Spatial Market Efficiency and Policy Regime Change: Seemingly Unrelated Error Correction Model Estimation

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Show simple item record Thompson, Stanley en Sul, Donggyu en Bohl, Martin en 2006-11-30T20:53:35Z en 2006-11-30T20:53:35Z en 2002 en
dc.identifier.citation Department of Economics Working Paper Series 240 en
dc.identifier.uri en
dc.description Now published as a Journal Article in American Journal of Agricultural Economics Volume 84 Issue 4 Page 1042 - November 2002 doi:10.1111/1467-8276.00366 en
dc.description.abstract We investigate the degree to which the wheat markets of France, Germany and the United Kingdom are in spatial equilibrium and how reforms to the CAP affect the speed of convergence to the long-run relationship. Due to the interrelationship among these markets and the nonstationarity of our data we introduce a seemingly unrelated regression augmented Dickey-Fuller and error correction methodology. We argue this methodology is more efficient than ordinary cointegration and error correction models. Empirically we find strong evidence of efficient spatial markets and conformity to the law of one price. Market liberalization reforms in the EU increased the comovement of domestic and world wheat prices; our post-Uruguay Round price transmission elasticity was 0.183. en
dc.format.extent application/pdf en
dc.format.mimetype text en
dc.language.iso en en
dc.publisher Department of Economics, University of Auckland en
dc.relation.ispartofseries Department of Economics Working Paper Series (1997-2006) en
dc.rights Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. en
dc.rights.uri en
dc.subject.other error correction model en
dc.subject.other Economics en
dc.title Spatial Market Efficiency and Policy Regime Change: Seemingly Unrelated Error Correction Model Estimation en
dc.type Working Paper en
dc.identifier.doi 10.1111/1467-8276.00366 en
dc.rights.holder Copyright: the author en
dc.rights.accessrights en Economics en

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