetary policy on agricultural prices in the Hungarian economy using time series analysis. The empirical results indicate that agricultural prices adjust faster to monetary shocks than industrial prices do, affecting relative agricultural prices in the short...
Persistent link: https://www.econbiz.de/10009444863
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Impact of Macroeconomic Policies on Agricultural Prices
Awokuse, Titus O. - 2005
Existing empirical evidence on the impact of macroeconomic variables on agriculture remains mixed and inconclusive. This paper re-examines the dynamic relationship between monetary policy variables and agricultural prices using alternative vector autoregression (VAR) type model specifications....
Persistent link: https://www.econbiz.de/10009445541
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International price transmission on soft wheat markets: which role for policy variables in cointegration relationships?
Listorti, Giulia - 2008
This paper aims at considering policyregimes while studying international price transmissionmechanisms. The focus is on the soft wheat marketbetween the United States and the European Union inthe years 1978-2003. EU domestic and border policiesare expected to play a strong role; a...
Persistent link: https://www.econbiz.de/10009445676
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Testing market efficiency of crude palm oil futures to European participants
Liu, Xing - 2009
European participants whose delivery location in EU. Both Johanson cointegration test andVector Error Cointegration Mechnism …
Persistent link: https://www.econbiz.de/10009445965
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The Pattern of Integration between Fossil Fuel and Vegetable Oil Markets: The Case of Biodiesel in Germany
Busse, Stefan; Brummer, Bernhard; Ihle, Rico - 2010
With this paper, we provide the first quantitative investigation of vertical price transmission in the biodiesel supply chain in Germany with the focus on the developments during the food crisis and the impact of subsidized US biodiesel exports. With the strong promotion of the production and...
Persistent link: https://www.econbiz.de/10009446075