메뉴 건너뛰기




Volumn 18, Issue 3, 2001, Pages 399-414

Price thresholds, price volatility, and the private costs of investment in a developing country grain market

Author keywords

C32; D4; D81; Food price variability; Ghana; Investment under uncertainty; Q13; Threshold ARCH

Indexed keywords


EID: 0011126252     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0264-9993(00)00046-8     Document Type: Article
Times cited : (10)

References (39)
  • 1
    • 0001537962 scopus 로고
    • Optimal investment under uncertainty
    • Abel A.B. Optimal investment under uncertainty. Am. Econ. Rev. 73:(1):1983;228-233.
    • (1983) Am. Econ. Rev. , vol.73 , Issue.1 , pp. 228-233
    • Abel, A.B.1
  • 2
    • 0003274850 scopus 로고
    • Marketing and price incentives in African and Asian countries: A comparison
    • D. Elz. Washington, DC: The World Bank
    • Ahmed R., Rustagi N. Marketing and price incentives in African and Asian countries: a comparison. Elz D. Agricultural Marketing Strategy and Pricing Policy. 1987;The World Bank, Washington, DC.
    • (1987) Agricultural Marketing Strategy and Pricing Policy
    • Ahmed, R.1    Rustagi, N.2
  • 3
    • 84981601586 scopus 로고
    • Intercommodity price transmittal: Analysis of markets in Ghana
    • Alderman H. Intercommodity price transmittal: analysis of markets in Ghana. Oxford Bull. Econ. Stat. 55:(1):1993;43-64.
    • (1993) Oxford Bull. Econ. Stat. , vol.55 , Issue.1 , pp. 43-64
    • Alderman, H.1
  • 4
    • 0030458778 scopus 로고    scopus 로고
    • Economic reform and food prices: Evidence from markets in Ghana
    • Alderman H., Shively G.E. Economic reform and food prices: evidence from markets in Ghana. World Dev. 24:1996;521-534.
    • (1996) World Dev. , vol.24 , pp. 521-534
    • Alderman, H.1    Shively, G.E.2
  • 5
    • 0031754710 scopus 로고    scopus 로고
    • Spatial integration, arbitrary costs, and the response of local prices to policy changes in Ghana
    • Badiane O., Shively G.E. Spatial integration, arbitrary costs, and the response of local prices to policy changes in Ghana. J. Dev. Econ. 56:1998;411-431.
    • (1998) J. Dev. Econ. , vol.56 , pp. 411-431
    • Badiane, O.1    Shively, G.E.2
  • 6
    • 0031472716 scopus 로고    scopus 로고
    • Heteroskedastic price forecasting for food security management in developing countries
    • Barrett C.B. Heteroskedastic price forecasting for food security management in developing countries. Oxford Dev. Stud. 25:(2):1997;225-236.
    • (1997) Oxford Dev. Stud. , vol.25 , Issue.2 , pp. 225-236
    • Barrett, C.B.1
  • 7
    • 0022846929 scopus 로고
    • Behavioral and material determinants of production relations in agriculture
    • Binswanger H.P., Rosenzweig M.R. Behavioral and material determinants of production relations in agriculture. J. Dev. Stud. 22:1986;503-539.
    • (1986) J. Dev. Stud. , vol.22 , pp. 503-539
    • Binswanger, H.P.1    Rosenzweig, M.R.2
  • 8
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev T. Generalized autoregressive conditional heteroskedasticity. J. Econ. 31:1986;149-163.
    • (1986) J. Econ. , vol.31 , pp. 149-163
    • Bollerslev, T.1
  • 9
    • 0000375581 scopus 로고
    • A conditional heteroskedastic time series model for speculative prices and rates of return
    • Bollerslev T. A conditional heteroskedastic time series model for speculative prices and rates of return. Rev. Econ. Stat. 69:1987;542-547.
    • (1987) Rev. Econ. Stat. , vol.69 , pp. 542-547
    • Bollerslev, T.1
  • 10
    • 0000134506 scopus 로고
    • On the sign of the investment-uncertainty relationship
    • Caballero R.J. On the sign of the investment-uncertainty relationship. Am. Econ. Rev. 81:(1):1991;279-288.
    • (1991) Am. Econ. Rev. , vol.81 , Issue.1 , pp. 279-288
    • Caballero, R.J.1
  • 11
    • 0001040447 scopus 로고
    • Testing for threshold autoregression
    • Chan K.S. Testing for threshold autoregression. Ann. Stat. 18:1990;1886-1894.
    • (1990) Ann. Stat. , vol.18 , pp. 1886-1894
    • Chan, K.S.1
  • 12
    • 84963034558 scopus 로고
    • On the behavior of commodity prices
    • Deaton A., Laroque G. On the behavior of commodity prices. Rev. Econ. Stud. 59:1992;1-23.
    • (1992) Rev. Econ. Stud. , vol.59 , pp. 1-23
    • Deaton, A.1    Laroque, G.2
  • 14
    • 0027713784 scopus 로고
    • Agricultural marketing and pricing reform: A review of experience
    • Duncan A., Jones S. Agricultural marketing and pricing reform: a review of experience. World Dev. 21:1993;1495-1514.
    • (1993) World Dev. , vol.21 , pp. 1495-1514
    • Duncan, A.1    Jones, S.2
  • 15
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflations
    • Engle R. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflations. Econometrica. 50:1982;987-1008.
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.1
  • 16
    • 84963146757 scopus 로고
    • Modeling the persistence of conditional variances
    • Engle R.F., Bollerslev T. Modeling the persistence of conditional variances. Econ. Rev. 5:1986;1-87.
    • (1986) Econ. Rev. , vol.5 , pp. 1-87
    • Engle, R.F.1    Bollerslev, T.2
  • 18
    • 45149138487 scopus 로고
    • Analysis of time series subject to changes in regime
    • Hamilton J.D. Analysis of time series subject to changes in regime. J. Econ. 45:1990;39-70.
    • (1990) J. Econ. , vol.45 , pp. 39-70
    • Hamilton, J.D.1
  • 20
    • 0004279082 scopus 로고
    • The policy of government storage of foodstuffs and raw materials
    • Keynes J.M. The policy of government storage of foodstuffs and raw materials. Econ. J. 48:1938;449-460.
    • (1938) Econ. J. , vol.48 , pp. 449-460
    • Keynes, J.M.1
  • 21
    • 0002634803 scopus 로고
    • Dynamic linear models with Markov-switching
    • Kim C.-J. Dynamic linear models with Markov-switching. J. Econ. 60:1994;1-22.
    • (1994) J. Econ. , vol.60 , pp. 1-22
    • Kim, C.-J.1
  • 22
    • 0001240387 scopus 로고
    • Agricultural incentives in developing countries: Measuring the effects of sectoral and economy wide policies
    • Krueger A.O., Schiff M., Valdés A. Agricultural incentives in developing countries: measuring the effects of sectoral and economy wide policies. World Bank Econ. Rev. 2:1988;255-271.
    • (1988) World Bank Econ. Rev. , vol.2 , pp. 255-271
    • Krueger, A.O.1    Schiff, M.2    Valdés, A.3
  • 23
    • 21344443427 scopus 로고    scopus 로고
    • On a double-threshold autoregressive heteroscedastic time series model
    • Li C.W., Li W.K. On a double-threshold autoregressive heteroscedastic time series model. J. Appl. Econ. 11:1996;253-274.
    • (1996) J. Appl. Econ. , vol.11 , pp. 253-274
    • Li, C.W.1    Li, W.K.2
  • 25
    • 0000641348 scopus 로고
    • Conditional heteroskedasticity in asset returns: A new approach
    • Nelson D.B. Conditional heteroskedasticity in asset returns: a new approach. Econometrica. 59:1991;347-370.
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.B.1
  • 27
    • 0041529471 scopus 로고
    • Portfolio performance of the SDR and reserve currencies: Tests using the ARCH methodology
    • Papaioannou M.G., Temel T. Portfolio performance of the SDR and reserve currencies: tests using the ARCH methodology. Int. Monet. Fund Staff Pap. 40:1993;663-679.
    • (1993) Int. Monet. Fund Staff Pap. , vol.40 , pp. 663-679
    • Papaioannou, M.G.1    Temel, T.2
  • 28
    • 0001146404 scopus 로고
    • A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
    • Petruccelli J., Davies N. A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series. Biometrika. 73:1986;687-694.
    • (1986) Biometrika , vol.73 , pp. 687-694
    • Petruccelli, J.1    Davies, N.2
  • 29
    • 0000281418 scopus 로고
    • Irreversibility, uncertainty, and investment
    • Pindyck R.S. Irreversibility, uncertainty, and investment. J. Econ. Lit. 29:1991;1110-1148.
    • (1991) J. Econ. Lit. , vol.29 , pp. 1110-1148
    • Pindyck, R.S.1
  • 31
    • 0000175626 scopus 로고
    • The consumer does benefit from feasible price stability
    • Samuelson P.A. The consumer does benefit from feasible price stability. Q. J. Econ. 86:1972;476-493.
    • (1972) Q. J. Econ. , vol.86 , pp. 476-493
    • Samuelson, P.A.1
  • 32
    • 0038945207 scopus 로고
    • Is real-world price a tale told by the idiot of chance?
    • Samuelson P.A. Is real-world price a tale told by the idiot of chance? Rev. Econ. Stat. 58:1976;120-123.
    • (1976) Rev. Econ. Stat. , vol.58 , pp. 120-123
    • Samuelson, P.A.1
  • 33
    • 0030478439 scopus 로고    scopus 로고
    • Food price variability and economic reform: An ARCH approach for Ghana
    • Shively G.E. Food price variability and economic reform: an ARCH approach for Ghana. Am. J. Agric. Econ. 78:1996;126-136.
    • (1996) Am. J. Agric. Econ. , vol.78 , pp. 126-136
    • Shively, G.E.1
  • 35
    • 84950428199 scopus 로고
    • Testing and modeling threshold autoregressive processes
    • Tsay R.S. Testing and modeling threshold autoregressive processes. J. Am. Stat. Assoc. 84:1989;231-240.
    • (1989) J. Am. Stat. Assoc. , vol.84 , pp. 231-240
    • Tsay, R.S.1
  • 36
    • 84963022474 scopus 로고
    • Does the consumer benefit from price instability?
    • Waugh F.V. Does the consumer benefit from price instability? Q. J. Econ. 58:1944;602-614.
    • (1944) Q. J. Econ. , vol.58 , pp. 602-614
    • Waugh, F.V.1
  • 37
    • 0000641188 scopus 로고
    • The theory of price of storage
    • Working H. The theory of price of storage. Am. Econ. Rev. 39:1949;1254-1262.
    • (1949) Am. Econ. Rev. , vol.39 , pp. 1254-1262
    • Working, H.1
  • 39
    • 0000560198 scopus 로고
    • Threshold heteroskedastic models
    • Zakoian J.-M. Threshold heteroskedastic models. J. Econ. Dyn. Control. 18:1994;931-955.
    • (1994) J. Econ. Dyn. Control , vol.18 , pp. 931-955
    • Zakoian, J.-M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.