World price variability versus protectionism in agriculture: a causality analysis
Article Abstract:
The causal relationship between protectionism in agriculture and unanticipated global price variability is studied. Results of non-parametric and parametric causality tests show that governments intervene differently in agriculture across countries and sectors. Protectionism either has a positive or insignificant effect on world price variability, contrary to recently-suggested theoretical developments. The non-parametric stance can be used to show weak causal relations.
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1993
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Trading mechanisms and price volatility: spot versus futures
Article Abstract:
An analysis of spot and futures prices is presented. Natural and temporal estimators are applied to evaluate the volatility of both market price types by using data from the Major Market Index and its futures prices. It is shown that daytime U-shaped volatility patterns are not necessarily generated by trading variables. In addition, substitution of a temporal estimator for it natural counterpart makes the U-shaped patterns disappear.
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1993
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Testing for Granger's full causality
Article Abstract:
The presence of a complete causal relationship between two variables is tested by projecting distributions using univariate and bivariate representations for one variable. The test is applied to live and slaughter cattle futures markets. Results suggest that cattle futures prices fully cause cash prices.
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1992
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