Re-examining the exchange rate pass-through into import prices using non-linear estimation techniques: Threshold cointegration

Al-Abri, Almukhtar; Goodwin, Barry K.

doi:10.1016/j.iref.2007.09.005

Cited by 33 publications

(8 citation statements)

References 12 publications

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“…In the recent past, there have been a large number of studies that use threshold cointegration to analyze price relations among commodity markets (Abdulai, ; Abidoye & Labuschagne, ; Al‐Abri & Goodwin, ; Balcombe, Bailey, & Brooks, ; Ghoshray, ; Goodwin & Piggott, ; Gouveia & Rodrigues, ; Jamora & Von Cramon Taubadel, ; Meyer, ). Threshold models were introduced by Balke and Fomby (), who argued that a price change in one market may be too small to overcome another market's transaction costs and generate a price response from that market.…”

Section: Garbade and Silber Modelmentioning

confidence: 99%

Determination of the international maize price: What is the growing role of Brazil and Ukraine?

Arnade

Hoffman

2019

Agricultural Economics

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This paper examines the relationships among maize prices for four countries to determine if newly emerging exporters, Brazil and Ukraine, influence the international price of maize. Our work focuses on each market's participation in the price discovery process rather than trying to determine a price leader. We find that the United States plays the largest role in price discovery, followed by Argentina, Brazil, and Ukraine. We also search for export thresholds and find that Ukraine's contribution to price discovery rises slightly when an export threshold of 2.3 million tons is reached. No export thresholds were found for Brazil. Export thresholds for Argentina were found but only have a minor impact on price relationships. We also found that price relationships vary considerably across seasons of the year. K E Y W O R D Sexport quantity thresholds, international maize market, price discovery, price participation, seasonality

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Section: Garbade and Silber Modelmentioning

confidence: 99%

Determination of the international maize price: What is the growing role of Brazil and Ukraine?

Arnade

Hoffman

2019

Agricultural Economics

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“…11 Al-Abri and Goodwin (2009) state that the fact that these goods are homogenous and that their prices are quoted in US dollars allows a fast adjustment of local prices. 12 We use rolling estimates because these will probably exhibit changes in coefficients more quickly than recursive estimates.…”

Section: What Drives Exchange Rate Pass-through?mentioning

confidence: 99%

Exchange Rate Pass-Through into German Import Prices – A Disaggregated Perspective

2013

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The working papers published in the Series constitute work in progress circulated to stimulate discussion and critical comments. Views expressed represent exclusively the authors' own opinions and do not necessarily refl ect those of the editors. Terms of use: Documents in Ruhr Economic Papers #427

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“…The basic framework may be further modified if ERPT effects are regime specific, that is, if the impact of exchange rates on import prices varies with either the magnitude or direction of adjustment of some other variable. For example, as Al-Abri and Goodwin (2009) and Larue et al (2010) note, the markup equation in (5) might be such that the exchange rate response parameter, , varies depending on the size (or sign) of an exchange rate adjustment. For relatively small moves, exporters may decide not to adjust the markup due to menu costs.…”

Section: Conceptual Frameworkmentioning

confidence: 99%

“…(6) should now be viewed as a cointegrating regression, thereby reflecting the long-run relationship between the two price variables and the exchange rate variable. Following Al-Abri and Goodwin (2009) and Balke and Fomby (1997), we estimate the (unrestricted) version of (6), although we employ the dynamic OLS cointegration estimator due to Stock and Watson (1993) in order to obtain efficient parameter estimates. In implementing the estimator, the AIC was used to choose the number of leads and lags-in this case, two-to include in the regression.…”

Section: Data: Preliminary Propertiesmentioning

confidence: 99%

Nonlinear exchange rate pass-through in timber products: The case of oriented strand board in Canada and the United States

Goodwin

Holt

Prestemon

2019

The North American Journal of Economics and Finance

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We assess exchange rate pass-through (ERPT) for U.S. and Canadian prices for oriented strand board (OSB), a structural wood panel product used extensively in U.S. residential construction. Because of its prominence in construction and international trade, OSB markets are likely sensitive to general economic conditions. In keeping with recent research, we examine regimespecific ERPT effects; we use a smooth transition vector error correction model. We also consider ERPT asymmetries associated with a measure of general macroeconomic activity. Our results indicate that during expansionary periods ERPT is modest, but during downturns, ERPT effects are larger.

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Re-examining the exchange rate pass-through into import prices using non-linear estimation techniques: Threshold cointegration

Cited by 33 publications

References 12 publications

Determination of the international maize price: What is the growing role of Brazil and Ukraine?

Determination of the international maize price: What is the growing role of Brazil and Ukraine?

Exchange Rate Pass-Through into German Import Prices – A Disaggregated Perspective

Nonlinear exchange rate pass-through in timber products: The case of oriented strand board in Canada and the United States

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