TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...

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ANNEXES
Annexes 124 Annex A – Empirical analysis on price transmission: a review METHODOLOGY DATA USED MAJOR FINDINGS CORRELATION Isard, 1977 By visual inspection and by ordinary regression (Cochrane-Orcutt procedure), the behaviour of relative prices for various industries, is examined. Stigler and Sherwin, 1985 They investigate the relations existing between differentiated series of prices. They use correlation analysis to assess the belonging of prices to the same market. Monthly time series of US, Germany and Japanese prices for a variety of industries collected at different frequencies for the years 1968- 1975. Monthly wholesale prices (logs, indexes, levels) for a number of items: silver futures, flour, wheat, gasoline, interest rates, wages… Various years. Substantial changes in exchange rates have substantial and persistent effects on the relative common currency prices for close substitute products of different countries. The study, which covers different markets (future markets, commodity markets, capital and labour markets), discusses fundamental issues related to market integration. DYNAMIC REGRESSION MODELS BASED ON A POINT LOCATION MODEL: RAVALLION’S CRITERIA Aldermann,1992 He applies both Ravallion’s radial dynamic model of market integration and cointegration techniques. Cointegration relations are analyzed within the same market between commodities that can be considered close substitutes. His objective is to verify whether, in developing countries, the connections existing among markets of different agricultural commodities allow governments to use policy measures addressed to only one of them. Mundlak and Larson, 1992 They investigate world markets to find out what proportion of world prices is transmitted to the domestic ones (coefficients of the regressions) and what proportion of the variation in domestic prices can be attributed to the variations in world prices (R 2 of the regressions). They analyze different panel models (all commodities for each country, nominal and real values; all countries pooled together; insertion of yearly dummies; between and within commodity regressions). Deflated monthly wholesale maize, sorghum and millet prices (levels) from three markets in Ghana. 1977-1990. In a first analysis, the prices refer to 58 counties and 60 products, in the years1968- 1978; then they examine the prices in EU countries, for 25 years. Prices of different commodities are cointegrated. Often, the past prices of one product can be used to predict the prices of another one. Functional efficiency in Ghana’s coarse grain markets is found. This study finds very high transmission elasticities for all countries (in the range of 0.74-1.24) and very high values of R 2 (in the range of 0.66 and 0.96). The results are however likely to be biased by complete disregarding the time series properties of the data (autocorrelation tests are not reported).
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TESTING INTERNATIONAL PRICE TRANSMI
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Associazione “Alessandro Bartola
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Index 1 INTRODUCTION ..............
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1 INTRODUCTION The notion of “pri
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Introduction These recent phenomena
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Introduction Whereas the Common Agr
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Price Transmission and the Law of O
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3 EMPIRICAL TESTS FOR SPATIAL PRICE
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Empirical Tests for Spatial Price A
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= β 2 i0 Empirical Tests for Spati
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∆p + t ∑ ⎡β⎤ ' ⎡ p t =
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4 INTERNATIONAL SOFT WHEAT MARKETS
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International Soft Wheat Markets Un
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30.000 20.000 10.000 0 1961 1963 19
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250 200 150 100 50 1978:12 Internat
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Page 76 and 77: 5 EMPIRICAL ANALYSIS: COINTEGRATION
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Page 82 and 83: α LM test ARCH(13) Empirical Analy
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Page 113 and 114: Concluding Remarks These models rep
Page 116 and 117: REFERENCES Alderman, H., 1992. Inte
Page 118 and 119: References agricultural policies: s
Page 120 and 121: References Isard, P., 1977. How far
Page 122: References Thompson, S. R., Sul, D.
Page 127 and 128: Annexes METHODOLOGY DATA USED MAJOR
Page 139 and 140: Annexes Variable swfr 138 Annex B -
Page 141 and 142: Annexes Variable swfr 140 Table B.3
Page 143 and 144: Annexes 142 Table B.7 - Unit root t
Page 145 and 146: Annexes 144 Table C.5 - Cointegrati
Page 147 and 148: Annexes 146 Table D.4 - Unit root t
Page 149 and 150: Annexes 148 Annex E - Unit root tes
Page 151 and 152: Annexes Table E.5 - Unit root tests
Page 153: The notion of “price transmission
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