Subgeometric ergodicity and β-mixing

It is well known that stationary geometrically ergodic Markov chains are $\beta$ -mixing (absolutely regular) with geometrically decaying mixing coefficients. Furthermore, for initial distributions other than the stationary one, geometric ergodicity implies $\beta$ -mixing under suitable moment assumptions. In this note we show that similar results hold also for subgeometrically ergodic Markov chains. In particular, for both stationary and other initial distributions, subgeometric ergodicity implies $\beta$ -mixing with subgeometrically decaying mixing coefficients. Although this result is simple, it should prove very useful in obtaining rates of mixing in situations where geometric ergodicity cannot be established. To illustrate our results we derive new subgeometric ergodicity and $\beta$ -mixing results for the self-exciting threshold autoregressive model.

Threshold effects and unit roots of real commodity prices since the mid-nineteenth century

This paper investigates whether a unit root process and nonlinearities can characterize real commodity prices for six major primary goods. An unconstrained two-regime threshold autoregressive model is used with an autoregressive unit root. Among the main results, it is found that terms of trade for agricultural, mineral, non-tropical, and non-oil goods are nonlinear processes that are characterized by a unit root process. The finding of nonlinearities explains why the deterioration of the terms of trade has been episodic. Additionally, we found there is no statistical evidence supporting the Prebisch-Singer hypothesis for agricultural, mineral, non-tropical, and non-oil goods.

Rice Prices Shocks Transmission from International to Domestic Markets: An Evidence from Bamako and Kayes Rice Markets in Mali

This study assessed the transmission of international price shocks to domestic prices in Bamako and Kayes markets. Threshold Autoregressive Model developed by Balke and Fomby (1997) was used in the study. The empirical analysis used monthly price data of Bamako and Kayes markets over the period January 2006 to September 2016. The results of descriptive statistics showed that during the period 2006-2016, the average price of imported rice were 313 CFA francs in Bamako and 297 CFA francs in Kayes, respectively. The average price for local rice were 328 CFA francs in Bamako and 387 CFA francs in Kayes. The empirical results showed that local rice price in Kayes as well as imported rice price in Bamako responded asymmetrically to international price changes. The increase of international price was more rapidly transmissible to domestic prices than its decrease. Better regulation of rice markets and more road infrastructure would limit the power of commercial intermediaries and contribute to a better functioning of market structures.

A Threshold Multivariate Model to Explain Fiscal Multipliers with Government Debt

This paper shows fiscal multipliers, considering levels of public debt with multivariate threshold models. Non-linear behavior in sovereign debt-to-GDP ratio time series determine the relationship between output and government expenditure. The debt-to-GDP ratio has been selected optimally as an endogenous threshold variable to evaluate non-linearities; it has been useful for identifying estimators in a multivariate threshold autoregressive model; and it has been an important tool to observe how the multiplier changes during good times and bad. Expansionary fiscal policies seem to be counterproductive in this framework. This result highlights the link between real and financial variables.