Nonlinear adjustment toward long-run price equilibrium relationships in the sugar-ethanol-oil nexus in Brazil is examined. We develop generalized bivariate error correction models that allow for cointegration between sugar, ethanol, and oil prices, where dynamic adjustments are potentially nonlinear functions of the disequilibrium errors. A range of models are estimated using Bayesian Monte Carlo Markov Chain algorithms and compared using Bayesian model selection methods. The results suggest that the long-run drivers of Brazilian sugar prices are oil prices and that there are nonlinearities in the adjustment processes of sugar and ethanol prices to oil price but linear adjustment between ethanol and sugar prices. Copyright 2008, Oxford University Press.

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This paper outlines the concept of co‐integration and its use in econometric modelling. The techniques of co‐integration analysis are described, with particular emphasis given to test procedures. Co‐integration between two or more variables is taken to imply the existence of a long‐run equilibrium relationship between them. Co‐integration analysis is applied in a re‐examination of recent empirical models of the determination of land prices in England and Wales. The results suggest that recent land price models do not describe longrun relationships between land prices and the explanatory variables selected. Criticisms of the different measurements of returns to land used in studies to date are sustained by the analysis, and a clear role for interest rates in the determination of land prices is indicated.

ABSTRACT:We apply the recent generalized sup augmented Dickey-Fuller (GSADF) test for explosive bubbles (Phillips et al., 2012) to monthly time-series for food, beverages, agricultural raw material, cereals, dairy, meat, oils and sugar indices and a total of 28 agricultural commodities between 1980-2012. We found price bubbles occurred for 6 out of the 10 indices studied and for 6 out of the 28 commodities within food markets. Results from the tests can help implementing policies aimed at mitigating effects of future price bubbles to targeted food commodity markets that may require special attention.

We estimate rural household income uncertainties and welfare changes due to commodity price and production variability in Ghana and Peru under different scenarios for international and domestic market shocks. Uncertainties significantly affect the variability of household income, especially for households that are specialised in the production of few commodities. Wider exposure to international markets would increase the income variability for producers of commodities that are subjected to stabilisation policies in Ghana but would reduce the variability that rural households in Peru face. In terms of welfare, rural households in both countries are expected to gain if fully exposed to international markets.

A Bayesian model averaging approach to the estimation of lag structures is introduced and applied to assess the impact of (R&D) on agricultural productivity in the United States from 1889 to 1990. Lag and structural break coefficients are estimated using a reversible jump algorithm that traverses the model space. In addition to producing estimates and standard deviations for the coefficients, the probability that a given lag (or break) enters the model is estimated. The approach is extended to select models populated with gamma distributed lags of different frequencies. Results are consistent with the hypothesis that R&D positively drives productivity. Gamma lags are found to retain their usefulness in imposing a plausible structure on lag coefficients, and their role is enhanced through the use of model averaging.

This paper employs a latent variable approach to isolate the effects of changing tastes on the share of total meat expenditure on different categories of meat products in Greece during the period 1965–1995. We find that changes in the relative expenditure on different categories of meat cannot be explained by changes in the relative prices of the different meat products and increased expenditure alone. For pork products in particular, the increase in the share of expenditure has been greater than would be expected as a result of the relative fall in their price. The increase can therefore be associated with changes in taste. This finding is of general interest to those conducting empirical research into consumer behaviour both in economies where there have been significant changes in patterns of food consumption, and where, as in the case of many less industrialised economies, rapid structural changes in food consumption patterns are still to come. It is also of importance to policy makers in assessing die effectiveness of advertising or promotional campaigns in influencing longer term changes in consumer preferences for different products.