EconPapers    
Economics at your fingertips  
 

Mean-reversion and structural change in European food prices

Kurmaş Akdoğan

Central Bank Review, 2018, vol. 18, issue 4, 163-173

Abstract: 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 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.sciencedirect.com/journal/central-bank-review/vol/18/issue/4 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tcb:cebare:v:18:y:2018:i:4:p:163-173

Access Statistics for this article

More articles in Central Bank Review from Research and Monetary Policy Department, Central Bank of the Republic of Turkey Contact information at EDIRC.
Bibliographic data for series maintained by () and () and () and ().

 
Page updated 2021-06-13
Handle: RePEc:tcb:cebare:v:18:y:2018:i:4:p:163-173