abstract comparison of food prices in different periods, indicates fluctuations and continually upward trend. any change in agricultural sector variables, as main food supplier, will affect food price. productivity shocks and production gap are examples of such variables. in this paper ,hodrick prescott and kalman filters are used as generators of productivity shocks and production gap series. ...

assumption of exchange rate overshooting has significant position in international macroeconomic discussion. this phenomenon is one of the abnormal behaviors of exchange rate that happen in short run. dornbusch (1976) shows that because speed of equilibrium prices is slow relative to asset markets and commodity prices are sticky in the short run, however, over time, commodity prices will rise a...

in this paper asymmetric price transmission mechanism and nonlinear adjustment between producer and retail prices of milk were examined in zanjan province of iran. for this purpose, a two-regime threshold vector error correction model (tvecm) and a sup-lm test developed by hansen and seo (2002) were employed for checking presence of a threshold effect. application of unit root tests indicated t...

This research compares partial equilibrium and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effectiveness of the two approaches when hedging commodity price risk using futures contracts. For various methods of parameter estimation and infe...

Using Vector Autoregressions on U.S. time series, the present paper documents the effects of fiscal policy on foreign trade: an increase in government spending significantly depreciates the nominal exchange rate, appreciates the terms of trade and increases net exports. Exposed to the same spending shock, a New Keynesian general equilibrium model is shown to match qualitatively the response of ...

This short note examines some time series evidence relating prices of exports and imports to the aggregate US wage over 34 years of falling tariffs starting in the mid 1960s. The cointegrated unit root series lead to error correction and vector autoregression models. The lost protection and changing traded prices lowered the US wage very slightly, by less than 1%. © 2007 Elsevier Inc. All right...

The analysis of macroeconomic variables for current situation in Iran indicates a Conundrum. Solving this puzzle is vital for Central Bank of Iran in order to choose an appropriate approach for monetary policy and banking supervision. Increase in liquidity growth rate, significant decrease of inflation rate and interest rate rigidity are the three sides of this puzzle. This study designs an inn...

Abstract This article is an empirical attempt to explore the relationship between sanctions (financial and non-financial), oil price shocks and Iran-Russian bilateral trade flows over the period 1991–2014. In contrast to earlier studies in which a gravity model has been estimated through a panel data approach, in this paper the authors apply a gravity model for only two countries and do the es...

Li, Maddala, and Rush (1995) proposed a low-pass spectral filter method to estimate cointegrating vectors in small samples. This paper tests the effectiveness of the approach in the presence of measurement error. Two other methods, valid under the assumption of stationarity, are also tested. Email: [email protected], [email protected] Keyword: Measurement error, cointegrating vector, filter...

Abstract The aim of this paper is to analyze the long-lasting dynamic relationship between credit default swap (CDS) premia and government bond spreads (GBS), with regard sovereign risk. practical focus evaluate whether CDS market effectively leading or lagging in risk price discovery process during last decade monetary easing. analysis extends all “sensitive” countries Eurozone, so-called “PII...