Narrow search
Showing 1 - 10 of 6,445
Cover Image
Asymmetric price transmission in Indonesia’s wheat flour market
Varela, Gonzalo; Taniguchi, Kiyoshi - 2014
Data indicate that its domestic price in Indonesia has been increasing regardless of movements in the international price of wheat. A test for asymmetric price transmission from international wheat to domestic wheat flour markets is conducted using an error correction model and find the presence...
Persistent link: https://www.econbiz.de/10010336926
Cover Image
Who is responsible for asymmetric fuel price adjustments? : an application of the threshold cointegrated VAR model
Gosińska, Emilia; Leszkiewicz-Kędzior, Katarzyna; … - In: Baltic journal of economics 20 (2020) 1, pp. 59-73
the CVAR equation as a result of a data generating process distortion is limited by its presence in the cointegration …
Persistent link: https://www.econbiz.de/10012257595
Cover Image
Measuring the Impact of Agricultural Production Shocks on International Trade Flows
Ferguson, Shon M. - 2018
The purpose of this study is to measure the sensitivity of traded quantities and trade unit values to agricultural production shocks. We develop a general equilibrium model of trade in which production shocks in exporting countries affect both traded quantities and trade unit values. The model...
Persistent link: https://www.econbiz.de/10012912059
Cover Image
Price discrimination and pricing-to-market behavior of Black Sea region wheat exporters
Gafarova, Gulmira; Perekhozhuk, Oleksander; Glauben, Thomas - 2015
Substantial changes in the world wheat market have resulted in a shift in the market shares of the main wheat exporting countries. Since 2002, Kazakhstan, Russia, and Ukraine (KRU) have become important wheat exporters on the world market, and their pricing behavior has become a vital issue. By...
Persistent link: https://www.econbiz.de/10012133957
Cover Image
Are Resource-Abundant Economies Disadvantaged?
Anderson, Kym - 2008
standard general equilibrium effects of reduced protectionism at home, via the exporting of economically enhanced risk …
Persistent link: https://www.econbiz.de/10014075918
Cover Image
Forecasting seasonally cointegrated systems : supply response in Austrian agriculture
Jumah, Adusei; Kunst, Robert M. - 1995
eliminated the problem of seasonality by using seasonally adjusted data. Recent developments in cointegration techniques allow … sows are included. A vector autoregression incorporating seasonal cointegration is estimated. A tentative interpretation of … Austria. -- seasonality ; agricultural supply response ; cointegration ; time series …
Persistent link: https://www.econbiz.de/10009693905
Cover Image
Returns in commodities futures markets and financial speculation: a multivariate GARCH approach
Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012
This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...
Persistent link: https://www.econbiz.de/10010343837
Cover Image
Returns in commodities futures markets and financial speculation : a multivariate GARCH approach
Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012
This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...
Persistent link: https://www.econbiz.de/10009535531
Cover Image
Returns in Commodities Futures Markets and Financial Speculation : A Multivariate GARCH Approach
Manera, Matteo - 2013
This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...
Persistent link: https://www.econbiz.de/10013091156
Cover Image
Testing Rockets and Feathers Patterns with a Multivariate Quantile Approach : An Application to the Soybean Complex
Yang, Yao; Karali, Berna - 2023
Output markets usually respond to input price changes asymmetrically, with prices rising faster than they fall, known as the rockets and feathers pattern. We expand the vector autoregressive quantile (VARQ) model by incorporating quantile cointegrating relationships to investigate such...
Persistent link: https://www.econbiz.de/10014259365