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

[41] Time-varying threshold cointegration and the law of one price [J].

Park, Haesun ;

Mjelde, James W. ;

Bessler, David A. .

APPLIED ECONOMICS, 2007, 39 (7-9) :1091-1105

[42] Nonlinear purchasing power parity under the gold standard [J].

Paya, I ;

Peel, DA .

SOUTHERN ECONOMIC JOURNAL, 2004, 71 (02) :302-313

[43] The net barter terms of trade:: A smooth transition approach [J].

Persson, A ;

Teräsvirta, T .

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2003, 8 (01) :81-97

[44] THE LIKELIHOOD DOMINANCE CRITERION - A NEW APPROACH TO MODEL SELECTION [J].

POLLAK, RA ;

WALES, TJ .

JOURNAL OF ECONOMETRICS, 1991, 47 (2-3) :227-242

[45] SOME EMPIRICAL-EVIDENCE ON COMMODITY ARBITRAGE AND LAW OF ONE PRICE [J].

RICHARDSON, JD .

JOURNAL OF INTERNATIONAL ECONOMICS, 1978, 8 (02) :341-351

[46]

ROTHE C, 2006, ALLGEMEINES STAT ARC, V90, P439

[47] Multivariate star analysis of money-output relationship [J].

Rothman, P ;

van Dijk, D ;

Franses, PH .

MACROECONOMIC DYNAMICS, 2001, 5 (04) :506-532

[48] Spatial market arbitrage and threshold cointegration [J].

Sephton, PS .

AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 2003, 85 (04) :1041-1046

[49] Modeling asymmetries and moving equilibria in unemployment rates [J].

Skalin, J ;

Teräsvirta, T .

MACROECONOMIC DYNAMICS, 2002, 6 (02) :202-241

[50] Nonlinear mean-reversion in real exchange rates: Toward a solution to the purchasing power parity puzzles [J].

Taylor, MP ;

Peel, DA ;

Sarno, L .

INTERNATIONAL ECONOMIC REVIEW, 2001, 42 (04) :1015-1042

← 1 2 3 4 5 6 →