Price dynamics for North American oriented strand board markets are examined. The role of transactions costs are explored vis-à-vis the law of one price. Nonlinearities induced by unobservable transactions costs are modeled by estimating time-varying smooth transition autoregressions...

This paper explores the behavior of real commodity prices over a 50--year period. Attention is given to how the shifting means for various commodity prices have changed with a special emphasis on behavior since the mid 2000s. To identify structural changes in commodity prices, we estimate...

This paper examines trends in annual temperature data for the northern and southern hemisphere (1850-2010) by using variants of the shifting-mean autoregressive (SM-AR) model of González and Teräsvirta (2008). Univariate models are first fitted to each series by using the so called QuickShift...

We assess exchange rate pass–through (ERPT) for U.S. and Canadian prices for oriented strand board (OSB), a wood panel product used extensively in U.S. residential construction. Because of its prominence in construction and international trade, OSB markets are likely sensitive to general...

The linearity of the U.S. hog-corn cycle has been questioned by <link rid="b4">Chavas and Holt (1991)</link>. Even so, attempts have not been made to model the potential nonlinear dynamics in the hog-corn cycle by using regime-switching models. One popular alternative is <link rid="b43">Teräsvirta's</link> smooth transition autoregressive...

This article extends the recent literature on the Prebisch-Singer hypothesis of a long-run decline in the relative prices of primary commodities. Our main innovation is testing for and estimating nonlinear alternatives to a secular deterioration. Specifically, we use bootstrap procedures to test...

This paper examines the effects of price uncertainty on agricultural productivity. Appelbaum(1991) provided an empirical framework to analyze the effects of uncertainty on firm behavior. We apply the model to the U.S. agricultural sector, using a parametric rather than a nonparametric approach...