scholarly journals Integration of Agricultural Commodity Markets in Punjab

1997 ◽  
Vol 36 (3) ◽  
pp. 241-262 ◽  
Author(s):  
Zubair Tahir ◽  
Khalid Riaz
Keyword(s):  
Market Segmentation ◽  
Market Integration ◽  
Analytical Framework ◽  
Commodity Markets ◽  
Agricultural Commodity ◽  
Long Run ◽  
Complete Market ◽  
Special Cases ◽  
Price Shock ◽  
Short Run

Efficiency of resource allocation in agriculture depends on the functioning of commodity markets. Although the larger markets that are better connected with the transport and communication network are expected to be well-integrated, the same cannot be said about the smaller, more remote markets. This paper tests integration of agricultural commodity markets in Southeastern Punjab. The region is located off the main trading axis of Pakistan, the Peshawar-Karachi highway, and is mostly served by relatively small markets known as mandis. This study focuses on markets for cotton, wheat, and rice in five towns in the region. Cotton and wheat are the main crops in the area while rice is mostly grown as part of crop rotation aimed at controlling salinity. The analytical framework developed by Ravallion was used to conduct tests of market integration for the three selected commodities. Within this framework, it is possible to test for short-run integration, long-run integration or complete market segmentation. The results indicate that, generally, markets are integrated only in the long run, with short-run integration limited to some special cases. Moreover, the smaller markets are more likely to be isolated as compared to the larger markets. The small markets also take longer to fully adjust to the price shock originating from a more dominant central market. Finally, in the case of rice, it is more likely that a market would be isolated if it were small. This implies that farmers’ incentives to grow rice as a means of combating salinity may be constrained by local demand conditions.

scholarly journals Market Integration and Price Transmission in the Vertical Supply Chain of Rice: An Evidence from Bangladesh

Agriculture ◽  
2020 ◽  
Vol 10 (7) ◽  
pp. 271
Author(s):  
Limon Deb ◽  
Yoonsuk Lee ◽  
Sang Hyeon Lee
Keyword(s):  
Supply Chain ◽  
Market Integration ◽  
Threshold Effect ◽  
Price Transmission ◽  
Causality Test ◽  
Threshold Autoregressive ◽  
Market Participants ◽  
Long Run ◽  
Short Run ◽  
Retail Prices

As a staple food, rice has an enormous market in Bangladesh in terms of market participants and the volume of the product. As the price of rice is always a sensitive factor for producers, poor consumers and policy makers, this paper investigates market integration and price transmission along the vertical supply chain of rice. Johansen’s test of co-integration confirmed that farm, wholesale and retail prices are co-integrated in the long-run. A causality test revealed that prices were found to be at wholesale levels for both the upstream and downstream markets. The asymmetry error correction model (ECM) has discovered short-run and long-run asymmetry in price transmission in the vertical supply chain where both producers and consumers were being affected due to positive and negative asymmetry. Threshold autoregressive (TAR) and momentum threshold autoregressive (M-TAR) models have confirmed threshold co-integration as well as threshold effect on asymmetry in price transmission. The results highlight the inevitability of policy implementations and increased public interventions to reduce asymmetry for engendering greater pricing efficiency in Bangladesh rice markets.

scholarly journals On the Dynamic Relationship between U.S. Farm Income and Macroeconomic Variables

2009 ◽  
Vol 41 (2) ◽  
pp. 521-528 ◽  
Author(s):  
Jungho Baek ◽  
Won W. Koo
Keyword(s):  
Interest Rates ◽  
Commodity Prices ◽  
Commodity Price ◽  
Farm Income ◽  
Agricultural Commodity ◽  
Macroeconomic Variables ◽  
Distributed Lag ◽  
Dynamic Relationship ◽  
Long Run ◽  
Short Run

This study examines the short- and long-run effects of changes in macroeconomic variables—agricultural commodity prices, interest rates and exchange rates—on the U.S. farm income. For this purpose, we adopt an autoregressive distributed lag (ARDL) approach to cointegration with quarterly data for 1989–2008. Results show that the exchange rate plays a crucial role in determining the long-ran behavior of U.S. farm income, but has little effect in the short-run. We also find that the commodity price and interest rate have been significant determinants of U.S. farm income in both the short- and long-run over the past two decades.

Exchange Rate and Economic Growth

2017 ◽  
Vol 12 (1) ◽  
pp. 42-64 ◽  
Author(s):  
Mohammad A. Razzaque ◽  
Sayema Haque Bidisha ◽  
Bazlul Haque Khondker
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Real Exchange Rate ◽  
Development Strategy ◽  
Analytical Framework ◽  
Policy Option ◽  
Exchange Rate Policy ◽  
Long Run ◽  
Exchange Rate Movements ◽  
Short Run

This article aims to understand the effects of exchange rate movements on economic growth in Bangladesh. Using a suitable analytical framework to derive an empirical specification, we construct a real exchange rate series and employ cointegration techniques to determine the output response to Bangladeshi currency depreciations. Our results suggest that in the long run, a 10 per cent depreciation of the real exchange rate is associated with, on average, a 3.2 per cent rise in aggregate output. However, a contractionary effect is observed in the short run so that the same magnitude of real depreciation would result in about a half per cent decline in GDP. While the long-run expansionary effect of real depreciations may be appealing for considering exchange rate policy as a development strategy, the likelihood of rising inflationary pressures needs to be kept in mind while pursuing this policy option.

scholarly journals Cross-Country Stock Market Integration and Portfolio Diversification Opportunities Evidence from Developed, Emerging and Frontier Countries

2020 ◽  
Vol 39 (1) ◽  
Author(s):  
Sultan Salahuddin ◽  
Muhammad Kashif ◽  
Mobeen Ur Rehman
Keyword(s):  
Stock Market ◽  
South Korea ◽  
Market Integration ◽  
Portfolio Diversification ◽  
Stock Market Integration ◽  
Country Level ◽  
Low Correlation ◽  
Long Run ◽  
Short Run ◽  
Cross Country

This study examines the stock market integration in cross-regional countries of developed, emerging, and frontier markets based on low correlation. The objective of the study is to identify the diversification opportunities and link between correlation and integration among country-level stocks. For this purpose, we select 62 countries from all three classifications of developed, emerging, and Frontier Markets. We constructed portfolios by selecting least 5 correlated countries denoted with Pjt in which each country has a correlation of less than .10 with base country Pit. Thirty-two countries fulfill the criteria of low correlation; 7, 13 and 12 from developed, emerging and frontier markets, respectively. Panel co-integration and VECM are applied to test the stock market integration and long & short-run linkages between country-level portfolios designed based on low correlation criteria. After conditioning for oil price movements, S&P 500 and exchange rate, we found Canada, France and Germany from developed category; Chile, Colombia, Greece, South Korea, Malaysia, Pakistan and Philippine from emerging category; and Bahrain, Jordan, Kuwait, Morocco, and Sri Lanka from frontier category have long-run diversification opportunities. Countries including; Canada and Italy from developed category; Argentina, Chile, China, Colombia, India, Indonesia, South Korea, Mexico and the Philippine from emerging category; and Bahrain, Kuwait, Morocco, Nigeria, and Tunisia from emerging category have short-run diversification opportunities.

scholarly journals Assessing the influence of exchange rate on agricultural commodity export price: evidence from Vietnamese coffee

2020 ◽  
Vol 22 (2) ◽  
pp. 297-309
Author(s):  
Trung Tuyen Dang ◽  
Caihong Zhang ◽  
Thi Hong Nguyen ◽  
Ngoc Trung Nguyen
Keyword(s):  
Exchange Rate ◽  
Granger Causality ◽  
Export Price ◽  
Agricultural Commodity ◽  
Causality Test ◽  
Content Type ◽  
Long Run ◽  
Commodity Export ◽  
Short Run ◽  
The Impact

PurposeThe purpose of this paper is to evaluate the influence of VND/USD exchange rate on Vietnamese coffee export price (PVN).Design/methodology/approachThe study uses cointegration test, Granger causality test and vector autoregression (VAR) model.FindingsThe results reveal that there is no co-integrating equation between two variables. It means the exchange rate does not have an effect on PVN in the long run. Furthermore, there is one Granger causality relationship between VND/USD exchange rate and PVN in the short run, but not vice versa. The study suggests that the first previous period of PVN is the most closely related variable which has the greatest impact on the variation of PVN among the selected variables, meanwhile the effect of VND/USD exchange rate on it, contrarily, is positive and very trivial.Originality/valueIn overall, the impact of VND/USD exchange rate on Vietnamese coffee export price (PVN) has been analyzed deeply in this research by applying new approaches.

Common Markets Measuring Price Integration in European Agricultural Markets

2006 ◽  
Author(s):  
Crina Viju ◽  
James Nolan ◽  
William A. Kerr
Keyword(s):  
Market Integration ◽  
The European Union ◽  
Monthly Data ◽  
Agricultural Prices ◽  
Eu Integration ◽  
Long Run ◽  
Short Run ◽  
The Individual ◽  
Common Markets ◽  
The Eu

The accession of Austria, Finland and Sweden to the European Union (EU) is assessed from the perspective of market integration in key agricultural sectors. An empirical investigation is conducted using monthly data for two periods: from 1975:01-1994:12 (the pre-EU period) and 1995:01-2004:12 (post-EU period). The existence of market integration both within the countries and within the EU is tested using time-series methods. A long-run equilibrium between prices for the same good in different markets does not exclude the possibility of short-run deviations in the individual data, so part of this analysis consists of estimating an econometric model (error correction) to uncover long-run effects of price deviations. Only a subset of agricultural prices moves together after EU integration.     Full text available at: https://doi.org/10.22215/rera.v2i1.164

scholarly journals Co-integration Test: An Application to Selected Sorghum Markets in Sudan

2018 ◽  
Vol 10 (6) ◽  
pp. 383
Author(s):  
Abda Abdalla Emam ◽  
Nagat Ahmed Elmulthum ◽  
Amal Saeed Abass
Keyword(s):  
Market Integration ◽  
Wholesale Price ◽  
Unit Root Test ◽  
Correction Model ◽  
Good Communication ◽  
Price Series ◽  
Long Run ◽  
Integration Test ◽  
Short Run ◽  
Long Run Equilibrium

An attempt was made in the study to understand the nature of the market integration. The study was based mainly on monthly wholesale price of sorghum in four market locations; namely Khartoum, Elobied, Gdarif and Damazin. Sorghum wholesale price series was used for the period from January 2012 to December 2016. Unit root test, Johnson co-integration test and Error Correction model were used to disclose stationary series, the long run relationship and short run relationship between these markets, respectively. The result showed that, long run relationship was indicated between all pairs of markets, except between Khartoum and Elobied market (consumption or deficit market). Long run equilibrium indicated adjustment to surplus markets (Gadarief and Damazin). This result may be interpreted by the fact that these markets are connected by good communication and transportation. From ECM model, Wholesale sorghum prices in all markets (higher price) quickly fall back towards Gadarif market whereas Gadarif adjusts back to Khartoum. Also, higher wholesale prices in Damazin quickly fall back towards all markets. There is short run causality running from: Gadarif and Damazin to Khartoum, Gadarif to Elobied and Khartoum to Damazin market. Long run equilibrium indicated adjustment to surplus markets (Gadarief and Damazin).This result may be reflected to good communication and transportation between the markets.

scholarly journals Evaluation of Rice Markets Integration in Bangladesh

2010 ◽  
Vol 15 (2) ◽  
pp. 77-96 ◽  
Author(s):  
Mohammad Ismail Hossain ◽  
Wim Verbeke
Keyword(s):  
Market Integration ◽  
Structural Adjustment ◽  
Agricultural Sector ◽  
Price Transmission ◽  
Long Run ◽  
Adjustment Program ◽  
Integration Test ◽  
Short Run ◽  
The Government ◽  
Market Interdependence

The liberalization of the agricultural sector in general and the rice subsector in particular has been a major component of Bangladesh’s structural adjustment program initiated in 1992. However, the government has continued to intervene in the rice subsector. This paper examines whether the regional/divisional rice markets have become spatially integrated following the liberalization of the rice market. Wholesale weekly coarse rice prices at six divisional levels over the period of January 2004 to November 2006 were used to test the degree of market integration in Bangladesh using co-integration analysis and a vector error correction model (VECM). The Johansen co-integration test indicated that there are at least three co-integrating vectors implying that rice markets in Bangladesh during the study period are moderately linked together and therefore the long-run equilibrium is stable. The short-run market integration as measured by the magnitude of market interdependence and the speed of price transmission between the divisional markets has been weak.

scholarly journals Common Markets Measuring Price Integration in European Agricultural Markets

2006 ◽  
Vol 2 (1) ◽  
Author(s):  
Crina Viju ◽  
James Nolan ◽  
William A Kerr
Keyword(s):  
Market Integration ◽  
The European Union ◽  
Monthly Data ◽  
Agricultural Prices ◽  
Eu Integration ◽  
Long Run ◽  
Short Run ◽  
The Individual ◽  
Common Markets ◽  
The Eu

The accession of Austria, Finland and Sweden to the European Union (EU) is assessed from the perspective of market integration in key agricultural sectors. An empirical investigation is conducted using monthly data for two periods: from 1975:01-1994:12 (the pre-EU period) and 1995:01-2004:12 (post-EU period). The existence of market integration both within the countries and within the EU is tested using time-series methods. A long-run equilibrium between prices for the same good in different markets does not exclude the possibility of short-run deviations in the individual data, so part of this analysis consists of estimating an econometric model (error correction) to uncover long-run effects of price deviations. Only a subset of agricultural prices moves together after EU integration.

scholarly journals LONG RUN RELATIONSHIP BETWEEN OIL PRICE SHOCKS, EXCHANGE RATE VOLATILITY AND ECONOMIC GROWTH IN NIGERIA

2021 ◽  
Vol 4 (2) ◽  
pp. 27-51
Author(s):  
Abubakar Mikailu Aminu ◽  
◽  
Alexander Abraham Anfofum ◽  
Zakaree Saheed ◽  
◽  
...  
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Positive Impact ◽  
Exchange Rate Volatility ◽  
Oil Price ◽  
Causality Test ◽  
Long Run ◽  
Oil Price Shock ◽  
Price Shock ◽  
Short Run

The paper examined the long run relationship between oil price shock, exchange rate volatility and economic growth in Nigeria over the period 1980-2019. The study employed the Johansen Vector Autoregression (VAR)-based cointegration technique model to examine the sensitivity of real economic growth to changes in oil prices and real exchange rate volatility in the long-run while the short run dynamics was checked using a vector error correction model. The result from the Granger causality test suggests that there is causality between oil price, exchange rate and GDP. The results from Johansen cointegration test indicate there exist a long-run equilibrium relationship among the variables. Findings further show that oil price shock and appreciation in the level of exchange rate exert positive impact on real economic growth in Nigeria. The paper therefore recommends greater diversification of the economy through investment in key productive sectors of the economy using income from the crude oil export to guard against the vicissitude of oil price shock and exchange rate volatility.

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