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Price thresholds, price volatility, and the private costs of investment in a developing country grain market

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  • Shively, Gerald E.

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  • Shively, Gerald E., 2001. "Price thresholds, price volatility, and the private costs of investment in a developing country grain market," Economic Modelling, Elsevier, vol. 18(3), pages 399-414, August.
    • Handle: RePEc:eee:ecmode:v:18:y:2001:i:3:p:399-414
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    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    2. Frederick V. Waugh, 1944. "Does the Consumer Benefit from Price Instability?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 58(4), pages 602-614.
    3. Pindyck, Robert S, 1991. "Irreversibility, Uncertainty, and Investment," Journal of Economic Literature, American Economic Association, vol. 29(3), pages 1110-1148, September.
    4. Michael G. Papaioannou & Tugrul Temel, 1993. "Portfolio Performance of the SDR and Reserve Currencies: Tests Using the ARCH Methodology," IMF Staff Papers, Palgrave Macmillan, vol. 40(3), pages 663-679, September.
    5. Li, C W & Li, W K, 1996. "On a Double-Threshold Autoregressive Heteroscedastic Time Series Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 253-274, May-June.
    6. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
    7. Duncan, Alex & Jones, Stephen, 1993. "Agricultural marketing and pricing reform: A review of experience," World Development, Elsevier, vol. 21(9), pages 1495-1514, September.
    8. Gerald E. Shively, 1996. "Food Price Variability and Economic Reform: An ARCH Approach for Ghana," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(1), pages 126-136.
    9. Alderman, Harold & Shively, Gerald, 1996. "Economic reform and food prices: Evidence from markets in Ghana," World Development, Elsevier, vol. 24(3), pages 521-534, March.
    10. Badiane, Ousmane & Shively, Gerald E., 1998. "Spatial integration, transport costs, and the response of local prices to policy changes in Ghana," Journal of Development Economics, Elsevier, vol. 56(2), pages 411-431, August.
    11. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    12. Paul A. Samuelson, 1972. "The Consumer Does Benefit from Feasible Price Stability," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 86(3), pages 476-493.
    13. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    14. Kim, Chang-Jin, 1994. "Dynamic linear models with Markov-switching," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 1-22.
    15. Alderman, Harold, 1993. "Intercommodity Price Transmittal: Analysis of Food Markets in Ghana," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(1), pages 43-64, February.
    16. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
    17. Samuelson, Paul A, 1976. "Is Real-World Price a Tale Told by the Idiot of Chance?," The Review of Economics and Statistics, MIT Press, vol. 58(1), pages 120-123, February.
    18. Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-547, August.
    19. Christopher Barrett, 1997. "Heteroscedastic price forecasting for food security management in developing countries," Oxford Development Studies, Taylor & Francis Journals, vol. 25(2), pages 225-236.
    20. Abel, Andrew B, 1983. "Optimal Investment under Uncertainty," American Economic Review, American Economic Association, vol. 73(1), pages 228-233, March.
    21. Paul A. Samuelson, 1972. "Rejoinder," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 86(3), pages 500-503.
    22. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Chang, Chia-Lin & Huang, Biing-Wen & Chen, Meng-Gu & McAleer, Michael, 2011. "Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1491-1506.
    2. Matthias Kalkuhl & Lukas Kornher & Matthias Kalkuhl & Irfan Mujahid, 2015. "Food price volatility in developing countries – the role of trade and storage," EcoMod2015 8415, EcoMod.
    3. Gerald Shively & Ganesh Thapa, 2017. "Markets, Transportation Infrastructure, and Food Prices in Nepal," American Journal of Agricultural Economics, John Wiley & Sons, vol. 99(3), pages 660-682, April.
    4. Bannikova N.V. & Sulieva K.S. & Orel, Y.V., 2015. "Parametres Forecasting Of Russian Grain Market In The Long And Short Term," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 15(1), pages 77-92.
    5. Huang, Biing-Wen & Chen, Meng-Gu & Chang, Chia-Lin & McAleer, Michael, 2009. "Modelling risk in agricultural finance: Application to the poultry industry in Taiwan," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1472-1487.
    6. Chang, C-L. & Huang, B-W. & Chen, M-G., 2010. "Modelling the Asymmetric Volatility in Hog Prices in Taiwan," Econometric Institute Research Papers EI 2010-46, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

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