TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...

More documents

Recommendations

Info

Empirical Analysis: Cointegration Models Accounting for Policy Regime Changes (when they have the expected sign, i.e., positive, they are bounded between 0.002, model 3, and 0.063, model 1b; when they are negative, they are bounded between -0.069, model 4, and -0.007, model 1). This could be due to its exogeneity in the system, as model 3 would imply; but, also, the cointegration relation might be mostly driven by the intervention price (as can be noted in model 2 and 4), which in turns brings some interpretative problems. Indeed, the introduction of this threshold could explain why the US price has a negative adjustment coefficient (see paragraph 5.2.2.1). A final consideration concerns the reference period which has been used for the analysis. In this work, in order to study in depth the role of domestic and border policies on price transmission, verifying the effects of the major changes they underwent in the past years, the use of longer time series (Eurostat data), which would allow to go back in time, has been preferred. Unfortunately, this in turn implies the impossibility of using more recent data, and of considering what has recently happened on world markets. The current rise in food prices (figure 5.3), which started in the summer of 2007, brought renewed interest in the debate on the appropriateness of agricultural domestic and border policies. At the same time, these issues are also currently discussed in the so-called “Health Check” of the CAP (European Commission, COM(2007) 722, and COM(2008) 306/4). The Health Check debate has the objective of completing the Fischler reform of 2003 and of establishing the new set of rules which will hold up to 2013. 450 350 250 150 50 2000:01 2001:01 Figure 5.3 French and US prices in the last years 2002:01 2003:01 2004:01 Source: ISMEA; International Grains Council 2005:01 2006:01 French soft milling wheat hrw 2007:01 2008:01 93
Empirical Analysis: Cointegration Models Accounting for Policy Regime Changes In addition to this, as explained in the introduction of this chapter, soaring food prices immediately caused major changes in the world trade environment. As high prices signal food scarcity, importers have removed import duties (such as the elimination of the EU tariffs for cereals up to 2009), while major exporters like Ukraine and Argentina have implemented, in turn, export taxes. These measures are of course expected to affect price transmission dynamics. For these reasons, the study of the most recent dynamics on world markets, which goes well beyond the use of more up-to date data, probably constitutes the most interesting development of the model presented. 94
Page 1 and 2:
TESTING INTERNATIONAL PRICE TRANSMI
Page 3 and 4:
Associazione “Alessandro Bartola
Page 6 and 7:
Index 1 INTRODUCTION ..............
Page 8 and 9:
1 INTRODUCTION The notion of “pri
Page 10 and 11:
Introduction These recent phenomena
Page 12:
Introduction Whereas the Common Agr
Page 15 and 16:
Price Transmission and the Law of O
Page 17 and 18:
Page 19 and 20:
Page 21 and 22:
Page 24 and 25:
3 EMPIRICAL TESTS FOR SPATIAL PRICE
Page 26 and 27:
Empirical Tests for Spatial Price A
Page 28 and 29:
Page 30 and 31:
Page 32 and 33:
= β 2 i0 Empirical Tests for Spati
Page 34 and 35:
Page 36 and 37:
Page 38 and 39:
Page 40 and 41:
Page 42 and 43:
Page 44 and 45: Empirical Tests for Spatial Price A
Page 48 and 49: ∆p + t ∑ ⎡β⎤ ' ⎡ p t =
Page 54 and 55: 4 INTERNATIONAL SOFT WHEAT MARKETS
Page 56 and 57: International Soft Wheat Markets Un
Page 58 and 59: 30.000 20.000 10.000 0 1961 1963 19
Page 70 and 71: 250 200 150 100 50 1978:12 Internat
Page 76 and 77: 5 EMPIRICAL ANALYSIS: COINTEGRATION
Page 78 and 79: Empirical Analysis: Cointegration M
Page 82 and 83: α LM test ARCH(13) Empirical Analy
Page 96 and 97: 6 EMPIRICAL ANALYSIS: COINTEGRATION
Page 110: Empirical Analysis: Cointegration M
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 125 and 126: Annexes 124 Annex A - Empirical ana
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
show all

TESTING INTERNATIONAL PRICE TRANSMISSION UNDER ...

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?