Common Trends, Common Cycles, and Price Relationships in the International Fiber Market
AbstractA 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.
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Bibliographic InfoArticle provided by Western Agricultural Economics Association in its journal Journal of Agricultural and Resource Economics.
Volume (Year): 32 (2007)
Issue (Month): 01 (April)
common factors; fiber prices; Kalman filter; state-space; unobserved components; International Relations/Trade;
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- Mohamadou Fadiga & Yongsheng Wang, 2009. "A multivariate unobserved component analysis of US housing market," Journal of Economics and Finance, Springer, vol. 33(1), pages 13-26, January.
- Jane Haltmaier, 2011. "Empirical estimation of trend and cyclical export elasticities," International Finance Discussion Papers 1030, Board of Governors of the Federal Reserve System (U.S.).
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