The Impact of Market and Policy Instability on Price Transmission between Wheat and Flour in Ukraine

Analysis of price transmission in transition countries is often complicated by unstable policy environments. We use a Markov-switching vector error-correction model (MSVECM) to model multiple regime shifts in the relationship between wheat and wheat flour prices in Ukraine from June 2000 to November...

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Main Authors:	Brummer, Bernhard, von Cramon-Taubadel, Stephan, Zorya, Sergiy
Format:	Journal Article
Language:	EN
Published:	2012
Subjects:	Collectives Communes Agriculture P320 Agriculture: Aggregate Supply and Demand Analysis Prices Q110 Agricultural Policy Food Policy Q180
Online Access:	http://hdl.handle.net/10986/5469

id	okr-10986-5469
recordtype	oai_dc
spelling	okr-10986-54692021-04-23T14:02:22Z The Impact of Market and Policy Instability on Price Transmission between Wheat and Flour in Ukraine Brummer, Bernhard von Cramon-Taubadel, Stephan Zorya, Sergiy Collectives Communes Agriculture P320 Agriculture: Aggregate Supply and Demand Analysis Prices Q110 Agricultural Policy Food Policy Q180 Analysis of price transmission in transition countries is often complicated by unstable policy environments. We use a Markov-switching vector error-correction model (MSVECM) to model multiple regime shifts in the relationship between wheat and wheat flour prices in Ukraine from June 2000 to November 2004. Unlike common alternative error correction specifications, the MSVECM does not require an explicit transition variable but rather permits changes between regimes to depend on an unobserved state variable. The analysis reveals four regimes whose timing coincides with political and economic events in Ukraine. Strong coincidence between a 'high-uncertainty' regime and discretionary policy interventions suggests that policy responses to fluctuations in Ukrainian harvests may have amplified instability. 2012-03-30T07:32:59Z 2012-03-30T07:32:59Z 2009 Journal Article European Review of Agricultural Economics 01651587 http://hdl.handle.net/10986/5469 EN http://creativecommons.org/licenses/by-nc-nd/3.0/igo World Bank Journal Article Ukraine
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	EN
topic	Collectives Communes Agriculture P320 Agriculture: Aggregate Supply and Demand Analysis Prices Q110 Agricultural Policy Food Policy Q180
spellingShingle	Collectives Communes Agriculture P320 Agriculture: Aggregate Supply and Demand Analysis Prices Q110 Agricultural Policy Food Policy Q180 Brummer, Bernhard von Cramon-Taubadel, Stephan Zorya, Sergiy The Impact of Market and Policy Instability on Price Transmission between Wheat and Flour in Ukraine
geographic_facet	Ukraine
relation	http://creativecommons.org/licenses/by-nc-nd/3.0/igo
description	Analysis of price transmission in transition countries is often complicated by unstable policy environments. We use a Markov-switching vector error-correction model (MSVECM) to model multiple regime shifts in the relationship between wheat and wheat flour prices in Ukraine from June 2000 to November 2004. Unlike common alternative error correction specifications, the MSVECM does not require an explicit transition variable but rather permits changes between regimes to depend on an unobserved state variable. The analysis reveals four regimes whose timing coincides with political and economic events in Ukraine. Strong coincidence between a 'high-uncertainty' regime and discretionary policy interventions suggests that policy responses to fluctuations in Ukrainian harvests may have amplified instability.
format	Journal Article
author	Brummer, Bernhard von Cramon-Taubadel, Stephan Zorya, Sergiy
author_facet	Brummer, Bernhard von Cramon-Taubadel, Stephan Zorya, Sergiy
author_sort	Brummer, Bernhard
title	The Impact of Market and Policy Instability on Price Transmission between Wheat and Flour in Ukraine
title_short	The Impact of Market and Policy Instability on Price Transmission between Wheat and Flour in Ukraine
title_full	The Impact of Market and Policy Instability on Price Transmission between Wheat and Flour in Ukraine
title_fullStr	The Impact of Market and Policy Instability on Price Transmission between Wheat and Flour in Ukraine
title_full_unstemmed	The Impact of Market and Policy Instability on Price Transmission between Wheat and Flour in Ukraine
title_sort	impact of market and policy instability on price transmission between wheat and flour in ukraine
publishDate	2012
url	http://hdl.handle.net/10986/5469
_version_	1764395162987921408

The Impact of Market and Policy Instability on Price Transmission between Wheat and Flour in Ukraine

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