发帖
雷达卡
英文文献：Spatial Analysis of Market Linkages in North Carolina Using Threshold Autoregression Models with Variable Transaction Costs-利用可变交易成本的阈值自回归模型对北卡罗来纳州市场联系的空间分析
英文文献作者：Bekkerman, Anton,Goodwin, Barry K.,Piggott, Nicholas E.
英文文献摘要：
In North Carolina, where soybeans and corn are the two primary crops, the recent increase in the demand for U.S. corn has triggered a shift of farm acreage from soybeans to corn, leading to a rapid rise in prices of both commodities. However, the rate of the price changes, as well as the price level, is significantly different in markets that are located in different parts of the state. This study extends the literature that examines linkages between spatially separated markets by using a threshold autoregressive model with a less restrictive assumption for estimating the transaction cost neutral band -- the band within which trade is not profitable. This generalization allows the neutral band of transactions costs to change according to various external factors, including fuel costs and seasonality. The estimation results indicate that for longer time series data, variable thresholds models statistically outperform the constant thresholds specification, and may provide a better representation of corn and soybean price data. Additionally, impulse response functions that use the asymmetric variable threshold model parameters indicate that the magnitude of the shock as well as the time-to-price-parity-equilibrium in the linked markets may be underestimated if a constant thresholds specification is implemented.
在北卡罗来纳州，大豆和玉米是该州的两种主要作物，近期对美国玉米的需求增加引发了农田面积从大豆转向玉米，导致这两种大宗商品的价格迅速上涨。但是，价格变动的速度和价格水平在州内不同地区的市场上有很大的不同。本研究扩展了研究空间分离市场之间联系的文献，使用一种阈值自回归模型，在估计交易成本中性区间(交易无利润的区间)时减少了限制性假设。这种概括允许交易成本的中性区间根据各种外部因素变化，包括燃料成本和季节性因素。估计结果表明，对于较长的时间序列数据，可变阈值模型在统计上优于常数阈值，可以更好地表征玉米和大豆的价格数据。此外，使用非对称可变阈值模型参数的脉冲响应函数表明，如果实施恒定阈值规范，冲击的幅度以及关联市场的时间-价格-均衡可能会被低估。
提升卡
置顶卡
沉默卡
变色卡
抢沙发
千斤顶
显身卡
京公网安备 11010802022788号
