scholarly journals Price Behaviour and Market Integration: Preliminary Evidence from the Ukrainian and European Union Rapeseed Markets

2019 ◽  
Vol 19(34) (1) ◽  
pp. 47-58 ◽  
Author(s):  
Mariusz Hamulczuk ◽  
Oksana Makarchuk ◽  
Edgardo Sica
Keyword(s):  
European Union ◽  
Market Integration ◽  
Preliminary Evidence ◽  
Price Transmission ◽  
The European Union ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Trade Analysis ◽  
Price Analysis

This paper aims to provide preliminary evidence about the existence of horizontal integration between the rapeseed markets in Ukraine (UA) and the European Union (EU). To this end, both a trade analysis and a price analysis were carried out. In particular, the trade analysis was performed using yearly trade flows between the UA and EU, whereas price co-movement was assessed by means of linear vector error correction model (VECM) applied to weekly prices for rapeseed from 2008 to 2018. Our findings provide evidence of strong integration between the UA and EU markets in terms of the trade of rapeseeds, rape cake, and rape oil, as well as high horizontal rapeseed price transmission between the two economies.

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 Seasonal Soybean Price Transmission between the U.S. and Brazil Using the Seasonal Regime-Dependent Vector Error Correction Model

2019 ◽  
Vol 11 (19) ◽  
pp. 5315
Author(s):  
Byung Min Soon ◽  
Jarrett Whistance
Keyword(s):  
Price Transmission ◽  
Seasonal Effects ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
The World ◽  
Soybean Price ◽  
Dependent Vector ◽  
The U.S

Soybean production and trade in the U.S. and Brazil are seasonal. Our research question is whether the seasonal tendencies cause the price relationship between U.S. and Brazilian soybean prices. Therefore, the objective is to test for seasonality in the price transmission between the U.S. and Brazil soybean prices using the seasonal regime-dependent vector error correction model (VECM). Our results show that the speed of the adjustment for the U.S. soybean price in the first half of the year is greater than the speed of the adjustment for the Brazilian soybean price. However, the pattern of their responses becomes the reverse in the second half of the year. The component share calculated by the result of the VECM with seasonal effects indicates that the U.S. dominates the world soybean market during the second half of the year while Brazil is dominant in the soybean market in the first half of the year. These results give us an important finding that we could not find using the VECM without seasonal effects. Finally, our results imply that the seasonal pattern of production in the U.S. and Brazil could cause the sustainability of the supply chain in the world soybean market.

scholarly journals Price transmission in regional beef markets: Australia, China and Southeast Asia

2018 ◽  
pp. 99 ◽  
Author(s):  
Xiaoxia Dong ◽  
Scott Waldron ◽  
Colin Brown, Jing Zhang
Keyword(s):  
Impulse Response Function ◽  
Price Transmission ◽  
Chinese Market ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Equilibrium Relationships ◽  
Beef Prices ◽  
Integration Analysis

With increasing trade volumes in the Asian region, it could be expected that beef markets are becoming increasingly integrated. Major beef exporters or importers can be expected to lead others, but others can be separated by obstacles to trade or small trade volumes. This paper examines price transmission between the key regional beef markets of Australia, China, Indonesia and Vietnam. It draws on quarterly price data from 2005 to 2015 and methods including co-integration analysis, granger causality test, and vector error correction model and impulse response function. The results show that log-run equilibrium relationships exist in two of the trading relationships, where the beef price in Indonesia is affected by the Australian market while the beef price in Vietnam is impacted by the Chinese market. However, Australia and China’s beef prices are not impacted by Indonesian or Vietnamese prices. Reasons behind these price inter-relationships are discussed.

scholarly journals Ukrainian Sunflower Market on the Background of EU and US Markets

2020 ◽  
Vol 20(35) (3) ◽  
pp. 4-15
Author(s):  
Tetyana Kuts ◽  
Oksana Makarchuk
Keyword(s):  
Sunflower Oil ◽  
The United States ◽  
Market Analysis ◽  
Price Transmission ◽  
High Price ◽  
The European Union ◽  
Correction Model ◽  
Oil Markets ◽  
The Us ◽  
Price Analysis

This paper aims to provide market analysis of the sunflower market in Ukraine (UA) and research the existence of integration between the sunflower oil markets in Ukraine, the European Union (EU) and the United States (US). To fulfill the aims in the paper, yearly balances of sunflower seed, sunflower oil and sunflower cake were analyzed and price analysis was conducted. Price integration was assessed with the use of the error correction model (ECM) which was applied to monthly prices for sunflower oil from 2000 to 2020. Our findings provide evidence of high price transmission between the UA and EU markets, conversely lower price transmission was observed between the UA and the US.

scholarly journals Vertical price transmission analysis: the case of milk in the Slovak dairy sector

2013 ◽  
Vol 7 (4-5) ◽  
pp. 89-96 ◽  
Author(s):  
Zuzana Lajdová ◽  
Peter Bielik
Keyword(s):  
Agricultural Economics ◽  
Price Transmission ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Asymmetric Price Transmission ◽  
The Subject ◽  
Coefficient Of Elasticity ◽  
Sector Work

Testing for nature price transmission and calculating elasticities of price transmission are important areas of research for providing insights into market efficiency issues. Symmetric or asymmetric price transmission has been the subject of considerable attention in agricultural economics. The concept of the price transmission is an important area of the research particularly in relation to the assessment of impact on the welfare of the vertical entities. The main goal of the paper is an analysis of the price transmission and its exploitation in case of price elasticity estimation in dairy sector. Work investigates vertical price transmission of milk in the Slovak agri-food chain. The research is based on Vector Error Correction Model (VECM) of the selected commodities at producer, processor and consumer level and the estimation of the parameters specified in the model. Moreover the paper determines the coefficient of elasticity of price transmission (EPT).

scholarly journals Transmisión de los precios del arroz en Colombia y el mundo

2019 ◽  
pp. 151-179
Author(s):  
Ricardo Troncoso-Sepúlveda
Keyword(s):  
Transition Probability ◽  
Price Transmission ◽  
Trade Policies ◽  
Correction Model ◽  
Vector Error Correction ◽  
Agricultural Prices ◽  
Vector Error ◽  
High Volatility ◽  
The Impact ◽  
The Relationship

The aim of this paper is to analyse the spatial price transmission of rice in Colombia, emphasizing the impact of trade policies. For this purpose, a Markov-switching vector error correction model was used to model regime shifts in the relationship between domestic and international rice prices in Colombia and some control countries, from January 1996 to September 2018. The results reveal three price transmission regimes that coincide with internal trade policies and with the food crisis of 2007-2008. The high volatility regime was the most persistent, with an average duration of 15.4 months, a transition probability of 93 % and an adjustment speed of 0.24. In addition, during this regime, Colombia was less integrated into the international rice market. These results are relevant, since they constitute the application of a threshold methodology to the analysis of the transmission of agricultural prices and can be useful for the design of agrarian policies that contribute to the integration and competitiveness of the Colombian rice sector.

Price discovery and pairs trading potentials: the case of metals markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Saji Thazhugal Govindan Nair
Keyword(s):  
Price Discovery ◽  
Price Transmission ◽  
Pairs Trading ◽  
Correction Model ◽  
Content Type ◽  
Vector Error Correction ◽  
Vector Error ◽  
Arbitrage Trading ◽  
Price Discovery Process ◽  
Practical Implications

Purpose This study aims to validate the “expectancy theory” of asset pricing and explores the price discovery process in metals futures markets. Design/methodology/approach This paper adopts the Johansen cointegration and vector error correction model approach to investigate the potentials of Pairs trading in the metals market during the period 2008–2019. Findings The results find the price movements in metal markets are not random walk and the current “futures” prices are the reasonable estimate of the “spot” metal prices in future. This study does not notice any significant differences in the price efficiency across metals markets, which signal the effects of limited idiosyncratic forces in price transmission. Practical implications The research suggests the covert use of metal futures to make gains from arbitrage trading. Originality/value The study emphasizes the potential of “pair trading” in commodity market context that is seldom discussed in academic papers.

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