40 research outputs found

    Nonlinear Models of Exchange Rate Pass-Through in International Forest Product Markets

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    Forest Products, International Price Linkages, Exchange Rate Pass-Through, Vector Error Correction Models (VECM), Thresholds, International Relations/Trade, Research Methods/ Statistical Methods,

    Copula-Based Nonlinear Models of Spatial Market Linkages

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    Replaced with revised version of paper 06/28/11.Spatial Market Linkages, Copula Models, State-dependence, Forest Products, Research Methods/ Statistical Methods,

    Modeling Nonlinearities in Farmland Values: A Dynamic Panel Threshold Error-Correction Model

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    Earlier studies usually indicate that farmland prices and cash rents are not cointegrated, a finding that seems at odds with the implications of the present value model. The main objective of this study is to explore whether this absence of empirical support for the present value model can be attributed to the restrictiveness of conventional time series methods. I suggest a panel unit root model with two regimes in which the adjustment process may be characterized by the presence of thresholds and discontinuities reflecting the presence of transactions costs and other barriers to adjustment. Using farmland value and cash rents data for 10 agricultural states of the U.S. between 1960 and 2008, empirical findings give modest improvement over the linear unit root process. It is suggested that there might be a bias caused by cross sectional dependence and an inadequate time span of the data

    The Use of Nonstationary Panel Time Series Data in the Analysis of Farmland Values

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    Time-series methods based on panel data are used to increase the power of conventional econometric tests of present value models commonly applied to studies of asset valuation. A second contribution is to allow for the presence of frictions in farmland markets by allowing for threshold nonlinearities in the empirical model. Using countylevel data on Iowa farmland prices and cash rental rates between 1987 and 2010, panel data unit root models that allow for switching-regimes provide evidence in favor of the present value models. In one regime, where a threshold in the spread between rents and values is yet to be reached, deviations are persistent and contribute to drive land prices away from their intrinsic values. Conversely, the other regime is characterized by strong mean reversion in which market valuation becomes closer to fundamental determinants of values

    Microcredit Programs, Poverty and Vulnerability in Rural Iran

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    The main purpose of this paper is to study if two major microcredit programs, namely Women Microcredit Funds (WMF) and Self-Help Groups (SHG), in Southern Iran reach rural poor and vulnerable households. We use primary panel data that consist of monthly consumption and income information for 280 households. The results showed that although both programs are successful at reaching poor, evidence on propensity of vulnerable households joining programs is relatively limited. Furthermore, results indicate that vulnerable households are more likely to join SHG, while poor households mostly choose to join WMF program
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