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European Association of Agricultural Economists >
2008 International Congress, August 26-29, 2008, Ghent, Belgium >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/44247
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| Title: | Considering threshold effects in the long-run equilibrium in a vector error correction model: An application to the German apple market |
| Authors: | Goetz, Linde
von Cramon-Taubadel, Stephan |
| Keywords: | threshold cointegration
spatial price
transmission
vector error correction model |
| Issue Date: | 2008 |
| Abstract: | We propose a three-step procedure to
estimate a regime-dependent vector error correction
model (VECM). In this model, not only the short-run
adjustment process towards equilibrium is non-linear,
as in threshold VECM and Markov switching VECM
frameworks, but the long-run equilibrium relationship
itself can also display threshold-type non-linearity. The
proposed approach is unique in explicitly testing the null
hypothesis of linear cointegration against the alternative
of threshold cointegration based on the Gonzalo AND
PITARAKIS (2006) test. The model is applied to apple
price data on wholesale markets in Hamburg and
Munich, using the share of domestic apples in total
wholesale trade as the threshold variable. We identify
four price transmission regimes characterized by
different equilibrium relationships and short-run
adjustment processes. This proposed approach is
particularly suitable for capturing irregular seasonal
threshold effects in price transmission typical for fresh
fruits and vegetables. |
| URI: | http://purl.umn.edu/44247 |
| Institution/Association: | European Association of Agricultural Economists>2008 International Congress, August 26-29, 2008, Ghent, Belgium |
| Total Pages: | 12 |
| Collections: | 2008 International Congress, August 26-29, 2008, Ghent, Belgium
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