North American Oriented Strand Board Markets, Arbitrage Activity, and Market Price Dynamics: A Smooth Transition Approach

被引：43

作者：

Goodwin, Barry K. ^{[1
]}

Holt, Matthew T. ^{[2
]}

Prestemon, Jeffrey P.

机构：

[1] N Carolina State Univ, Dept Agr & Resource Econ, Raleigh, NC 27695 USA

[2] Univ Alabama, Dept Econ Finance & Legal Studies, Tuscaloosa, AL 35487 USA

来源：

AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS | 2011年 / 93卷 / 04期

关键词：

market integration; smooth transition; transactions costs; wood products; C22; C52; E30; Q23; Q27; PURCHASING POWER PARITY; AUTOREGRESSIVE TIME-SERIES; REAL EXCHANGE-RATES; THRESHOLD COINTEGRATION; NONLINEAR ADJUSTMENT; NUISANCE PARAMETER; LAW; TRADE; TESTS; EQUILIBRIUM;

D O I：

10.1093/ajae/aar024

中图分类号：

F3 [农业经济];

学科分类号：

0202 ; 020205 ; 1203 ;

摘要：

Price dynamics for North American oriented strand board markets are examined. The role of transactions costs are explored vis-a-vis the law of one price. Nonlinearities induced by unobservable transactions costs are modeled by estimating time-varying smooth transition autoregressions (TV-STARs). Results indicate that nonlinearity and structural change are important features of these markets; price parity relationships implied by economic theory are generally supported by the estimated models. Implications for the efficiency of spatial market linkages and the dynamics associated with price adjustments are also examined.

引用

页码：993 / 1014

页数：22

共 53 条

[1]

[Anonymous], 2002, ECONOMET REV, DOI [10.1081/ETC-120008723, DOI 10.1081/ETC-120008723]

[2]

[Anonymous], 2008, Nat. Hazards Rev, DOI [10.1061/(ASCE)1527-6988(2008)9:1(29), DOI 10.1061/(ASCE)1527-6988(2008)9:1(29)]

[3]

[Anonymous], 1999, Nonlinear Time Series Analysis of Economic and Financial Data

[4]

BAHMANIOSKOOEE A, 2008, SO EC J, V74, P1049

[5] The Commodity Terms of Trade, Unit Roots, and Nonlinear Alternatives: A Smooth Transition Approach [J].

Balagtas, Joseph V. ;

Holt, Matthew T. .

AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 2009, 91 (01) :87-105

[6] Threshold effects in price transmission: The case of Brazilian wheat, maize, and soya prices [J].

Balcombe, Kelvin ;

Bailey, Alastair ;

Brooks, Jonathan .

AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 2007, 89 (02) :308-323

[7]

Balke NS, 1997, INT ECON REV, V38, P627

[8] THE EQUILIBRIUM PRICING OF EXCHANGE-RATES AND ASSETS WHEN TRADE TAKES TIME [J].

BENNINGA, S ;

PROTOPAPADAKIS, A .

JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1988, 7 (02) :129-149

[9] COINTEGRATION BETWEEN US WHEAT MARKETS [J].

BESSLER, DA ;

FULLER, SW .

JOURNAL OF REGIONAL SCIENCE, 1993, 33 (04) :481-501

[10]

BUONGIORNO J, 1992, FOREST SCI, V38, P539

← 1 2 3 4 5 6 →