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El Niño southern oscillation and its effects on world vegetable oil prices: assessing asymmetries using smooth transition models

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  • David Ubilava
  • Matt Holt

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Bibliographic Info

Article provided by Australian Agricultural and Resource Economics Society in its journal Australian Journal of Agricultural and Resource Economics.

Volume (Year): 57 (2013)
Issue (Month): 2 (04)
Pages: 273-297

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Handle: RePEc:bla:ajarec:v:57:y:2013:i:2:p:273-297

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References

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  1. Joseph V. Balagtas & Matthew T. Holt, 2009. "The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, Agricultural and Applied Economics Association, vol. 91(1), pages 87-105.
  2. Costas Milas & Philip Rothman, 2007. "Out-of-Sample Forecasting of Unemployment Rates with Pooled STVECM Forecasts," Working Paper Series, The Rimini Centre for Economic Analysis 49-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  3. David Ubilava, 2012. "Modeling Nonlinearities in the U.S. Soybean‐to‐Corn Price Ratio: A Smooth Transition Autoregression Approach," Agribusiness, John Wiley & Sons, Ltd., vol. 28(1), pages 29-41, 01.
  4. Jansen, Eilev S & Terasvirta, Timo, 1996. "Testing Parameter Constancy and Super Exogeneity in Econometric Equations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 58(4), pages 735-63, November.
  5. Gabriella Legrenzi & Costas Milas, 2005. "Non-linear real exchange rate effects in the UK labour market," Keele Economics Research Papers, Centre for Economic Research, Keele University KERP 2005/08, Centre for Economic Research, Keele University.
  6. Simon M. Potter, 1993. "A Nonlinear Approach to U.S. GNP," UCLA Economics Working Papers, UCLA Department of Economics 693, UCLA Department of Economics.
  7. Matthew T. Holt & Lee A. Craig, 2006. "Nonlinear Dynamics and Structural Change in the U.S. Hog—Corn Cycle: A Time-Varying STAR Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, Agricultural and Applied Economics Association, vol. 88(1), pages 215-233.
  8. Rothman, Philip & van Dijk, Dick & null, Philip Hans, 2001. "Multivariate Star Analysis Of Money Output Relationship," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 5(04), pages 506-532, September.
  9. Ker, Alan P. & McGowan, Pat, 2000. "Weather-Based Adverse Selection And The U.S. Crop Insurance Program: The Private Insurance Company Perspective," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, Western Agricultural Economics Association, vol. 25(02), December.
  10. Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Research Paper, Federal Reserve Bank of Dallas 9209, Federal Reserve Bank of Dallas.
  11. Hall, Anthony D. & Skalin, Joakim & Teräsvirta, Timo, 1998. "A nonlinear time series model of El Niño," Working Paper Series in Economics and Finance 263, Stockholm School of Economics.
  12. Maximo Camacho, 2004. "Vector smooth transition regression models for US GDP and the composite index of leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(3), pages 173-196.
  13. Temin, Peter, 2002. "Price Behavior in Ancient Babylon," Explorations in Economic History, Elsevier, Elsevier, vol. 39(1), pages 46-60, January.
  14. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 357-84, March.
  15. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, Elsevier, vol. 62(2), pages 211-228, June.
  16. A. D. Owen & K. Chowdhury & J. R. R. Garrido, 1997. "Price interrelationships in the vegetable and tropical oils market," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 29(1), pages 119-124.
  17. van Dijk, Dick & Franses, Philip Hans & Paap, Richard, 2002. "A nonlinear long memory model, with an application to US unemployment," Journal of Econometrics, Elsevier, Elsevier, vol. 110(2), pages 135-165, October.
  18. Berry, Brian J.L. & Okulicz-Kozaryn, Adam, 2008. "Are there ENSO signals in the macroeconomy," Ecological Economics, Elsevier, Elsevier, vol. 64(3), pages 625-633, January.
  19. Barry K. Goodwin & Matthew T. Holt & Jeffrey P. Prestemon, 2011. "North American Oriented Strand Board Markets, Arbitrage Activity, and Market Price Dynamics: A Smooth Transition Approach," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, Agricultural and Applied Economics Association, vol. 93(4), pages 993-1014.
  20. Letson, David & McCullough, B.D., 2001. "Enso And Soybean Prices: Correlation Without Causality," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, Southern Agricultural Economics Association, vol. 33(03), December.
  21. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, Elsevier, vol. 74(1), pages 119-147, September.
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Citations

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Cited by:
  1. Tack, Jesse B. & Ubilava, David, 2013. "El Ni˜no Southern Oscillation Impacts on Crop Insurance," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C., Agricultural and Applied Economics Association 151429, Agricultural and Applied Economics Association.
  2. Pede, Valerien O. & Valera, Harold Glenn A. & Alam, Mohammad Jahangir & McKenzie, Andrew M., 2013. "Nonlinearities in Regional Rice Prices in the Philippines: Evidence from a Smooth Transition Autoregressive (STAR) Approach," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C., Agricultural and Applied Economics Association 150246, Agricultural and Applied Economics Association.
  3. Ubilava, David & Villoria, Nelson, 2013. "Do the Trade Winds Alter the Trade Flow? Assessing Impacts of ENSO Shocks on World Cereal Supply," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C., Agricultural and Applied Economics Association 150516, Agricultural and Applied Economics Association.

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