IDEAS home Printed from https://ideas.repec.org/p/got/gotcrc/100.html
   My bibliography  Save this paper

State-Space Cointegration Modeling for the Analysis of Exogenous Shocks to Prices in Israeli-Palestinian Food Trade

Author

Listed:
  • Rico Ihle

    (Georg-August-University Göttingen)

  • Linde Götz

    (IAMO, Halle)

  • Ofir D. Rubin

    (Ben-Gurion University of the Negev)

Abstract

The Israeli-Palestinian conflict constitutes a prominent example of a long-lasting political conflict which has major consequences for the livelihoods of the people on both sides. The agricultural sectors of the Palestinian and Israeli economies are tightly connected. However, various security measures occasionally implemented in consequence of the political conflict between Israelis and Palestinians strongly inhibit the movement of people and commodities. In order to obtain evidence on the impacts of such abrupt trade impediments on price dynamics, we estimate a vector error correction model in state space form employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price interdependencies on a short-term scale.

Suggested Citation

  • Rico Ihle & Linde Götz & Ofir D. Rubin, 2011. "State-Space Cointegration Modeling for the Analysis of Exogenous Shocks to Prices in Israeli-Palestinian Food Trade," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 100, Courant Research Centre PEG.
  • Handle: RePEc:got:gotcrc:100
    as

    Download full text from publisher

    File URL: http://www2.vwl.wiso.uni-goettingen.de/courant-papers/CRC-PEG_DP_100.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Barry K. Goodwin & Nicholas E. Piggott, 2001. "Spatial Market Integration in the Presence of Threshold Effects," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 83(2), pages 302-317.
    2. Bernhard Brümmer & Stephan von Cramon-Taubadel & Sergiy Zorya, 2009. "The impact of market and policy instability on price transmission between wheat and flour in Ukraine," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 36(2), pages 203-230, June.
    3. Mainardi, Stefano, 2001. "Limited arbitrage in international wheat markets: threshold and smooth transition cointegration," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 45(3), September.
    4. Carvalho, Vasco M. & Harvey, Andrew C., 2005. "Growth, cycles and convergence in US regional time series," International Journal of Forecasting, Elsevier, vol. 21(4), pages 667-686.
    5. Honaker, James & King, Gary & Blackwell, Matthew, 2011. "Amelia II: A Program for Missing Data," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 45(i07).
    6. Anne Neumann & Boriss Siliverstovs & Christian von Hirschhausen, 2006. "Convergence of European spot market prices for natural gas? A real-time analysis of market integration using the Kalman Filter," Applied Economics Letters, Taylor & Francis Journals, vol. 13(11), pages 727-732.
    7. Bekaert, Geert & Harvey, Campbell R, 1995. " Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
    8. Hamilton, James D., 1988. "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 385-423.
    9. Rico Ihle & Joseph Amikuzuno, 2010. "Assessing Seasonal Asymmetric Price Transmission in Ghanaian Tomato Markets With the Johansen Estimation Method," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 53, Courant Research Centre PEG.
    10. Haldane, A G & Hall, S G, 1991. "Sterling's Relationship with the Dollar and the Deutschemark: 1976-89," Economic Journal, Royal Economic Society, vol. 101(406), pages 436-443, May.
    11. Allan M. Walburger & Kenneth A. Foster, 1998. "Determination of Focal Pricing Regions for U.S. Fed Cattle," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 80(1), pages 84-95.
    12. Jerez, Miguel & Casals, Jose & Sotoca, Sonia, 2005. "Growth, cycles, and convergence in US regional time series: A personal point of view," International Journal of Forecasting, Elsevier, vol. 21(4), pages 687-689.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    cointegration; error correction; Israel; Palestinian territories; price transmission; state space model; time-varying parameters;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D74 - Microeconomics - - Analysis of Collective Decision-Making - - - Conflict; Conflict Resolution; Alliances; Revolutions
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
    • F15 - International Economics - - Trade - - - Economic Integration

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:got:gotcrc:100. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dominik Noe). General contact details of provider: http://www.uni-goettingen.de/en/82144.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.