scholarly journals Price Dynamics in the North American Wheat Market

2006 ◽  
Vol 35 (2) ◽  
pp. 265-275
Author(s):  
Jungho Baek ◽  
Won W. Koo
Keyword(s):  
North American ◽  
Structural Changes ◽  
Cointegration Analysis ◽  
Price Dynamics ◽  
Vector Error Correction ◽  
The North ◽  
Vector Error ◽  
Vec Model ◽  
Wheat Market ◽  
Price Instability

Perron's test, Johansen cointegration analysis, and a vector error-correction (VEC) model are used to identify structural change, as well as to examine price dynamics in the U. S. and Canadian hard red spring (HRS) and durum wheat markets. It is found that, due to the U. S. Export Enhancement Program (EEP), price instability experienced in June 1986 has resulted in structural changes for Canadian HRS and durum prices. We also find that Canadian prices have significant effects on the determination of the U. S. prices in the North American wheat market.

scholarly journals Agricultural Mechanization as an Expansion Factor of Cropland in Benin: The Case of Tractors

2018 ◽  
Vol 7 (4) ◽  
pp. 1 ◽  
Author(s):  
Ichaou Mounirou
Keyword(s):  
Agricultural Sector ◽  
Cotton Production ◽  
Vector Error Correction ◽  
The North ◽  
Vector Error ◽  
Agricultural Mechanization ◽  
Vec Model ◽  
The One ◽  
Agricultural Investments ◽  
The Impact

We propose in this paper a methodology based on the vector error correction (VCE) model. This modeling approach makes it possible to use a large database to model the impact of agricultural mechanization on cropland in Benin. The results of the VEC model estimates confirm a positive relationship between agricultural mechanization and the areas planted of paddy rice, millet and yams. Moreover, the findings suggest that agricultural mechanization is still far to boost the land uses of cotton, maize and cassava, despite the importance of cotton in the Beninese economy on the one hand, and the key roles of maize and cassava in diet in Benin, on the other hand. Agricultural mechanization is far from being a reality in Benin's agricultural sector to the extent that public agricultural investments are below the Maputo agreements (Note 1). An effective agricultural mechanization must opt for cereals whose investments in agricultural machinery are less expensive compared to cotton. This strategy of agricultural mechanization makes it possible to better ensure food security, unlike the intensive cotton production, whose terms of trade are always unfavorable and dependent on subsidies from the North.

scholarly journals Can Family Farms Depend on Price Information? Testing Butter and Curd Price Integration in Poland

Agriculture ◽  
2021 ◽  
Vol 11 (5) ◽  
pp. 434
Author(s):  
Anna M. Klepacka ◽  
Wojciech J. Florkowski ◽  
Cesar Revoredo-Giha
Keyword(s):  
World Market ◽  
Response Analysis ◽  
The European Union ◽  
Family Farms ◽  
Quota System ◽  
Dairy Farmers ◽  
Vector Error Correction ◽  
Vector Error ◽  
Vec Model ◽  
Dairy Markets

This study examines the integration of regional dairy markets in Poland, which is a major European dairy producing country. The analysis of prices is important, as many dairy farmers are members of dairy processing cooperatives, and their incomes are affected by the prices of two popular products: butter and curd. Moreover, the period of study included significant fluctuations in the world market and the termination of the milk quota system in the European Union (EU). The price records used in this study are from the two main milk-producing regions in the country: Northern and Central. The data were tested for stationarity and Granger causality before estimating a Vector Error Correction (VEC) model. Estimation results show that the removal of the milk quota lowered prices of butter and curd in the two regions. The relationships of the prices in both regions for butter markets were nearly perfect during the period January 2010–November 2017, but curd prices were found unintegrated. Impulse response analysis showed that the effect of shocks was mostly absorbed in a two-week period and prices returned to full equilibrium in about four to five weeks. This fast price adjustment indicates that both markets operate properly and no market participant can obtain gains above those offered at equilibrium.

Afghanistan’s Food Security: Evidence from Pakistan and Afghanistan Wheat Price Transmission using Threshold Vector Error Correction Model (TVECM))

2021 ◽  
Vol 5 (1) ◽  
pp. 1-16
Author(s):  
Tahir Mahmood ◽  
Afaq Ali Muluk ◽  
Seema Zubair
Keyword(s):  
Food Security ◽  
Wheat Flour ◽  
Market Price ◽  
Price Transmission ◽  
Wheat Grain ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Wheat Market

Afghanistan's food security mainly depends on Pakistan's wheat prospect, circumstances, agriculture policies, and market price dynamics. This study explores the price transmission mechanism of the wheat flour and wheat grain between Pakistan and Afghanistan using monthly price pairs from January 2003 through October 2017. The paper investigates the existing knowledge of how Pakistan’s agricultural policy and wheat market affects the wheat market and food security of Afghanistan. The results confirm that the wheat flour price of Pakistan is found to be driving the price of wheat flour of Afghanistan. This implies that wheat flour price of Pakistan evolves independently, and that wheat flour price of Afghanistan balances any divergence in the long-run relationship between the two markets prices. The policy implication is to eradicate transaction costs as well as procuring timely wheat grain and flour, in order to maintain price stability between Pakistan and Afghanistan wheat markets.

scholarly journals Banks Intermediation and Stock Prices of Deposit Money Banks in Nigeria: VECM and Variance Decomposition Approach

2020 ◽  
Vol 8 (1) ◽  
pp. 102-112
Author(s):  
Subair K ◽  
◽  
Soyebo Yusuf A ◽  
Keyword(s):  
Stock Prices ◽  
Secondary Data ◽  
Variance Decomposition ◽  
Cointegration Analysis ◽  
Decomposition Approach ◽  
Vector Error Correction ◽  
Speed Of Adjustment ◽  
Vector Error ◽  
Long Run ◽  
Delegated Monitoring

This study adopts the Vector Error Correction Model (VECM) and the variance decomposition techniques in testing the financial acceleration theory in banks intermediation. The bank intermediation variable is categorized into variable deposit mobilization, loan administration, delegated monitoring and risk diversification. Using cointegration analysis and quarterly secondary data between 2009 and 2016, this study assessed the short and long run influence of the categorized bank activities on their stock prices. The results indicate that banks intermediation exact influence on both the short and long run stock prices of DMBs in Nigeria as the ECM (-0.1420) result showed a significant speed of adjustment towards equilibrium while the overall model fitness showed that there is a long run causality running from banks intermediation measures and stock prices. Similarly, the result of the variance decomposition of stock prices shocks indicate that over time a significantly increasing proportion of stock prices is explained by loans and capital (delegated monitoring).

scholarly journals Mexico’s Finance-Growth Nexus with Trade Openness, FDI and Portfolio Investment: Evidence from VECM Cointegration Analysis

2020 ◽  
Vol 23 (49) ◽  
pp. 29-44
Author(s):  
Takashi Fukuda
Keyword(s):  
Economic Growth ◽  
Structural Break ◽  
Trade Openness ◽  
Cointegration Analysis ◽  
Portfolio Investment ◽  
Financial Efficiency ◽  
Vector Error Correction ◽  
Vector Error ◽  
Causality Tests ◽  
Finance Growth Nexus

This study investigates Mexico’s finance-growth nexus by controlling the “globalization” variables of trade openness, foreign direct investment (FDI) and portfolio investment together with the structural break dummy. Financial development is proxied by two indicators of size and efficiency. Implementing the cointegration and Granger causality tests in the framework of the vector error correction model (VECM), we found that: financial size is negative for economic growth with no feedback; financial efficiency and economic growth are in a negative bilateral relationship; trade openness and portfolio investment are positive for economic growth; and FDI is negative for economic growth and financial efficiency.

scholarly journals Εκπαίδευση, χρηματοοικονομικές δαπάνες και οικονομική ανάπτυξη

2019 ◽  
Author(s):  
Γεώργιος Γαράφας
Keyword(s):  
Error Correction ◽  
Vector Error Correction ◽  
Vector Error ◽  
Vec Model ◽  
Penn World Table

Στην παρούσα διατριβή διερευνάται η σχέση ανάμεσα στην εκπαίδευση και την οικονομική ανάπτυξη, στην περίπτωση της Ελλάδας μεταπολεμικά (1950-2009). Η εκπαίδευση προσεγγίζεται μέσα από τις δημόσιες εκπαιδευτικές δαπάνες, τα ποσοστά των εγγεγραμμένων και τα μέσα έτη εκπαίδευσης, και η οικονομική ανάπτυξη μέσα από μία σειρά από θεμελιώδεις μακροοικονομικές μεταβλητές. Για το σκοπό αυτό παρουσιάζεται αναλυτικά η πορεία ενός πλήθους χρονολογικών σειρών που αφορά: εκπαιδευτικές μεταβλητές, χρηματοοικονομικές δαπάνες, παραχθέν προϊόν, πληθυσμιακά δεδομένα, πηγές χρηματοδότησης και δείκτες αξιολόγησης της εκπαίδευσης. Ο κύριος όγκος των δεδομένων συλλέχτηκε από τις εκδόσεις των Στατιστικών της Εκπαίδευσης, των Στατιστικών Επετηρίδων και τους Εθνικούς Λογαριασμούς της ΕΛΣΤΑΤ, καθώς και από τη βάση δεδομένων Penn World Table 9.0 (Feenstra, Inklaar, and Trimmer, 2015). Στην εμπειρική ανάλυση χρησιμοποιώντας την προσέγγιση των Johansen (1988) και Johansen and Juselius (1990) και εφαρμόζοντας ένα Διανυσματικό Υπόδειγμα Διόρθωσης Σφαλμάτων (Vector Error Correction, VEC model), επιδιώκεται να ελεγχθεί η σχέση ανάμεσα στην εκπαίδευση και στο παραγόμενο προϊόν. Τα αποτελέσματα της εμπειρικής ανάλυσης, υποδεικνύουν την ύπαρξη μακροχρόνιας σχέσης συνολοκλήρωσης ανάμεσα στην εκπαίδευση και στο πραγματικό ΑΕΠ. Επίσης, εφαρμόζοντας την προσέγγιση των Toda – Yamamoto (1995) διαπιστώνεται ότι το ανθρώπινο κεφάλαιο αιτιάζει κατά Granger την οικονομική ανάπτυξη, χωρίς να διαπιστώνεται αντίστροφη σχέση αιτιότητας.

scholarly journals The effects of the late 2000s global financial crisis on Australia’s construction demand

2013 ◽  
Vol 13 (3) ◽  
pp. 65-79 ◽  
Author(s):  
Heng Jiang ◽  
Xiao-Hua Jin ◽  
Chunlu Liu
Keyword(s):  
Financial Crisis ◽  
Construction Industry ◽  
Global Financial Crisis ◽  
Economic Indicator ◽  
Residential Construction ◽  
Vector Error Correction ◽  
Vector Error ◽  
Vec Model ◽  
External Impact ◽  
Research Findings

An accurate measurement of the impacts of external shocks on construction demand will enable construction industry policymakers and developers to make allowances for future occurrences and advance the construction industry in a sustainable manner. This paper aims to measurethe dynamic effects of the late 2000s global financial crisis on the level of demand in the Australian construction industry. The vector error correction (VEC) model with intervention indicators is employed to estimate the external impact from the crisis on a macro-level construction economic indicator, namely construction demand. The methodology comprises six main stages to produce appropriate VEC models that describe the characteristics of the underlying process. Research findings suggestthat overall residential and non-residential construction demand were affected significantly by the recent crisis and seasonality. Non-residentialconstruction demand was disrupted more than residential construction demand at the crisis onset. The residential constructionindustry is more reactive and is able to recover faster following the crisis in comparison with the non-residential industry. The VEC model with intervention indicators developed in this study can be used as an experiment for an advanced econometric method. This can be used to analyse the effects of special eventsand factors not only on construction but also on other industries.

Post-merger branding strategies and market power in the Brazilian brewing industry

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Malú N.P.S. Cerqueira ◽  
Danilo R.D. Aguiar ◽  
Adelson Martins Figueiredo
Keyword(s):  
Market Power ◽  
Cointegration Analysis ◽  
Reduced Form ◽  
Medium Size ◽  
Dominant Firm ◽  
Content Type ◽  
Vector Error Correction ◽  
Price Series ◽  
Vec Model ◽  
Retail Prices

PurposeThe purpose of this paper is to investigate firm strategies and the exertion of market power in the brewing sector in Brazil following a merger between the two largest brewers (Brahma and Antarctica) that created Ambev and given that the existing literature is inconclusive on this subjectDesign/methodology/approachIn this study the authors apply cointegration analysis to price series of beer brands. The authors use the reduced form vector error correction (VEC) model to measure the price responses of beer brands in terms of direction, magnitude and speed. The authors use monthly retail prices for the primary brands of beer in the city of São Paulo, Brazil's largest consumer market. Specifically, the authors use two sets of retail prices, one from bars (the main point of beer sales, with roughly 50% of market share) and another from supermarkets. The series range from 1994 to 2014, depending on the brand.FindingsThis study indicates that Ambev's two major brands (Skol and Brahma) behave as market leaders, while its third brand (Antarctica) has been used to challenge the low-price competitor (Nova Schin). The authors also found evidence that the pricing policies of Brahma and Antarctica have changed toward cooperation following the creation of Ambev.Research limitations/implicationsThe main limitation of this article is that the authors only had access to retailer data. As the merger involved brewers, the authors would ideally use manufacturer beer prices in their econometric analysis. However, the consistency of our results suggests that retailers have been passively transmitting brand strategies launched at a manufacturer level.Social implicationsAs the dominant firm created following the merger of the two largest brewers appears to use one of its brand to restrict entry of competitors and the premium brands to enjoy high profits, consumers tend to be harmed by high beer prices and lack of options. Furthermore, small and medium-size companies cannot grow due to entry barriers created by the dominant firm.Originality/valueThis paper is the first to apply cointegration analysis to examine the effect of mergers on pricing strategies. The robustness of this study suggests that this approach could be used for antitrust agencies to monitor post-merger strategies.

Cointegrating relationship and the degree of market integration among the North American softwood lumber product markets

2009 ◽  
Vol 39 (11) ◽  
pp. 2129-2137 ◽  
Author(s):  
Chander K. Shahi ◽  
Shashi Kant
Keyword(s):  
North American ◽  
Market Integration ◽  
Impulse Response Functions ◽  
Vector Error Correction ◽  
Softwood Lumber ◽  
The North ◽  
Long Run ◽  
Equilibrium Relationship ◽  
Integrated Or ◽  
Relationship Of

Studies in spatial market integration of the North American softwood lumber products have mostly focused on the question of whether prices in distinct market locations are cointegrated or not. However, the informational deficiencies in market integration studies were fulfilled in this analysis by examining a continuum of the degree of market integration rather than using the dichotomous approach whereby markets are deemed either integrated or not. Firstly, the methodology of permanent–transitory decomposition in a multivariate vector error correction model was used to estimate the cointegrating relationship of the North American markets for three categories of softwood lumber products: Spruce–Pine–Fir (SPF), Douglas fir (DF), and Hemlock fir (HF). Secondly, a consistent ranking of the degree of market integration was constructed by estimating the reaction time for prices to return back to the steady-state equilibrium, using generalized impulse response functions and persistence profiles. Our results indicate that the long-run price equilibrium relationship for all SPF and HF products is driven by both the production (in Canada) and consumption (in USA) sides of the markets, whereas that for DF products is driven by the consumption (USA) side only. Generally, the degree of market integration for HF products is lower than that for SPF products and higher than that for DF products.

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