Wheat / Flour Price Transmission and Agricultural Policies in Ukraine: A Markov-Switching Vector Error Correction Approach
AbstractThe analysis of price transmission between raw and processed agricultural products in transition countries is complicated by the frequently changing conditions on their way from plan to market. We utilise a Markov-switching vector error correction model to allow for multiple regime shifts in the price relationship between wheat and wheat flour in Ukraine from June 2000 to November 2004. The analysis reveals four regimes. The observed temporal pattern of these regimes can be matched with certain political and economic events in Ukraine. In particular, we find a strong link between the 'high uncertainty' regime and discretionary policy interventions in 2003.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by European Association of Agricultural Economists in its series 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark with number 24624.
Date of creation: 2005
Date of revision:
Markov-switching vector error correction model; vertical price transmission; regime shifts; grain policies; Ukraine; Demand and Price Analysis; Industrial Organization; C22; Q11; Q18;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
- Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Krolzig, Hans-Martin & Marcellino, Massimiliano & Mizon, Grayham E., 2000.
"A Markov-switching vector equilibrium correction model of the UK labour market,"
Discussion Paper Series In Economics And Econometrics
0105, Economics Division, School of Social Sciences, University of Southampton.
- Massimiliano Marcellino & Grayham E. Mizon & Hans-Martin Krolzig, 2002. "A Markov-switching vector equilibrium correction model of the UK labour market," Empirical Economics, Springer, vol. 27(2), pages 233-254.
- Hans-Martin Krolzig & Massimiliano Marcellino & Grayham E. Mizon, . "A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market," Working Papers 185, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- repec:wop:humbsf:2000-95 is not listed on IDEAS
- Krolzig, H.-M. & Toro, J., 2001. "A New Approach To The Analysis Of Business Cycle Transitions In A Model Of Output And Employment," Economics Series Working Papers 9959, University of Oxford, Department of Economics.
- 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.
- Candelon, Bertrand & Lutkepohl, Helmut, 2001. "On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models," Economics Letters, Elsevier, vol. 73(2), pages 155-160, November.
- Candelon, Bertrand & Lütkepohl, Helmut, 2001. "On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models," Open Access publications from Maastricht University urn:nbn:nl:ui:27-19703, Maastricht University.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).
If references are entirely missing, you can add them using this form.