MODELLING IMPORT DEMAND SYSTEMS WITH NONSTATIONARY DATA: AN APPLICATION TO THE FRENCH IMPORTS OF VIRGIN OLIVE OIL

This paper aims to provide a flexible methodological framework to estimate import demand models, which explicitly considers the stochastic properties of data and the endogenous/exogenous nature of some variables. The French imports of virgin olive oil have been used as a case study with Spain, Italy and the Rest of the World as main suppliers. The methodological framework starts by the specification a reduced-form VAR. Appropriated exogeneity tests show the exogeneity of Total Real Imports, indicating the appropriateness of estimating a conditional model. Two cointegration relationships have been found. Several restrictions have been tested in order to identify them as AIDS equations. From structural coefficients of the restricted cointegrated vectors expenditure, own- and cross-prices elasticities are computed. Results show the leadership of Spanish exports to the French market. Italian exports compete in the French market with the Spanish exports, being highly dependent on Spanish domestic production conditions.Virgin olive oil, France, demand for imports, cointegration, and exogeneity., Demand and Price Analysis, International Relations/Trade, Research Methods/ Statistical Methods,

The EU demand for imports of virgin olive oil

This paper has analysed the import demand for virgin olive oil in the EU and more precisely in the Italian market, as it concentrates more than 80% of EU imports, aiming to determine the relative position of Mediterranean EU and non-EU countries exports and their degree of substitutability or complementarity. The methodology used is based on the specification of a Threshold Almost Ideal Demand System in which special attention has been paid to the stochastic properties of the series involved. In an empirical context, the paper has aimed to provide a set of import demand elasticities that can be useful in trade models. Results point to Spain as the leader in the Italian virgin olive oil market. It is expected that this position will be maintained in the future. Greece has improved its relative position after its accession into the EU. However, imports coming from Greece are highly dependent on the situation in Spain. Tunisia has good potential for future exports development as a consequence of new perspectives of trade liberalisation taking into account its relative position in the Italian market, in spite that its exports are currently constrained due to existing quotas.Olive oil, Italy, elasticities, imports, TAIDS, Demand and Price Analysis, International Relations/Trade,

International Equity Markets Co-movements And Contagion: A Novel Perspective

Our paper conducts an asset pricing perspective to investigate OECD equity markets co-movements and contagion during different crises.  The paper aims at distinguishing between changes in cross-markets linkages during a crisis, on the one hand, and strong but stable cross-markets linkages and permanent shifts in these linkages, on the other hand.  Our empirical setting relies on the three factor model of Bekeart and al. (2005, 2011) and differs by testing the co-movements in their double dimensions: interdependence and contagion during the Asian, the European Exchange Rate Mechanism (ERM) and the Global Financial crises in different regions.  Our results highlight the existence of cross-sectional patterns both in regional and USA market correlations with OECD equity markets.  Evidence of contagion exists during the ERM and the Global Financial crisis, but no contagion caused by the Asian crisis.  Our findings lead to an international diversification opportunity and suggest that contagion effects are not strongly related to high levels of global integration

Asymetric Price Transmission in the Spanish Lamb Sector

This paper aims to investigate the non-linear adjustments of prices between farm and retail prices in the lamb sector in Spain. The methodology used is based on the multivariate approach to specify and estimate a three-regime Threshold Autoregressive Model. Results indicate that in the long-run price transmission is perfect and any supply or demand shocks are fully transmitted along the marketing chain. In the short-run, price adjustments between the farm and the retail levels are asymmetric and are representative of a demand-pull transmission mechanism. On the other hand, retailers benefit from any shock, whether positive or negative, that affects supply or demand conditions.asymmetries, lamb, Spain, price transmission, Demand and Price Analysis, Livestock Production/Industries,

Price Transmission Asymmetries in the Spanish Lamb Sector

The analysis of asymmetries in the price transmission mechanism at different levels of the marketing chain provides some interesting information about the degree of competition in vertical related markets. The objective of this paper is to investigate the non-linear adjustments of prices along the lamb sector in Spain. The methodology used is based on the multivariate approach to specify and estimate a Threshold Autoregressive Model. Price relationships at farm, wholesale and retail levels are considered. Results indicate that in the long-run price transmission is perfect and any supply or demand shocks are fully transmitted to all prices in the system. In the shortrun, analyses suggest that the high degree of horizontal concentration among retailers allow them to have market power. Responses to any shock generate an increase of the retail price spread which is more evident when prices show an upward trend.Price transmission, asymmetries, TAR models, lamb, Spain, Demand and Price Analysis,

Full-scale measurement of the response of a CPV tracker structure prototype under wind load

The response of concentrated photovoltaic (CPV) structures under wind loading has to be carefully predicted to optimize the design of these structures. Designers normally rely on wind tunnel tests and equivalent static approaches as recommended by codes for the design of this type of nonconventional structures. This paper aims to evaluate the full scale wind response of a concentrated photovoltaic (CPV) prototype with mirror surface of 8 ∗ 16 m2 and correlate it with wind measurements made near the solar structure. The full-scale wind response of the structure was evaluated with continuous 10 min measurements of deformations on tower leg members during moderate wind events. The utility of this work derives from enriching field measurement data in order to understand the behavior of this type of structure and to validate the previous wind tunnel testing works. Standard wind design process based on the analytical method, which is adopted by ASCE 7, is also revisited in the light of the full scale observations

Theoretical Channels Of International Transmission During The Subprime Crisis To OECD Countries: A FAVAR Model Under Bayesian Framework

This paper studies whether and how U.S. shocks are transmitted to other OECD economies in the case of the Subprime Crisis. Using a large data set of 119 major financial and macroeconomic variables in 17 OECD countries from 1980:Q1 to 2006:Q2, we characterize the transmission channels by the interpretable factors and make a structural analysis using FAVAR models under a Bayesian approach. Our main findings suggest that differences exist in the contagion effects. This implies that no generalizations can be made for OECD countries even of equal economic size and in the same geographic region. Our results show that a large portion of the variance of domestic economic variables is explained by global factors and that the interest rate shock appears to play an important role in the spillover mechanism from the U.S to the OECD countries

Does Shift Contagion Exist Between OECD Stock Markets During The Financial Crisis?

This study tests whether contagion effects exist, during the financial crisis between the U.S stock market and the OECD ones. We define shift-contagion as a significant increase in correlations in stock returns after a shock. The identification of the break point, the financial crisis, is made by the structural break test of Bai-Perron (2003). Then, time-varying correlation coefficients are estimated by the Dynamic Conditional Correlation (DCC) Multivariate GARCH Model. In order to recognize the contagion effects, we test whether the mean of the DCC coefficients in post-crisis period differs from that in the pre-crisis stable period. Empirical findings show that the OECD stock markets have displayed a significant increase in the means of correlation coefficients between the pre-crisis and post-crisis periods. This proves the existence of contagion between the U.S and the studied markets

Asymmetric price transmission in the Spanish lamb sector

Preprin

Asimetrías en la transmisión de precios en el sector del tomate en España

Postprint (published version