| dc.contributor.advisor | Cramon-Taubadel, Stephan von Prof. Dr. | de |
| dc.contributor.author | Abunyuwah, Isaac | de |
| dc.date.accessioned | 2013-01-22T15:45:47Z | de |
| dc.date.available | 2013-01-30T23:50:58Z | de |
| dc.date.issued | 2008-05-14 | de |
| dc.identifier.uri | http://hdl.handle.net/11858/00-1735-0000-000D-F156-3 | de |
| dc.identifier.uri | http://dx.doi.org/10.53846/goediss-3452 | |
| dc.description.abstract | Die Konzepte der Marktintegration (MI) und
Zwischenmarktpreisdynamik im internatio-nalen Handel, Warenmärkten
und Industrieorganisationsgebieten stehen in direkter Ver-bindung
zu Marktleistungsfähigkeit, Wettbewerbsfähigkeit und verschiedenen
politischen Strategien. Demzufolge haben die Mess- und Prüfprobleme
in der MI Analyse im Laufe der Jahre beträchtliche Aufmerksamkeit
erhalten. Bedingt durch die Breite des Konzeptes ist es zur
Einführung und die Entwicklung von divergierenden Mess-Techniken
gekom-men.
In dieser Studie werden die Komplexitäten der Marktintegration und
der Preisübertra-gungsdynamik innerhalb von
Zwischenmarktgleichgewicht-Bedingungen bewertet. Dabei sind Quellen
und Implikationen von spezifischen Defiziten der gegenwärtigen
nichtlinea-ren Marktintegrationsmodelle ausgehoben worden. Die
Studie hat das Markov-Switching Gleichgewicht-Modell als eine
vereinigende Ansicht für die umfassende Marktintegrati-onsanalyse
vorgeschlagen und bewiesen. Die Flexibilität des Markovschen
Rahmens wird innerhalb der Schwelle (TAR) Formulierungen verwendet,
um sowohl Zwischen-markt-Gleichgewichtprozesse als auch Ergebnisse
abzuleiten. In Anlehnung an die Mo-dellierungstechnik der
eingeordneten Autoregression haben wir gezeigt, dass die durch
Transaktionskosten auferlegten Komplikationen mit
stichprobenaufspaltenden Techniken beseitigt werden können. Daher
haben wir durch eine zusammengefügte Übung in der These
demonstriert, dass die Flexibilität der Markovsche Formulierungen
ihnen erlaubt, sowohl Anpassungstriebkräfte, die die
Preisübertragungsökonometrie unterstützen als auch
Gleichgewicht-Bedingungen, die die Parität-gebundenes Modell (PBM)
treiben, zu behandeln. | de |
| dc.format.mimetype | application/pdf | de |
| dc.language.iso | eng | de |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/ | de |
| dc.title | Market Integration Analysis and Time-series Econometrics: Conceptual Insights from Markov-switching Models | de |
| dc.type | doctoralThesis | de |
| dc.title.translated | Marktintegrationsanalyse und Zeitreihenökonometrie: Begriffseinblicke aus den Markov-Switching Modellen | de |
| dc.contributor.referee | Bernard Brümmer Prof. Dr. | de |
| dc.date.examination | 2008-01-31 | de |
| dc.subject.dnb | 630 Landwirtschaft, Veterinärmedizin | de |
| dc.subject.gok | YG 000 | de |
| dc.description.abstracteng | The concept of market integration (MI) and
inter-markets price dynamics in international trade, commodity
markets and industrial organisation domains have directly been
linked to market efficiency, competitiveness and various policy
strategies. Consequently, measurement and testing issues in MI
analysis have received considerable attention over the years. The
broadness of the concept in particular has however resulted in
introduction and development of diverging measurement techniques.
Two major lines of MI assessment methods have emerged within
agricultural markets studies; namely, price transmission
econometrics- formulated within time series framework and the
Parity Bound Model (PBM). The later is an arbitrage-based measure
of inter-markets outcomes evaluated along spatial equilibrium
conditions. Major advancements have been achieved in these
methodological lines in their respective settings over the last
decade. Thus, notwithstanding the fact that insights from the above
two lines of market integration analysis raise important market
policy, measurement and theoretical questions under specific
inter-market conditions, they have not been combined effectively so
far. Formulating a robust technique that comprehensively confronts
market integration analysis (MIA) without seriously ignoring
fundamental theoretical concepts and their implications has
remained a challenge. While the time series characteristics of
markets inter-relationships carry important policy and
methodological implications, they impose analytical complexities
when other crucial elements of market integration concept such as
transactions cost, arbitrage and spatial equilibrium conditions are
to be directly reflected.
In view of the above challenge, the study operationalised a working
definition for MI as both process and outcome of inter-market
relations manifested in an existence of one price ( in relation to
cost of trade), price transmission and or physical flow of goods
between the markets. In effect, various weaknesses and strengths of
existing tools were theoretically explained in section three of the
study. Notably, how the concept of tradability and time dynamics in
arbitrage responses can lead to misleading conclusions under the
PBM approach has been systematically explained and demonstrated by
the study. In section three, the regime switching implications
imposed by spatial equilibrium and arbitrage conditions were linked
to the concept of multiple equilibria in time space.
To accommodate both inter-markets processes and outcomes, we have
proposed Markov switching models as an alternative regime switching
tool to both the PBM and current time series price transmission
econometrics tools. Specifically, the proposed Markov switching
model (MS-VEM) combines the basic threshold autoregressive
structure from the PTE and arbitrage-based equilibrium conditions
implied by the PBM. Based on the theoretical foundation built in
section three, all arbitrage conditions are decomposed into their
respective time path characteristics within the concept of rent
irreversibility. Following the modelling technique of arranged
autoregression (usually applied in threshold models), we have shown
that the complications imposed by transactions cost can be
eliminated by sample splitting techniques. We have consequently,
demonstrated in the thesis through a synthesised exercise that the
flexibility of Markovian formulations allows them to handle both
adjustments dynamics that underpin the PTE and the equilibrium
conditions that drive the PBM. | de |
| dc.contributor.coReferee | Sperlich, Stefan Prof. Dr. | de |
| dc.subject.topic | Agricultural Sciences | de |
| dc.subject.ger | Marktintegration | de |
| dc.subject.ger | Arbitrage | de |
| dc.subject.ger | Raumgleichgewicht | de |
| dc.subject.ger | Markov-Switching | de |
| dc.subject.eng | market integration | de |
| dc.subject.eng | Parity Bound Model | de |
| dc.subject.eng | arbitrage and spatial equilibrium conditions | de |
| dc.subject.eng | Markov-switching model | de |
| dc.subject.bk | 48.18 | de |
| dc.identifier.urn | urn:nbn:de:gbv:7-webdoc-1776-9 | de |
| dc.identifier.purl | webdoc-1776/ | de |
| dc.identifier.ppn | 584436491 | de |