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Integração e assimetrias na transmissão de preços de café arábica no Brasil / Integration and asymmetries in Arabica coffee prices transmission in BrazilBaptista, Diana de Medeiros 16 September 2015 (has links)
O café foi de extrema importância para o desenvolvimento e a dinamização da economia brasileira desde meados do século XIX, quando já ocupava a posição de principal produto da pauta exportadora brasileira, aí se mantendo por quase um século. Nos dias atuais, apesar de ter passado por diversos momentos de instabilidade, o Brasil ainda é maior produtor e exportador mundial de café. Atualmente, com a desregulação pelo Estado, há uma mais organização estratégica e maior cooperação entre os agentes. Como o café é um produto típico de exportação, seu preço nas diferentes regiões do país está ligado aos preços internacionais. Teoricamente, os mercados estando interligados, devem ser observadas tendências temporais muito próximas entre as séries no longo prazo. Posto isso, o objetivo do presente trabalho é avaliar a integração e a transmissão de preços do café arábica negociado na bolsa ICE Futures US, em Nova York, para as regiões produtoras de café arábica dentro dos estados de São Paulo (Mogiana e Paulista), Paraná (Noroeste) e Minas Gerais (Cerrado e Sul). Para analisar a relação de assimetria entre os preços de café das bolsas e do mercado físico utiliza-se o modelo descrito por Cânedo-Pinheiro (2012) para o mercado de óleo diesel no Brasil e por Cunha e Wander (2014) para o mercado de feijão no Estado de São Paulo. Como resultados, observou-se a presença de integração entre as séries de preços nas regiões estudadas com os preços da bolsa ICE Futures US, tanto no curto como no longo prazo. Todas as séries apresentaram elasticidade de transmissão de preços maior do que a unidade. A assimetria de transmissão de preços foi verificada em todas as regiões estudadas, ou seja, reduções de preço no mercado internacional são repassadas com maior intensidade para o produtor do que aumentos, exceto no caso do Sul de Minas Gerais, onde os ajustes foram simétricos. Apesar da existência de assimetria no curto prazo, o estudo verificou que no longo prazo, para todas as regiões, a assimetria tende a se inverter e mesmo desaparecer, dependendo do período. No curto prazo, os ajustes de queda são repassados mais rapidamente que os aumentos, enquanto que no longo prazo a velocidade de ajustamento para os aumentos de preços é maior do que para reduções, com exceção da região Mogiana. / Coffee was one of the most important products for the development and dynamism of the Brazilian economy since the mid-nineteenth century, when it held the first position of Brazilian exports, and kept as first for nearly a century. Nowadays, despite of having gone through several moments of instability, Brazil is still the largest coffee producer and exporter in the world. Currently, with the deregulation of the state, there is a more strategic organization and greater cooperation among agents. Because coffee is a typical export product, it´s price in different regions of the country is linked to international prices. Therefore, the price series have the same long term tendency, for being linked. The objective of this study is to evaluate the integration and price transmission of arabica coffee, traded on ICE Futures US in New York, to the producing regions of arabica coffee in the states of São Paulo (Mogiana and Paulista), Paraná (Northeast) and Minas Gerais (Cerrado and South). In order to analyze the asymmetric price transmission between international coffee prices and Brazilian markets, the rule model for the diesel fuel market in Brazil, was the one described by Canedo-Pinheiro (2012), and for the dry bean market in the state of Sao Paulo, the model used by Cunha and Wander (2014). The findings confirm the presence of integration between the price series in the regions studied and the prices of ICE Futures US in both short and long term. All series had elasticity transmission rates greater than unity. The asymmetry in price transmission was present in all regions studied, ie price reductions in the international market are passed on with greater intensity for the producer than the increases, except in South of Minas Gerais, where adjustments were symmetrical. Even though there is short-term asymmetry, the study found that in the long run, asymmetry tends to reverse and even disappear, depending on the period, for all producer regions. Although the drop settings are passed on faster than the increases in the short term, in the long-term the speed adjustment for price increases is greater than for reductions, except Mogiana region.
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The alleged negative consequence of higher productivity : An empirical analysis on the effect of relative productivity on terms of tradeMalmström, Anna January 2007 (has links)
<p>The relationship between increased productivity and improved standard of living is not a questioned statement on the global level, but does productivity growth necessarily lead to higher standard of living on the national level? Supported by empirical results it is suggested that a high relative productivity growth should not always be worth striving for, since it translates into decreased welfare, in terms of deteriorated terms of trade. This study attempts to examine the impact of relative productivity on the terms of trade in the OECD-countries and in Sweden, with an error-correction model. Further is an extension of the purpose made in order to estimate the impact of increased relative productivity growth on the welfare. The results suggest that the method for measuring productivity has a great impact on the findings, but concludes that a 1% higher relative labour productivity growth is associated with a 0.23% decline in the terms of trade.</p>
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Study the relationship between real exchange rate and interest rate differential – United States and SwedenWang, Zhiyuan January 2007 (has links)
This paper uses co-integration method and error-correction model to re-examine the relationship between real exchange rate and expected interest rate differentials, including cumulated current account balance, over floating exchange rate periods. As indicated by the dynamic model, I find that there is a long run relationship among the variables using Johansen co-integration method. Final conclusion is that the empirical evidence is provided to show that our error-correction model leads to a good real exchange rate forecast.
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The alleged negative consequence of higher productivity : An empirical analysis on the effect of relative productivity on terms of tradeMalmström, Anna January 2007 (has links)
The relationship between increased productivity and improved standard of living is not a questioned statement on the global level, but does productivity growth necessarily lead to higher standard of living on the national level? Supported by empirical results it is suggested that a high relative productivity growth should not always be worth striving for, since it translates into decreased welfare, in terms of deteriorated terms of trade. This study attempts to examine the impact of relative productivity on the terms of trade in the OECD-countries and in Sweden, with an error-correction model. Further is an extension of the purpose made in order to estimate the impact of increased relative productivity growth on the welfare. The results suggest that the method for measuring productivity has a great impact on the findings, but concludes that a 1% higher relative labour productivity growth is associated with a 0.23% decline in the terms of trade.
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Monetary transmission mechanism in Taiwan- Application of FAVECM model.Lin, An-ni 06 July 2010 (has links)
This study discusses the monetary policy transmission mechanism in the different
channels. The analysis is conducted using generalized impulse response functions
derived from a factor-augmented vector error correction (FAVECM) model.
The FAVECM methodology as developed by Lee (2009) extends the factoraugmented
vector autoregression (FAVAR) model to analyze long-run and shortrun
dynamics of non-stationary variables. This recenly derived FAVECM model
combines the advantages of factor model and the VECM model.
The estimations are conducted using 174 macroeconomic time series in monthly
frequency for the period January 2000 to September 2009. Results indicate that
interbank call loan rate, deposit rate and prime lending rate are conintegrated,
which provides sufficient evidence of the existence of the credit channel in monetary
transmission system. Other GIRF results are generally consistent of the expected
monetary policy effectiveness.
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Purchasing power parity and exchange rate transmission channel analysis - Application of FAVECMPan, Ying-ying 15 July 2010 (has links)
This study revists Purchasing Power Parity (PPP) and discusses the monetary
policy transmission mechanism in exchange rate channels. The analysis is
conducted using generalized impulse response functions derived from a Factor-
Augmented Vector Error Correction (FAVECM) model.
The FAVECM methodology as developed by Lee (2009) extends the Factor-
Augmented Vector Autoregression (FAVAR) model to analyze long-run and shortrun
dynamics of non-stationary variables. This recently derived FAVECM model
combines the advantages of factor model and the VECM model.
The estimations are conducted using 157 macroeconomic time series in monthly
frequency for the period January 2000 to September 2009. Results indicate that
PPP exists and expansionary devaluation effect in Taiwan. Other GIRF results
are generally consistent of the expected exchange rate effectiveness.
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Segmented or Integrated? The Interaction between Taiwan Stock Market and Real Estate MarketYang, Chih-Yuan 27 July 2010 (has links)
As the two main components of household portfolios, stocks and real estate are likely to catch people¡¦s attention. Although the number of extant studies on the interaction between the stock and real estate markets is large, the views and empirical evidence in those studies show inconsistent results. This dissertation provides an explanation for the inconsistent results: market imperfection. Employing the threshold vector error correction model to examine the interaction between Taiwan¡¦s stock and real estate markets during the period from 1973Q2 to 2009Q4, the empirical results support this explanation. When the transaction benefit from the disequilibrium between the stock and real estate markets can cover the potential cost resulting from market imperfection, the relationship between the stock and real estate markets is integrated; but when there is slight disequilibrium, the price of real estate will not converge since the arbitrage benefit cannot cover the cost of transaction. As a result, the relationship is segmented. The empirical results of the study are very robust as similar conclusions result when different proxies for housing prices are used. The interactions between the stock and the sub-region housing markets also show similar results. Finally, when macroeconomic factors are considered, the asymmetric dynamic relationship is still significant.
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Stock Prices and Exchange Rate Dynamics:The Evidence for Asian AreaJian, Mei-yin 15 July 2011 (has links)
This study explores the dynamics between stock price and exchange rates through the cointegration methodology proposed by Herwartz and Luetkepohl (2011). Moreover, it consider the vector error correction model (VECM) with conditional heteroscedastic variance. And we use a feasible generalized least squares (FGLS) estimator to estimate the cointegrating vector.
This paper analysis some Asian countries' data from 1997 to 2010. The evidence result suggests that Malaysia and Singapor's stock price and exchange rate are positively related. But Hong Kong's stock price is negatively related to exchange rate.
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Empirical analysis of interest rate channel between Taiwan and U.SChen, Wen-ren 18 June 2012 (has links)
This paper applies a Factor-augmented error correction model proposed by Banerjee. A, Marcellino. M¡]2009¡^to measure the impact of the United States¡¦ monetary policy on Taiwan.
The FECM model has the following advantages. First, it has refined the dynamic factor model, since it allows us to include the error correction terms into equation. Second, we can improve FAVAR model¡¦s shortcomings, the common factor lack of economic interpretation, by using the method of Belviso. F, Milani. F¡]2006¡^. Third, the cointegration can analyze long-run and short-run dynamics of non-stationary variables. Forth, we propose the generalized impulse respone to analyze the FECM model, it doesn¡¦t require orthogonalization of shocks and is invariant to the ordering of the variables.
Finally, we indeed prove the interest rate channel does exist in Taiwan and United States through the method of FECM model.
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Factors that affect the share price index of Taiwan's solar energy industry¡Ðthe crude oil prices and industry scaleDeng, Yu-chi 19 June 2012 (has links)
This paper discusses the factors that affect the share price index of Taiwan solar power industry, crude oil prices and the size of the solar manufacturers in Taiwan and Taiwan's market index into the consideration. In addition, considering whether the policies implemented by our government would change the solar industry in Taiwan¡¦s stocks structural .Using the correlation coefficient, the unit root test, Chow test, cointegration test , vector error correction model, impulse response and forecast error variance decomposition to explore their relationship respectively. The study period starts from January 3,2002 until December 30,2011, a total of 2450 daily data for empirical analysis.
By Chow test , we find that there is no structural change of solar stock index after the implementation of the domestic policies. Three international crude oil prices and the total share capital of solar manufacturers in Taiwan and the Taiwan solar power industry stocks index has co-integration relationship, means the three international crude oil prices and solar companies total share capital of solar stock index has a long-run equilibrium relationship. By the error correction model of West Texas crude oil price of Brent crude oil prices, the total share capital of the solar companies in Taiwan and Taiwan solar stock index mutual interaction, and the relationship between changes in Taiwan's solar stock price index and Brent crude oil price, West Texas crude oil prices and the total manufacturers of solar energy manufacturers in Taiwan¡¦s share capital are positive, besides, I also found a positive relationship in the impulse response.
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