The paper uses the Johansen cointegration approach to analyse long-run pricing strategies of pork and chicken retailers in Austria. Long-run retail pricing strategy is found to be dependent on market share and price elasticity of demand for product. A combination of mark-up pricing strategy for...

This paper analyzes the relationship between stock returns and exchange rate changes in international markets and examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are evaluated on several cost functions. Results from such analysis...

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....

Many macroeconometric models depict situations where the shares of the major demand aggregates in output are stable over time. The joint dynamic behavior of the considered demand aggregate and output may thus be approximated by a cointegrated vector autoregression. However, the shares of many...

We suggest a theoretical basis for the comparative evaluation of forecasts. Instead of the general assumption that the data is generated from a stochastic model, we classify three stages of prediction experiments: pure non-stochastic prediction of given data, stochastic prediction of given data,...

In a panel of West African countries, we investigate whether data on immigrant remittance flows can be used to improve on predictive accuracy of aggregate demand in a systematic way. The results of the prediction experiments are compared to traditional significance tests of asymmetric error...

The paper investigates the extent to which the dollar/sterling exchange rate fluctuations affect coffee and cocoa futures prices on the London LIFFE and the New York CSCE by means of multivariate GARCH models - under the assumption that traders in perfectly competitive markets have equal access...

The study investigates long-run relationships between futures and spot prices of cocoa on the New York CSCE and London Fox, respectively, and between both markets. By means of the Johansen Maximum Likelihood approach and the inclusion of interest rates as conditioning variables, the three...

This paper examines the relevance of incorporating seasonality in agricultural supply models. Former studies have eliminated the problem of seasonality by using seasonally adjusted data. Recent developments in cointegration techniques allow the comprehensive modelling of error-correcting...

This paper explores the seasonal cycles of European agricultural commodity prices. We focus on three food crops (barley, soft and durum wheat) and on beef. We investigate whether seasonality is deterministic or unit-root stochastic and whether seasonal cycle for specific agricultural commodities...