Mean-reversion and structural change in European food prices

Mean-reversion in unprocessed food prices and beef prices towards the long-run trend is examined for twenty-two European countries, using linear and nonlinear unit root tests. As the argument goes, food prices might display short-term deviations from their long-run values due to disturbances such as...

Full description

Bibliographic Details
Main Author: Kurmaş Akdoğan
Format: Article
Language:English
Published: Elsevier 2018-12-01
Series:Central Bank Review
Online Access:http://www.sciencedirect.com/science/article/pii/S1303070118301045
id doaj-050e097fcf6a468590cac5be3ff17f0f
record_format Article
spelling doaj-050e097fcf6a468590cac5be3ff17f0f2020-11-25T00:17:16ZengElsevierCentral Bank Review1303-07012018-12-01184163173Mean-reversion and structural change in European food pricesKurmaş Akdoğan0Central Bank of the Republic of Turkey, Structural Economic Research Department, Ulus, Ankara, 06100, TurkeyMean-reversion in unprocessed food prices and beef prices towards the long-run trend is examined for twenty-two European countries, using linear and nonlinear unit root tests. As the argument goes, food prices might display short-term deviations from their long-run values due to disturbances such as changes in climate or speculation; yet, once the impact of these short-lived shocks fade away, the prices convert to the long-run equilibrium level determined by fundamentals. The nonlinear smooth transition framework suggest that the speed of this adjustment might depend on the size and sign of the deviation of prices from their long-run values. The results carry important policy implications regarding the benefits of short-term demand management policies along with structural policies. Keywords: Food prices, Mean-reversion, Structural break, Nonlinearity, JEL classification: Q11, C32, C53http://www.sciencedirect.com/science/article/pii/S1303070118301045
collection DOAJ
language English
format Article
sources DOAJ
author Kurmaş Akdoğan
spellingShingle Kurmaş Akdoğan
Mean-reversion and structural change in European food prices
Central Bank Review
author_facet Kurmaş Akdoğan
author_sort Kurmaş Akdoğan
title Mean-reversion and structural change in European food prices
title_short Mean-reversion and structural change in European food prices
title_full Mean-reversion and structural change in European food prices
title_fullStr Mean-reversion and structural change in European food prices
title_full_unstemmed Mean-reversion and structural change in European food prices
title_sort mean-reversion and structural change in european food prices
publisher Elsevier
series Central Bank Review
issn 1303-0701
publishDate 2018-12-01
description Mean-reversion in unprocessed food prices and beef prices towards the long-run trend is examined for twenty-two European countries, using linear and nonlinear unit root tests. As the argument goes, food prices might display short-term deviations from their long-run values due to disturbances such as changes in climate or speculation; yet, once the impact of these short-lived shocks fade away, the prices convert to the long-run equilibrium level determined by fundamentals. The nonlinear smooth transition framework suggest that the speed of this adjustment might depend on the size and sign of the deviation of prices from their long-run values. The results carry important policy implications regarding the benefits of short-term demand management policies along with structural policies. Keywords: Food prices, Mean-reversion, Structural break, Nonlinearity, JEL classification: Q11, C32, C53
url http://www.sciencedirect.com/science/article/pii/S1303070118301045
work_keys_str_mv AT kurmasakdogan meanreversionandstructuralchangeineuropeanfoodprices
_version_ 1725380097906573312