An Econometric Analysis Of The Effects Of Market Liberalization On Price Dynamics And Price Volatility
AbstractThe paper investigates price dynamics under market liberalization, with a focus on the effects of lowering price floors. We analyze price dynamics by specifying and estimating a dynamic Tobit model under time-varying volatility, where the market price is censored by a government-set support price. The model is applied to the U.S. butter market over the last three decades. The econometric results show how the price support program affects both expected prices and the volatility of prices. It is found that the censoring effects of a price support program can be significant and large even if the price support is set relatively low.
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Bibliographic InfoPaper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2001 Annual meeting, August 5-8, Chicago, IL with number 20649.
Date of creation: 2001
Date of revision:
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Demand and Price Analysis;
Other versions of this item:
- Jean-Paul Chavas & Kwansoo Kim, 2006. "An econometric analysis of the effects of market liberalization on price dynamics and price volatility," Empirical Economics, Springer, vol. 31(1), pages 65-82, March.
- D4 - Microeconomics - - Market Structure and Pricing
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- Q0 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General
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