[Dynamic relationships and forecasting of regional prices for maize in Spain] | Relaciones dinámicas y predicción de los precios regionales del maíz en España
2003
Karahan, Ö.
The regional maize prices in Spain have been predicted using: Box and Jenkins univariate methodology; and the VAR multivariate methodology. Monthly maize prices (1991-1999) in Castilla La Mancha, Andalucía and Ebro regions of Spain and French monthly maize prices in Barcelona presented similar behaviour as reflected in the specifications of the ARIMA models. The cointegration relation detected among the series has advised a VAR in Error Correction Model form (VECM). Two cointegration vectors meant no perfect integration among the markets. Various tests and the related impulse functions corroborated the existence of two segmented markets. The leadership of the French price in the Spanish maize market was found to be apparent, particularly in the case of the Ebro region. The second equilibrium relation was found among the southern markets (Castilla La Mancha - Andalucía). Quantitative and qualitative analysis indicated that the VECM model is better than the ARIMA models, particularly in the longer term.
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