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State-space cointegration modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade

Ihle, Rico; Götz, Linde Johanna; Rubin, Ofir D. - 2011

The Israeli-Palestinian conflict constitutes a prominent example of a long-lasting political conflict which has major consequences for the livelihoods of the people on both sides. The agricultural sectors of the Palestinian and Israeli economies are tightly connected. However, various security...

Persistent link: https://www.econbiz.de/10010356541

The rapid rise of Russia's wheat exports : price formation, spot-futures relations and volatility effects

Heigermoser, Maximilian - Leibniz-Institut für Agrarentwicklung in … - 2023

2017/18, Russia ultimately became the world’s largest wheat exporter, a position that was held by the USA for decades … approach. Analyzing the Egyptian wheat tender market as a proxy for the world wheat market, results suggest that European … Efficient Market Hypothesis (EMH) in the studied market. The restructuring of the world wheat market resulting from the rise of …

Persistent link: https://www.econbiz.de/10013534341

Nonlinear pass-through of exchange rate shocks on inflation : a Bayesian smooth transition VAR approach

Rincón Castro, Hernán; Rodríguez-Niño, Norberto - 2016

short and long-term impact of an exchange rate shock on inflation along the distribution chain in the presence of … shock to a maximum of around 66% in the first year. The equivalent figures on the inflation of producer goods go from 13% to …

Persistent link: https://www.econbiz.de/10011554700

From a rise in B to a fall in C? : SVAR analysis of environmental impact of biofuels

Ciaian, Pavel; Kancs, D'Artis; Pirolix, Giuseppe; … - 2015

for the world biofuel production and global CO2 emissions. We find that in the medium- to long-run biofuels significantly …

Persistent link: https://www.econbiz.de/10011285425

Assessing seasonal asymmetric price transmission in Ghanaian tomato markets with the Johansen estimation method

Ihle, Rico; Amikuzuno, Joseph - 2010

, Tamale and Accra, in a multivariate asymmetric price transmission framework. The estimation of the model is based on a unique … dataset and on a modified version of the Johansen estimation procedure which is suitable for estimating such multivariate …

Persistent link: https://www.econbiz.de/10010342911

Investigating the international prices of wheat and rice

Rezitis, Anthony N.; Ntinou, Anastasia G.; Pachis, … - In: Agricultural and Food Economics : AFE 3 (2015), pp. 1-17

This paper investigates the international quarterly prices of wheat and rice from 1983(1) to 2012(4). The empirical analysis takes place with the structural time series methodology which decomposes the price series into their trend, cycle, seasonal and irregular components. The empirical results...

Persistent link: https://www.econbiz.de/10011288569

Financial markets as a complex system : a short time scale perspective

Marschinski, Robert; Matassini, Lorenzo - 2001

Persistent link: https://www.econbiz.de/10001629899

The application of multivariate GARCH models to turbulent financial markets

Zahnd, Edy - 2002 - Als Ms. gedr.

Persistent link: https://www.econbiz.de/10001659873

Cointegration of International Stock Market Indices

Chou, Ray Yeutien - 1994

In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United...

Persistent link: https://www.econbiz.de/10014395829

Financial markets as a complex system : a short time scale perspective

Marschinski, Robert; Matassini, Lorenzo - 2001

In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...

Persistent link: https://www.econbiz.de/10010504303