The impact of changes in government policies on economic performance (the ARCH model)
The impact of changes in government policy from direct control to free market on spatial market integration is investigated with a bivariate exponential autoregressive of impact of new information on price discovery between geographic markets during conditional heteroskedasticity (ARCH) model. Causa...
| Autores principales: | , |
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| Formato: | Journal Article |
| Lenguaje: | Inglés |
| Publicado: |
Elsevier
1992
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| Materias: | |
| Acceso en línea: | https://hdl.handle.net/10568/170784 |
| _version_ | 1855524535090020352 |
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| author | Mendoza, Meyra Sebello Farris, Paul L. |
| author_browse | Farris, Paul L. Mendoza, Meyra Sebello |
| author_facet | Mendoza, Meyra Sebello Farris, Paul L. |
| author_sort | Mendoza, Meyra Sebello |
| collection | Repository of Agricultural Research Outputs (CGSpace) |
| description | The impact of changes in government policy from direct control to free market on spatial market integration is investigated with a bivariate exponential autoregressive of impact of new information on price discovery between geographic markets during conditional heteroskedasticity (ARCH) model. Causal relationships and the magnitude different policy regimes are determined by the Granger causality test and dynamic multipliers, respectively. Our findings show that intervention policies impair the efficiency of arbitrage in integrating spatial markets. Price adjustments between regional markets are slower during periods of government regulation than during periods of decontrol. Highly volatile pr-ices and a longer ARCH process also tend to characterize the former more than the latter. These findings for the Philippine copra markets support the importance of taking heteroskedasticity into account in testing spatial integration. |
| format | Journal Article |
| id | CGSpace170784 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 1992 |
| publishDateRange | 1992 |
| publishDateSort | 1992 |
| publisher | Elsevier |
| publisherStr | Elsevier |
| record_format | dspace |
| spelling | CGSpace1707842025-02-19T14:00:55Z The impact of changes in government policies on economic performance (the ARCH model) Mendoza, Meyra Sebello Farris, Paul L. markets prices The impact of changes in government policy from direct control to free market on spatial market integration is investigated with a bivariate exponential autoregressive of impact of new information on price discovery between geographic markets during conditional heteroskedasticity (ARCH) model. Causal relationships and the magnitude different policy regimes are determined by the Granger causality test and dynamic multipliers, respectively. Our findings show that intervention policies impair the efficiency of arbitrage in integrating spatial markets. Price adjustments between regional markets are slower during periods of government regulation than during periods of decontrol. Highly volatile pr-ices and a longer ARCH process also tend to characterize the former more than the latter. These findings for the Philippine copra markets support the importance of taking heteroskedasticity into account in testing spatial integration. 1992-04 2025-01-29T12:57:19Z 2025-01-29T12:57:19Z Journal Article https://hdl.handle.net/10568/170784 en Limited Access Elsevier Mendoza, Meyra Sebello; Farris, Paul L. 1992. The impact of changes in government policies on economic performance (the ARCH model). Journal of Policy Modeling 14(2): 209-220. https://doi.org/10.1016/0161-8938(92)90009-2 |
| spellingShingle | markets prices Mendoza, Meyra Sebello Farris, Paul L. The impact of changes in government policies on economic performance (the ARCH model) |
| title | The impact of changes in government policies on economic performance (the ARCH model) |
| title_full | The impact of changes in government policies on economic performance (the ARCH model) |
| title_fullStr | The impact of changes in government policies on economic performance (the ARCH model) |
| title_full_unstemmed | The impact of changes in government policies on economic performance (the ARCH model) |
| title_short | The impact of changes in government policies on economic performance (the ARCH model) |
| title_sort | impact of changes in government policies on economic performance the arch model |
| topic | markets prices |
| url | https://hdl.handle.net/10568/170784 |
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