Market integration for Chilean wheat prices using Vector Error Correction Models (VECM), a cointegration analysis: análisis de cointegración

Historically Chile has been a wheat net importer country. This situation, added to the small size of its economy, causes that the domestic price of this cereal is highly influenced by import prices of substitute wheat. This research analyzed the integration level of the Chilean wheat market with res...

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Autores principales:	Valdes,Rodrigo, von Cramon-Taubadel,Stephan, Díaz,José
Lenguaje:	English
Publicado:	Pontificia Universidad Católica de Chile. Facultad de Agronomía e Ingeniería Forestal 2011
Materias:	Cointegration analysis price band wheat cereal prices international market of commodities vector error correction model
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-16202011000100001
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spelling	oai:scielo:S0718-162020110001000012011-08-18Market integration for Chilean wheat prices using Vector Error Correction Models (VECM), a cointegration analysis: análisis de cointegraciónValdes,Rodrigovon Cramon-Taubadel,StephanDíaz,José Cointegration analysis price band wheat cereal prices international market of commodities vector error correction model Historically Chile has been a wheat net importer country. This situation, added to the small size of its economy, causes that the domestic price of this cereal is highly influenced by import prices of substitute wheat. This research analyzed the integration level of the Chilean wheat market with respect to the USA and Argentinean markets using a vector error correction model (VECM), the impact of the band prices (D-BAND) and the change of the band mechanism introduced in 2004 (D-MECH) by the inclusion of two binary variables in the VECM. The results showed strong market integration among Argentina, Chile and USA, with USA leading the market. Additionally, the price of the Chilean wheat was influenced by the USA and Argentina prices. The binary variables, included in the models, showed that this system had been useful to protect the domestic market by reducing the fluctuations of the wheat prices (D-BAND), and the new mechanism performs as a protection over the international fluctuations (D-MECH). Both coefficients presented non-significative values, probably due to the difference among the input cost and the domestic price support mechanism, the sub-valuated commodities markets, increment on cereal price levels, inflationary scenarios and low number of observations.info:eu-repo/semantics/openAccessPontificia Universidad Católica de Chile. Facultad de Agronomía e Ingeniería ForestalCiencia e investigación agraria v.38 n.1 20112011-04-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-16202011000100001en10.4067/S0718-16202011000100001
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Cointegration analysis price band wheat cereal prices international market of commodities vector error correction model
spellingShingle	Cointegration analysis price band wheat cereal prices international market of commodities vector error correction model Valdes,Rodrigo von Cramon-Taubadel,Stephan Díaz,José Market integration for Chilean wheat prices using Vector Error Correction Models (VECM), a cointegration analysis: análisis de cointegración
description	Historically Chile has been a wheat net importer country. This situation, added to the small size of its economy, causes that the domestic price of this cereal is highly influenced by import prices of substitute wheat. This research analyzed the integration level of the Chilean wheat market with respect to the USA and Argentinean markets using a vector error correction model (VECM), the impact of the band prices (D-BAND) and the change of the band mechanism introduced in 2004 (D-MECH) by the inclusion of two binary variables in the VECM. The results showed strong market integration among Argentina, Chile and USA, with USA leading the market. Additionally, the price of the Chilean wheat was influenced by the USA and Argentina prices. The binary variables, included in the models, showed that this system had been useful to protect the domestic market by reducing the fluctuations of the wheat prices (D-BAND), and the new mechanism performs as a protection over the international fluctuations (D-MECH). Both coefficients presented non-significative values, probably due to the difference among the input cost and the domestic price support mechanism, the sub-valuated commodities markets, increment on cereal price levels, inflationary scenarios and low number of observations.
author	Valdes,Rodrigo von Cramon-Taubadel,Stephan Díaz,José
author_facet	Valdes,Rodrigo von Cramon-Taubadel,Stephan Díaz,José
author_sort	Valdes,Rodrigo
title	Market integration for Chilean wheat prices using Vector Error Correction Models (VECM), a cointegration analysis: análisis de cointegración
title_short	Market integration for Chilean wheat prices using Vector Error Correction Models (VECM), a cointegration analysis: análisis de cointegración
title_full	Market integration for Chilean wheat prices using Vector Error Correction Models (VECM), a cointegration analysis: análisis de cointegración
title_fullStr	Market integration for Chilean wheat prices using Vector Error Correction Models (VECM), a cointegration analysis: análisis de cointegración
title_full_unstemmed	Market integration for Chilean wheat prices using Vector Error Correction Models (VECM), a cointegration analysis: análisis de cointegración
title_sort	market integration for chilean wheat prices using vector error correction models (vecm), a cointegration analysis: análisis de cointegración
publisher	Pontificia Universidad Católica de Chile. Facultad de Agronomía e Ingeniería Forestal
publishDate	2011
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-16202011000100001
work_keys_str_mv	AT valdesrodrigo marketintegrationforchileanwheatpricesusingvectorerrorcorrectionmodelsvecmacointegrationanalysisanalisisdecointegracion AT voncramontaubadelstephan marketintegrationforchileanwheatpricesusingvectorerrorcorrectionmodelsvecmacointegrationanalysisanalisisdecointegracion AT diazjose marketintegrationforchileanwheatpricesusingvectorerrorcorrectionmodelsvecmacointegrationanalysisanalisisdecointegracion
_version_	1714202128159866880

Market integration for Chilean wheat prices using Vector Error Correction Models (VECM), a cointegration analysis: análisis de cointegración

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