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Wheat market integration between Hungary and Germany

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Author Info

  • Lajos Zolt�n Bakucs
  • Bernhard Br�mmer
  • Stephan von Cramon-Taubadel
  • Imre Fertő

Abstract

The aim of this article is to analyse the price transmission between German and Hungarian wheat producer prices using weekly prices. Markov-Switching Vector Error Correction Model (MS-VECM) with three regimes seems to appropriately capture the dynamics in the price relationship.

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File URL: http://hdl.handle.net/10.1080/13504851.2011.603688
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 19 (2012)
Issue (Month): 8 (May)
Pages: 785-788

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Handle: RePEc:taf:apeclt:v:19:y:2012:i:8:p:785-788

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  1. Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche 9421, Universite de Montreal, Departement de sciences economiques.
  2. Candelon, Bertrand & Lütkepohl, Helmut, 2000. "On the reliability of chow type test for parameter constancy in multivariate dynamic models," SFB 373 Discussion Papers 2000,95, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. repec:wop:humbsf:2000-95 is not listed on IDEAS
  4. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
  5. Philip J. Dawson & Ana I. Sanju�n & Ben White, 2006. "Structural Breaks and the Relationship between Barley and Wheat Futures Prices on the London International Financial Futures Exchange," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 28(4), pages 585-594.
  6. David A Bessler & Jian Yang & Metha Wongcharupan, 2003. "Price Dynamics in the International Wheat Market: Modeling with Error Correction and Directed Acyclic Graphs," Journal of Regional Science, Wiley Blackwell, vol. 43(1), pages 1-33.
  7. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
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