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Journal of Agricultural and Resource Economics >
Volume 32, Number 01, April 2007 >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/8596
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| Title: | Common Trends, Common Cycles, and Price Relationships in the International Fiber Market |
| Authors: | Fadiga, Mohamadou L.
Misra, Sukant K. |
| Keywords: | common factors
fiber prices
Kalman filter
state-space
unobserved components |
| Issue Date: | 2007-04 |
| Abstract: | A multivariate unobserved component model was applied to identify common movements among cotton, wool, rayon, and polyester world prices. Two common stochastic trends and cycles govern the stochastic behaviors of price fluctuations in the world fiber market. These unobserved components have important implications as they can help in the design of more efficient commodity programs to smooth terms of trade shocks, especially in developing countries. The study found the effect of inventory adjustments on world cotton price is diminishing, which indicates that speculative behaviors in the world fiber market are less prevalent than previously thought. |
| URI: | http://purl.umn.edu/8596 |
| Institution/Association: | Journal of Agricultural and Resource Economics>Volume 32, Number 01, April 2007 |
| Total Pages: | 15 |
| Language: | English |
| From Page: | 154 |
| To Page: | 168 |
| Collections: | Volume 32, Number 01, April 2007
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