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The impact of market and policy instability on price transmission between wheat and flour in Ukraine

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  • Bernhard Brümmer
  • Stephan von Cramon-Taubadel
  • Sergiy Zorya
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    Abstract

    Analysis of price transmission in transition countries is often complicated by unstable policy environments. We use a Markov-switching vector error-correction model (MSVECM) to model multiple regime shifts in the relationship between wheat and wheat flour prices in Ukraine from June 2000 to November 2004. Unlike common alternative error correction specifications, the MSVECM does not require an explicit transition variable but rather permits changes between regimes to depend on an unobserved state variable. The analysis reveals four regimes whose timing coincides with political and economic events in Ukraine. Strong coincidence between a 'high-uncertainty' regime and discretionary policy interventions suggests that policy responses to fluctuations in Ukrainian harvests may have amplified instability. Oxford University Press and Foundation for the European Review of Agricultural Economics 2009; all rights reserved. For permissions, please email journals.permissions@oxfordjournals.org, Oxford University Press.

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    Bibliographic Info

    Article provided by Foundation for the European Review of Agricultural Economics in its journal European Review of Agricultural Economics.

    Volume (Year): 36 (2009)
    Issue (Month): 2 (June)
    Pages: 203-230

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    Handle: RePEc:oup:erevae:v:36:y:2009:i:2:p:203-230

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    Cited by:
    1. Rico Ihle & Linde Götz & Ofir D. Rubin, 2011. "State-Space Cointegration Modeling for the Analysis of Exogenous Shocks to Prices in Israeli-Palestinian Food Trade," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 100, Courant Research Centre PEG.
    2. Gotz, Linde & Qiu, Feng & Glauben, Thomas, 2012. "The Law of One Price under State-Dependent Policy Intervention: An Application to the Ukrainian Wheat Market," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124904, Agricultural and Applied Economics Association.
    3. Djuric, Ivan & Gotz, Linde & Glauben, Thomas, 2011. "Effekte der Staalichen Marktintervention auf den Weizenmarkt in Serbien während der Nahrungsmittelkrise in 2007/2008," 51st Annual Conference, Halle, Germany, September 28-30, 2011 114485, German Association of Agricultural Economists (GEWISOLA).
    4. Djuric, Ivan & Gotz, Linde & Glauben, Thomas, 2012. "Global commodity price peaks and governmental interventions: The case of the wheat-to-bread supply chain in Serbia - Who benefited and who lost?," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 125142, Agricultural and Applied Economics Association.
    5. Götz, Linde & Goychuk, Kateryna & Glauben, Thomas & Meyers, William H., 2013. "Export Restrictions and Market Uncertainty: Evidence from the Analysis of Price Volatility in the Ukrainian Wheat Market," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150308, Agricultural and Applied Economics Association.
    6. Djuric, Ivan & Goetz, Linde & Glauben, Thomas, 2011. "Influences Of The Governmental Market Interventions On Wheat Markets In Serbia During The Food Crisis 2007/2008," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114438, European Association of Agricultural Economists.
    7. Goetz, Linde & Glauben, Thomas & Brummer, Bernhard, 2010. "Impacts of Export Controls On Wheat Markets During the Food Crisis 2007/2008 in Russia and Ukraine," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61626, Agricultural and Applied Economics Association.
    8. Goetz, Linde & Glauben, Thomas & Brummer, Bernhard, 2010. "How Did Policy Interventions In Wheat Export Markets In Russia And Ukraine During The Food Crisis 2007/2008 Influence World Market Price Transmission?," 50st Annual Conference, Braunschweig, Germany, September 29-October 1, 2010 93952, German Association of Agricultural Economists (GEWISOLA).
    9. Wurriehausen, Nadine & Ihle, Rico & Lakner, Sebastian, 2011. "The Integration of the Conventional and Organic Wheat Market," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 115784, European Association of Agricultural Economists.
    10. Busse, Stefan & Brummer, Bernhard & Ihle, Rico, 2010. "The Pattern of Integration between Fossil Fuel and Vegetable Oil Markets: The Case of Biodiesel in Germany," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61010, Agricultural and Applied Economics Association.
    11. Holst, Carsten & von Cramon-Taubadel, Stephan, 2012. "Preistransmission Entlang Deutscher Wertschöpfungsketten Für Nahrungsmittel," 52nd Annual Conference, Stuttgart, Germany, September 26-28, 2012 137181, German Association of Agricultural Economists (GEWISOLA).
    12. Djuric, Ivan & Gotz, Linde & Glauben, Thomas, 2012. "Global commodity price peaks and governmental interventions: The case of the wheat-to-bread supply chain in Serbia – Did consumers really benefit?," 52nd Annual Conference, Stuttgart, Germany, September 26-28, 2012 133023, German Association of Agricultural Economists (GEWISOLA).
    13. Djuric, Ivan & Gotz, Linde & Glauben, Thomas, 2012. "Vertical Price Transmission in Serbian Wheat-to-Bread Supply Chain during the Global Commodity Price Peaks 2007/2008 and 2010/2011," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126775, International Association of Agricultural Economists.
    14. Busse, Stefan & Brümmer, Bernard & Ihle, Rico, 2010. "Interdependencies between fossil fuel and renewable energy markets: the German biodiesel market," DARE Discussion Papers 1010, Georg-August University of Göttingen, Department of Agricultural Economics and Rural Development (DARE).

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