scholarly journals Asymmetry in Price Transmission: Evidence from the Wheat-Flour Supply Chain in Russia

2021 ◽  
Vol 13 (3) ◽  
pp. 67-75
Author(s):  
Sergei Kharin ◽  
Keyword(s):  
Supply Chain ◽  
Imperfect Competition ◽  
Price Volatility ◽  
Price Transmission ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Asymmetric Price Transmission ◽  
Wheat Market

Price volatility has serious implications for economic welfare of various agents in the grain supply chain. The paper examines asymmetric price transmission along the wheat producer-processor supply chain in Russia using log-transformed monthly prices during the period of 2000-2019. Having specified linear asymmetric vector error correction model, we exposed the long-term cumulative asymmetry in price transmission, however, the hypothesis of short-term symmetry presence failed to reject. The analysis revealed dominant position for wheat producers and wholesalers over the wheat processors. Imperfect competition and their resulting market power, as well as the existence of a huge number of illegal processors are the main causes for asymmetric price transmission on the Russian wheat market.

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 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).

HUBUNGAN ANTARA CONSUMPTION ABROAD (MODA 2) DENGAN COMMERCIAL PRESENCE (MODA 3) DI SEKTOR JASA PARIWISATA INDONESIA

2016 ◽  
Vol 10 (1) ◽  
pp. 45-62
Author(s):  
Muhammad Fawaiq
Keyword(s):  
Vector Error Correction Model ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Mode 2 ◽  
Variable Mode ◽  
Causality Relationship ◽  
Mode 3

Penelitian ini bertujuan untuk menganalisis hubungan antara Moda 2 dan Moda 3 dalam perdagangan internasional di sektor jasa pariwisata. Metode penelitian yang digunakan dalam penelitian ini adalah Panel Vector Error Correction Model (VECM) Granger. Data yang digunakan adalah data kedatangan wisatawan mancanegara dan Foreign Direct Investment (FDI) jasa hotel dan restoran tahun 1997-2014 di Bali, Jakarta, Kepulauan Riau dan Sumatera Utara. Daerah-daerah ini berkontribusi sebesar 81,26% dari total kedatangan wisatawan mancanegara di Indonesia dan 68% terhadap total FDI di jasa hotel dan restoran Indonesia. Hasil penelitian menunjukkan bahwa tidak terdapat hubungan kausalitas jangka pendek antara kedua variabel tetapi terdapat hubungan jangka panjang satu arah yaitu variabel Moda 3 dipengaruhi oleh variabel Moda 2. Hasil pengujian pada gabungan antara jangka panjang dan jangka pendek menujukkan bahwa variabel Moda 3 secara kuat dipengaruhi oleh variabel Moda 2. Dengan demikian diketahui bahwa semakin banyak jumlah wisatawan mancanegara yang datang ke Indonesia maka akan mendorong meningkatnya FDI di jasa hotel dan restoran, tetapi meningkatnya FDI di jasa tersebut tidak signifikan berpengaruh terhadap masuknya jumlah wisatawan mancanegara. This paper examines the relationship between Mode 2 and Mode 3 of international trade in tourism sector. The method used is the Panel Vector Error Correction Model (VECM) Granger. The data used in this study were the number of foreign tourist arrivals and the Foreign Direct Investment (FDI) in some hotels and restaurants during 1997-2014 in Bali, Jakarta, Riau Islands and Nort Sumatera.These regions contributed for 81.26% out of the total tourist arrivals in Indonesia and 68% of the total FDI in the services of hotels and restaurants Indonesia. The results using VECM Granger demonstrated that there was no short-term causality relationship between these two variables but they had a long-term causality relationship that the Moda 3 was affected by the variable mode 2. Test results on a combination of long-term and short-term showed that the variable mode 3 was strongly influenced by variable mode 2. Thus, it is known that the more foreign tourists coming to Indonesia, the more FDI we gained from the service of hotels and restaurants, but this increase does not significantly affect the number of foreign tourists.

scholarly journals Macroeconomic Variables and Foreign Direct Investment Inflows in Turkey

2019 ◽  
Vol 8 (2) ◽  
Author(s):  
Saliha Meftah ◽  
Abdelkader Nassour
Keyword(s):  
Foreign Direct Investment ◽  
Direct Investment ◽  
Short Term ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Macroeconomic Variables ◽  
Vector Error ◽  
Causality Relationship

Foreign direct investment (FDI) is an essential factor in the development of a country. This study aims to examine what factors influence foreign direct investment. By using the vector error correction model, the research shows that there is a long-term causality relationship between exchange rates and inflation with FDI. However, in the short term, there are no variables that affect FDI. Besides, the Granger causality test shows causality in the direction of GDP and FDI, while other variables do not have causality. This research has implications for policymakers to pay attention to macroeconomic variables in increasing the flow of foreign direct investment.

scholarly journals Effectiveness of Monetary Policy Instruments on Economic Growth in Jordan Using Vector Error Correction Model

2017 ◽  
Vol 9 (11) ◽  
pp. 194
Author(s):  
Rami Obeid ◽  
Bassam Awad
Keyword(s):  
Economic Growth ◽  
Monetary Policy ◽  
Policy Instruments ◽  
Short Term ◽  
Correction Model ◽  
Vector Error Correction ◽  
Real Gdp ◽  
Vector Error ◽  
Effect Of Monetary Policy

The global financial crisis emphasized the important role of the prudent monetary policy in supporting economic growth through maintaining price stability. The monetary policy operational framework that was designed in 2008 was updated to include more instruments for managing monetary policy learning from the crisis lessons. Several studies analyzed various dimensions related to economic growth in Jordan such as Abdul-Khaliq, Soufan, and Abu Shihab (2013) and Assaf (2014), there were no studies that investigated the effect of monetary policy on economic growth in Jordan, at least recently, however. The study aims at measuring the effect of monetary policy instruments on the performance of Jordanian economy. Using quarterly data covering the period (2005-2015), an econometric model was examined using Vector Error Correction Model to assess the impact of monetary policy instruments on economic growth. The foremost advantage of VECM is that it has a nice interpretation of long-term and short-term equations. The results showed the existence of positive long-term and short-term effects of monetary policy instruments on the growth of real GDP. The model included three monetary policy instruments besides money supply. They are required reserve ratio, rediscount rate and overnight interbank loan rates as independent variables, and the real GDP growth as a dependent variable. The stationarity of the model time series was addressed. In addition, the stability of the model was tested using stability diagnostics tools. The results showed also an existence of inverse relationship between rediscount rate and economic growth in Jordan over both long and short terms.

scholarly journals Relationship between Financial Liberalization and Economic Growth in Emerging Economies: The Case of Vietnam

2016 ◽  
Vol 23 (01) ◽  
pp. 25-49
Author(s):  
Hoang Tran Huy ◽  
Huan Nguyen Huu ◽  
Linh Nguyen Thi Thuy
Keyword(s):  
Economic Growth ◽  
Financial Services ◽  
Financial Liberalization ◽  
Response Analysis ◽  
Causality Test ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Term Relation

This paper examines the process of financial liberalization in Vietnam over the period from 1993 to 2013. On adopting Vector Error Correction Model (VECM), the results suggest that there is a long-term relation between economic growth and financial liberalization, in which the financial market liberalization and financial services liberalization provide better support during the growth of Vietnam’s economy. In addition, using various techniques including Granger causality test, impulse response analysis, and variance decomposition, the paper also clarifies the motives for financial liberalization from the process of short-term financial development and economic growth in the country.

scholarly journals CAN FOREIGN DIRECT INVESTMENT REDUCE UNEMPLOYMENT IN HOME COUNTRIES? ANALYSIS FOR ASEAN COUNTRY

2019 ◽  
Vol 4 (2) ◽  
pp. 143
Author(s):  
ELSA WIDIA ◽  
ENDRIZAL RIDWAN ◽  
FAJRI MUHARJA
Keyword(s):  
Empirical Studies ◽  
Direct Foreign Investment ◽  
Annual Data ◽  
Long Term Effects ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Asean Country

Direct Foreign Investment (FDI) has been considered as one of the important strategies in long-term economic development. FDI is seen not only as a capital transfer but also has an important effect on increasing the host economy. FDI then became popular in many countries, so it was interesting to analyze the effects produced, both positive and negative. This research focuses on countries in the Association of Southeast Asian Nations (ASEAN) with the aim of conducting empirical studies on opportunities for employment creation by FDI. However, due to limited data in several countries, this study only involved Indonesia, Singapore, Malaysia and Thailand. The type of data used in this study is annual data covering from 1980-2017. Using estimation Vector Error Correction Model (VECM) allows to see short-term and long-term effects. The test results prove that the influence between variables is more visible in the long run

Asymmetric Price Transmission along the European Food Supply Chain and the CAP Health Check: a Panel Vector Error Correction Approach

2018 ◽  
Vol 17 (2) ◽  
Author(s):  
Anthony N. Rezitis ◽  
Andreas Rokopanos
Keyword(s):  
Supply Chain ◽  
Error Correction ◽  
Food Supply ◽  
Health Check ◽  
Transmission Mechanism ◽  
Price Transmission ◽  
Estimation Methods ◽  
Food Supply Chain ◽  
Vector Error Correction ◽  
Vector Error

Abstract The 2003 CAP Reform commenced a liberal shift on the policies designed to protect farmers across Europe. The CAP Health Check of 2008 and the 2013 CAP Reform confirmed this change, adopting measures including the further decoupling of production, the abolishment of set-aside and the phasing-out of milk quotas. It is therefore expected that price transmission has been affected radically. This study investigates the price transmission mechanism along the European food supply chain, based on an asymmetric panel vector error correction model (VECM). Panel data on agricultural commodity (farmer), producer (processor) and consumer (retailer) prices from nineteen European countries are considered. The sample is split into two sub-periods, before and after the CAP Health Check, to examine how the price transmission mechanism has been affected. Cointegration is confirmed among the price series through the Pedroni tests and the long-run relationship is obtained with two estimation methods (i. e. fully modified OLS and dynamic OLS). Prior to the CAP Health Check, positive asymmetry is detected from farmer to processor and from processor to retailer. However, after the CAP Health Check price transmission becomes symmetric, thus suggesting that decreased support has resulted in a more efficient price transmission mechanism.

scholarly journals Sustainable Knowledge Investment Increases Employment and GDP in the Spanish Agricultural Sector More Than Other Investments

2020 ◽  
Vol 12 (8) ◽  
pp. 3127
Author(s):  
Carolina Cosculluela-Martínez
Keyword(s):  
Agricultural Sector ◽  
First Year ◽  
Long Term Effects ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Short And Long Term ◽  
Stock Types ◽  
Processing Techniques

Investment in every type of asset increases GDP and net employment differently. This paper compares the effect produced by a permanent unitary shock in Sustainable Knowledge for the Primary Sector (SKPS) on the Spanish employment and GDP growth with the effect produced by the other fourteen capital stock types. The methodology used is a Vector Error Correction Model (VECM), where the complementary capital can affect SKPS instantaneously. The results suggest that SKPS produces the second-highest, short and long-term effects on both labor and production, per Euro invested; moreover, the investment of 4.3 thousand euros is retrieved in the first year and increases net employment in one person after four years. Accordingly, the 5 million Euro Budget to invest in sustainable machinery and processing techniques increases net employment by 827 employees.

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