FAO COMMODITY AND TRADE POLICY RESEARCH WORKING PAPER No. 7
FAO COMMODITY AND TRADE POLICY RESEARCH WORKING PAPER
No. 7

Price Transmission in Selected Agricultural Markets

Piero Conforti
Basic Foodstuffs Service (ESCB)
Commodities and Trade Division
March 2004

 

Table of Contents


FAO Commodity and Trade Policy Research Working Papers are published by the Commodities and Trade Division of the Food and Agriculture Organization of the United Nations (FAO). They are working documents and do not reflect the opinion of FAO or its member governments.

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© FAO 2004


ACKNOWLEDGEMENTS

The author is indebted to Merritt Cluff, Adam Prakash and George Rapsomanikis for useful comments and suggestions on earlier versions of this paper. Responsibility for errors lies only with the author.


Table of Contents

ABSTRACT / RÉSUMÉ / RESUMEN

1 INTRODUCTION

2 PRICE TRANSMISSION AND MARKET INTEGRATION

3 PRICE TRANSMISSION PARAMETERS IN STRUCTURAL MODELS

4 THE ESCB PRICE DATABASE

5 AN ECONOMETRIC FRAMEWORK FOR ANALYSING PRICE TRANSMISSION

6 THE RESULTS

6.1 The annual price series
6.2 The monthly price series

6.2.1 Costa Rica
6.2.2 Egypt
6.2.3 Ethiopia
6.2.4 Ghana
6.2.5 Indonesia
6.2.6 Senegal
6.2.7 Turkey

7 CONCLUDING REMARKS

REFERENCES

FIGURES

TABLES

Table 1. Key to names of variables
Table 2. Brazil. Co-integration tests and ARDL long run coefficients (annual data)
Table 3. Chile. Co-integration tests and ARDL long run coefficients (annual data)
Table 4. Costa Rica. Co-integration tests and ARDL long run coefficients (annual data)
Table 5. Egypt. Co-integration tests and ARDL long run coefficients (annual data)
Table 6. Ghana. Co-integration tests and ARDL long run coefficients (annual data)
Table 7. India. Co-integration tests and ARDL long run coefficients (annual data)
Table 8. Indonesia. Co-integration tests and ARDL long run coefficients (annual data)
Table 9. Mexico. Co-integration tests and ARDL long run coefficients (annual data)
Table 10. Pakistan. Co-integration tests and ARDL long run coefficients (annual data)
Table 11. Senegal. Co-integration tests and ARDL long run coefficients (annual data)
Table 12. Thailand. Co-integration tests and ARDL long run coefficients (annual data)
Table 13. Turkey. Co-integration tests and ARDL long run coefficients (annual data)
Table 14. Uganda. Co-integration tests and ARDL long run coefficients (annual data)
Table 15. Uruguay. Co-integration tests and ARDL long run coefficients (annual data)
Table 16. Costa Rica. Co-integration tests, ARDL long run coefficients, and ECM representations (montlhy data)
Table 17. Costa Rica. Tests for Granger causality (monthly data)
Table 18. Costa Rica: ECM model with dummy variables for positive residuals of the static model (monthly data)
Table 19. Egypt. Co-integration tests, ARDL long run coefficients and ECM representations (monthly data)
Table 20. Egypt. Tests for Granger causality (monthly data)
Table 21. Egypt. ECM models with dummy variables for positive residuals of the static model (monthly data)
Table 22. Ethiopia. Co-integration tests, ARDL long run coefficients and ECM representations (monthly data)
Table 23. Ethiopia. Tests for Granger causality (monthlydata)
Table 24. Ethiopia. ECM model with dummy variables for positive residuals of the static model (monthly data)
Table 25. Ghana. Co-integration tests, ARDL long run coefficients and ECM representations (monthly data)
Table 26. Ghana. Tests for Granger causality (monthly data)
Table 27. Ghana. ECM model with dummy variables for positive residuals of the static model (monthly data
Table 28. Indonesia. Co-integration tests, ARDL long run coefficients and ECM representation (monthly data)
Table 29. Indonesia. Tests for Granger causality (monthly data)
Table 30. Indonesia. ECM model with dummy variables for positive residuals of the static model
Table 31. Senegal. Co-integration tests, ARDL long run coefficients and ECM representation (monthly data)
Table 32. Senegal. Tests for Granger causality (monthly data)
Table 33. Senegal. ECM model with dummy variables for positive residuals of the static model (monthly data)
Table 34. Turkey. Co-integration tests, ARDL long run coefficients and ECM representation (monthly data)
Table 35. Turkey. Tests for Granger causality (monthly data)
Table 36. Turkey. ECM model with dummy variables for positive residuals of the static model (monthly data)
Table 37. Summary of results

APPENDIX: RESULTS OF THE UNIT ROOT TESTS

Table A1. World reference prices: results of the unit root tests (annual data)
Table A2. Brazil. Results of the unit root tests (annual data)
Table A3. Chile. Results of the unit root tests (annual data)
Table A4. Costa Rica. Results of the unit root tests (annual data)
Table A5. Egypt. Results of the unit root tests (annual data)
Table A6. Ghana. Results of the unit root tests (annual data)
Table A7. India. Results of the unit root tests (annual data)
Table A8. Indonesia. Results of the unit root tests (annual data)
Table A9. Mexico. Results of the unit root tests (annual data)
Table A10. Pakistan. Results of the unit root tests (annual data)
Table A11. Senegal. Results of the unit root tests (annual data)
Table 12. Thailand. Results of the unit root tests (annual data)
Table A13. Turkey. Results of the unit root tests (annual data)
Table A14. Uganda. Results of the unit root tests (annual data)
Table A15. Uruguay. Results of the unit root tests (annual data)
Table A16. World reference prices: results of the unit root tests (monthly data)
Table A17. Results of the unit root tests for Costa Rica (monthly data)
Table A19. Results of the unit root tests for Ethiopia (monthly data)
Table A20. Results of the unit root tests fopr Ghana (monthly data)
Table A21. Results of the unit root tests for Indonesia (monthly data)
Table A22. Results of the unit root tests for Senegal

FAO COMMODITY AND TRADE POLICY RESEARCH WORKING PAPERS