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Modeling transactions costs band and...

He, Dequan.

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Modeling transactions costs band and nonlinear price dynamics in forest commodity markets.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Modeling transactions costs band and nonlinear price dynamics in forest commodity markets./
作者:	He, Dequan.
面頁冊數:	206 p.
附註:	Source: Dissertation Abstracts International, Volume: 66-05, Section: A, page: 1883.
Contained By:	Dissertation Abstracts International66-05A.
標題:	Economics, Agricultural. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3175929
ISBN:	0542141663

Modeling transactions costs band and nonlinear price dynamics in forest commodity markets.
He, Dequan.

Modeling transactions costs band and nonlinear price dynamics in forest commodity markets. - 206 p.

Source: Dissertation Abstracts International, Volume: 66-05, Section: A, page: 1883.

Thesis (Ph.D.)--North Carolina State University, 2005.

This study first shows that a transactions costs band may exist in commodity spot and futures markets and spatially separated markets as a result of the arbitrage process. Then, by using a bivariate vector error correction model (VECM), this thesis shows that the null hypothesis of linearity can be rejected against the alternative of nonlinearity for both lumber spot and futures prices in U.S. and oriented strand board (OSB) prices across regions in North America. The nonlinearity is identified by a transition variable that governs switching between two regimes: one within the transactions cost band and one outside of the band. In the empirical analysis, a bivariate smooth transition vector error correction model (STVECM) is used to test market efficiency for lumber spot and futures prices and for the law of one price (LOP) as pertains to OSB prices across six regions in North America. Results support the market efficiency hypothesis and the LOP in the forest commodity markets. Furthermore, the empirical analysis suggests that when price differences surpass transactions costs by a large margin or are far away from the transactions band, a faster adjustment to the long run equilibrium is observed in part due to adjustment costs. When price differences are within the transactions band, they follow a random walk as no trade takes place. The in-sample analysis indicates that the STVECM model performs better than the linear VECM. Results from generalized impulse response functions (GIs) analysis show that system shocks may, in fact, change the time paths of prices permanently.

ISBN: 0542141663Subjects--Topical Terms:

626648
Economics, Agricultural.

Modeling transactions costs band and nonlinear price dynamics in forest commodity markets.
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100 1 $a He, Dequan. $3 1905615
245 1 0 $a Modeling transactions costs band and nonlinear price dynamics in forest commodity markets.
300 $a 206 p.
500 $a Source: Dissertation Abstracts International, Volume: 66-05, Section: A, page: 1883.
500 $a Director: Matthew T. Holt.
502 $a Thesis (Ph.D.)--North Carolina State University, 2005.
520 $a This study first shows that a transactions costs band may exist in commodity spot and futures markets and spatially separated markets as a result of the arbitrage process. Then, by using a bivariate vector error correction model (VECM), this thesis shows that the null hypothesis of linearity can be rejected against the alternative of nonlinearity for both lumber spot and futures prices in U.S. and oriented strand board (OSB) prices across regions in North America. The nonlinearity is identified by a transition variable that governs switching between two regimes: one within the transactions cost band and one outside of the band. In the empirical analysis, a bivariate smooth transition vector error correction model (STVECM) is used to test market efficiency for lumber spot and futures prices and for the law of one price (LOP) as pertains to OSB prices across six regions in North America. Results support the market efficiency hypothesis and the LOP in the forest commodity markets. Furthermore, the empirical analysis suggests that when price differences surpass transactions costs by a large margin or are far away from the transactions band, a faster adjustment to the long run equilibrium is observed in part due to adjustment costs. When price differences are within the transactions band, they follow a random walk as no trade takes place. The in-sample analysis indicates that the STVECM model performs better than the linear VECM. Results from generalized impulse response functions (GIs) analysis show that system shocks may, in fact, change the time paths of prices permanently.
590 $a School code: 0155.
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710 2 0 $a North Carolina State University. $3 1018772
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