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Cointegration, causality and the transmission of shocks across wheat market in Pakistan

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dc.contributor.author Klasra, Mushtaq Ahmad
dc.date.accessioned 2020-04-02T10:50:19Z
dc.date.available 2020-04-02T10:50:19Z
dc.date.issued 2009-03
dc.identifier.citation Klasra, Mushtaq Ahmad, "Cointegration, causality and the transmission of shocks across wheat market in Pakistan", Quality&Quantity, Vol.43, No.2, pp.305-315, (2009). tr_TR
dc.identifier.issn 0033-5177
dc.identifier.uri http://hdl.handle.net/20.500.12416/2830
dc.description.abstract This paper uses quarterly price data and examines the transmission of shocks across different spatially separated locations besides identifying causality among these locations. Johansen and Juselius's (Econ. Stat., 52, 160-210, 1990) multivariate cointegration procedure identified two cointegrating vectors among these locations. Following Toda and Yamamoto (J. Econom., 66, 225-250, 1995), causality tests showed only one bi-directional causality and it was between Peshawar and Hyderabad locations. Faisalabad and Sargodha appeared independent (i.e. exogenous) market locations in price discovery process. Peshawar market showed maximum (i.e. 5) number of significant links. The generalized impulse response functions, though, suggested similar (cyclical) pattern of responses across the markets, but their time profile, which provides insight into the system's speed of convergence to long run equilibrium path, varied with different level of extent and persistency. Responses to shock originating in consumption markets (i.e. Karachi, Peshawar and Lahore) remained short lived; whereas the shocks stemming from surplus wheat producing locations (i.e Multan, Sargodha and Faisalabad) produced long and more persistent responses. tr_TR
dc.language.iso eng tr_TR
dc.publisher Springer tr_TR
dc.relation.isversionof 10.1007/s11135-007-9107-1 tr_TR
dc.rights info:eu-repo/semantics/closedAccess tr_TR
dc.subject Transmission Of Shocks tr_TR
dc.subject Causality tr_TR
dc.subject Generalized Impulse Response Function tr_TR
dc.subject Cointegration tr_TR
dc.title Cointegration, causality and the transmission of shocks across wheat market in Pakistan tr_TR
dc.type article tr_TR
dc.relation.journal Quality&Quantity tr_TR
dc.identifier.volume 43 tr_TR
dc.identifier.issue 2 tr_TR
dc.identifier.startpage 305 tr_TR
dc.identifier.endpage 315 tr_TR
dc.contributor.department Çankaya Üniversitesi,İktisadi ve İdari Bilimler Fakültesi,Uluslararası Ticaret Bölümü tr_TR


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