Cointegration and spatial price transmission among wheat and wheat-flour markets in Afghanistan

Najibullah Hassanzoy, Shoichi Ito, Hiroshi Isoda, Yuichiro Amekawa

研究成果: ジャーナルへの寄稿記事

1 引用 (Scopus)

抄録

This article examines cointegration and spatial price transmission among Afghan wheat and flour markets as well as their linkages with those of supplier countries and global markets. Unit root tests, consistent momentum threshold autoregressive (M-TAR) models and vector error correction models (asymmetric and symmetric) are employed to achieve research objectives. The results suggest that provincial wheat and flour markets may have a long-run relationship with principal market of Kabul. Afghan wheat and flour markets may also be cointegrated with their respective global, Kazakh and Pakistani markets. While provincial wheat markets might adjust to divergence from their long-run equilibrium with Kabul wheat market, some of the provincial flour markets may not respond to deviation from their long-run equilibrium with Kabul flour market. The speed of adjustment towards the long-run Afghan–Pakistani and Afghan–Kazakh equilibrium may be faster for Afghan flour than wheat markets. The equilibrium adjustment coefficients are generally small and market imperfections may exist, however. A shock in Kabul wheat and flour markets may have long-lasting effect on the respective provincial markets whereas a shock in global wheat and Pakistani, and Kazakh wheat and flour markets might have transitory effect on the corresponding Afghan markets.

元の言語英語
ページ(範囲)2939-2955
ページ数17
ジャーナルApplied Economics
49
発行部数30
DOI
出版物ステータス出版済み - 6 27 2017

Fingerprint

Flour
Wheat
Cointegration
Price transmission
Afghanistan
Long-run equilibrium
Vector error correction model
Divergence
Long-run relationship
Momentum
Linkage
Market imperfections
Global market
Speed of adjustment
Threshold autoregressive model
Unit root tests
Adjustment coefficient
Deviation
Suppliers

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

これを引用

Cointegration and spatial price transmission among wheat and wheat-flour markets in Afghanistan. / Hassanzoy, Najibullah; Ito, Shoichi; Isoda, Hiroshi; Amekawa, Yuichiro.

:: Applied Economics, 巻 49, 番号 30, 27.06.2017, p. 2939-2955.

研究成果: ジャーナルへの寄稿記事

Hassanzoy, Najibullah ; Ito, Shoichi ; Isoda, Hiroshi ; Amekawa, Yuichiro. / Cointegration and spatial price transmission among wheat and wheat-flour markets in Afghanistan. :: Applied Economics. 2017 ; 巻 49, 番号 30. pp. 2939-2955.
@article{9fbbaf96f0624d0494b433f1b5a1293e,
title = "Cointegration and spatial price transmission among wheat and wheat-flour markets in Afghanistan",
abstract = "This article examines cointegration and spatial price transmission among Afghan wheat and flour markets as well as their linkages with those of supplier countries and global markets. Unit root tests, consistent momentum threshold autoregressive (M-TAR) models and vector error correction models (asymmetric and symmetric) are employed to achieve research objectives. The results suggest that provincial wheat and flour markets may have a long-run relationship with principal market of Kabul. Afghan wheat and flour markets may also be cointegrated with their respective global, Kazakh and Pakistani markets. While provincial wheat markets might adjust to divergence from their long-run equilibrium with Kabul wheat market, some of the provincial flour markets may not respond to deviation from their long-run equilibrium with Kabul flour market. The speed of adjustment towards the long-run Afghan–Pakistani and Afghan–Kazakh equilibrium may be faster for Afghan flour than wheat markets. The equilibrium adjustment coefficients are generally small and market imperfections may exist, however. A shock in Kabul wheat and flour markets may have long-lasting effect on the respective provincial markets whereas a shock in global wheat and Pakistani, and Kazakh wheat and flour markets might have transitory effect on the corresponding Afghan markets.",
author = "Najibullah Hassanzoy and Shoichi Ito and Hiroshi Isoda and Yuichiro Amekawa",
year = "2017",
month = "6",
day = "27",
doi = "10.1080/00036846.2016.1251563",
language = "English",
volume = "49",
pages = "2939--2955",
journal = "Applied Economics",
issn = "0003-6846",
publisher = "Routledge",
number = "30",

}

TY - JOUR

T1 - Cointegration and spatial price transmission among wheat and wheat-flour markets in Afghanistan

AU - Hassanzoy, Najibullah

AU - Ito, Shoichi

AU - Isoda, Hiroshi

AU - Amekawa, Yuichiro

PY - 2017/6/27

Y1 - 2017/6/27

N2 - This article examines cointegration and spatial price transmission among Afghan wheat and flour markets as well as their linkages with those of supplier countries and global markets. Unit root tests, consistent momentum threshold autoregressive (M-TAR) models and vector error correction models (asymmetric and symmetric) are employed to achieve research objectives. The results suggest that provincial wheat and flour markets may have a long-run relationship with principal market of Kabul. Afghan wheat and flour markets may also be cointegrated with their respective global, Kazakh and Pakistani markets. While provincial wheat markets might adjust to divergence from their long-run equilibrium with Kabul wheat market, some of the provincial flour markets may not respond to deviation from their long-run equilibrium with Kabul flour market. The speed of adjustment towards the long-run Afghan–Pakistani and Afghan–Kazakh equilibrium may be faster for Afghan flour than wheat markets. The equilibrium adjustment coefficients are generally small and market imperfections may exist, however. A shock in Kabul wheat and flour markets may have long-lasting effect on the respective provincial markets whereas a shock in global wheat and Pakistani, and Kazakh wheat and flour markets might have transitory effect on the corresponding Afghan markets.

AB - This article examines cointegration and spatial price transmission among Afghan wheat and flour markets as well as their linkages with those of supplier countries and global markets. Unit root tests, consistent momentum threshold autoregressive (M-TAR) models and vector error correction models (asymmetric and symmetric) are employed to achieve research objectives. The results suggest that provincial wheat and flour markets may have a long-run relationship with principal market of Kabul. Afghan wheat and flour markets may also be cointegrated with their respective global, Kazakh and Pakistani markets. While provincial wheat markets might adjust to divergence from their long-run equilibrium with Kabul wheat market, some of the provincial flour markets may not respond to deviation from their long-run equilibrium with Kabul flour market. The speed of adjustment towards the long-run Afghan–Pakistani and Afghan–Kazakh equilibrium may be faster for Afghan flour than wheat markets. The equilibrium adjustment coefficients are generally small and market imperfections may exist, however. A shock in Kabul wheat and flour markets may have long-lasting effect on the respective provincial markets whereas a shock in global wheat and Pakistani, and Kazakh wheat and flour markets might have transitory effect on the corresponding Afghan markets.

UR - http://www.scopus.com/inward/record.url?scp=84996570011&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84996570011&partnerID=8YFLogxK

U2 - 10.1080/00036846.2016.1251563

DO - 10.1080/00036846.2016.1251563

M3 - Article

AN - SCOPUS:84996570011

VL - 49

SP - 2939

EP - 2955

JO - Applied Economics

JF - Applied Economics

SN - 0003-6846

IS - 30

ER -