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Estimating Sources Of Fluctuations In The Australian Wool Market: An Application Of Var Methods

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  • Robert J. Myers
  • Roley R. Piggott
  • William G. Tomek

Abstract

Vector autoregression (VAR) methods are used to analyse the contribution of supply, demand and policy shocks to unpredictable fluctuations in the market for Australian wool. VAR procedures are compared with conventional structural econometric models as methods for decomposing sources of instability. While each has advantages and disadvantages, VAR procedures might be viewed as preferable when the underlying market structure is complex and uncertain, as it is in the case of wool. Based on the results obtained, demand shocks are the dominant source of uncertainty in the wool market in the absence of Australian Wool Corporation intervention, but intervention has blunted their effects, reducing market uncertainty and increasing the average level of prices and revenues.
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Suggested Citation

  • Robert J. Myers & Roley R. Piggott & William G. Tomek, 1990. "Estimating Sources Of Fluctuations In The Australian Wool Market: An Application Of Var Methods," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 34(3), pages 242-262, December.
  • Handle: RePEc:bla:ajarec:v:34:y:1990:i:3:p:242-262
    DOI: j.1467-8489.1990.tb00498.x
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    References listed on IDEAS

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    1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    2. Fisher, Brian S., 1983. "Rational Expectations In The Australian Wool Industry," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 27(03), December.
    3. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    4. Campbell, Rachel & Gardiner, B. & Haszler, Henry, 1980. "On The Hidden Revenue Effects Of Wool Price Stabilisation In Australia: Initial Results," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 24(01), April.
    5. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    6. Richardson, Bob, 1982. "On The Hidden Revenue Effects Of Wool Price Stabilisation In Australia: Initial Results - A Comment," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 26(01), April.
    7. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
    8. R. Campbell & B. Gardiner & H. Haszler, 1980. "On The Hidden Revenue Effects Of Wool Price Stabilisation In Australia: Initial Results," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 24(1), pages 1-15, April.
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    Cited by:

    1. Phillips, Shauna & Bewley, Ronald A., 1991. "The Effects Of Flexible Exchange Rates On Australian Wool Prices," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 35(01), April.
    2. Wenshou Yan, 2016. "Political Economy of Trade and Storage Policies Coordination, and the Role of Domestic Public Storage in the World Market," School of Economics Working Papers 2016-16, University of Adelaide, School of Economics.
    3. F. In & S. N. Onchoke, 1995. "The Sources Of Commodity Export Revenue Variability In The South Pacific Island Nations," Journal of Agricultural Economics, Wiley Blackwell, vol. 46(2), pages 214-226.
    4. Jayne, Thomas S. & Meyers, Robert J. & Nyoro, James K., 2005. "Effects of Government Maize Marketing and Trade Policies on Maize Market Prices in Kenya," Food Security Collaborative Working Papers 55162, Michigan State University, Department of Agricultural, Food, and Resource Economics.
    5. STEVEN C. BLANK & COLIN A. CARTER & JEFFREY McDONALD, 1997. "Is The Market Failing Agricultural Producers Who Wish To Manage Risks?," Contemporary Economic Policy, Western Economic Association International, vol. 15(3), pages 103-112, July.
    6. Mather, David & Zavale, Hélder & Cunguara, Benedito & Tschirley, David, 2016. "Analysis of Food Commodity Prices in Mozambique before and after the 2007/08 International Food Price Crisis," Miscellaneous Publications 251854, Michigan State University, Department of Agricultural, Food, and Resource Economics.
    7. Zavale, Helder & Myers, Robert & Tschirley, David, 2015. "Market Level Effects of World Food Program Local and Regional Procurement of Food Aid in Africa," 2015 Conference, August 9-14, 2015, Milan, Italy 211862, International Association of Agricultural Economists.
    8. Moir, Brian & Piggott, Roley R., 1991. "Combinations Of Buffer-Stocks And Buffer-Funds For Wool Price Stabilisation In Australia," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 35(01), April.
    9. Barros, Geraldo Sant'Ana de Camargo, 1992. "Effects of international shocks and domestic macroeconomic policies upon Brazilian agriculture," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 7(3-4), October.

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