Shepherd, Ben (2006): Estimating Price Elasticities of Supply for Cotton: A Structural Time-Series Approach.
Download (313Kb) | Preview
The Kalman Filter is used to estimate a structural time-series model of cotton supply for 30 countries and 16 aggregated regions. Estimated short run supply elasticities with respect to the world price are presented for all 46 countries and regions. While they are broadly within the expected range in light of previous work, they indicate extensive cross-country and regional heterogeneity, as well as considerable parameter uncertainty in some cases. Finally, some proposals are made for incorporating both the core estimates and their sampling distributions into applied equilibrium models.
|Item Type:||MPRA Paper|
|Institution:||Commodities and Trade Division, FAO|
|Original Title:||Estimating Price Elasticities of Supply for Cotton: A Structural Time-Series Approach|
|Keywords:||Cotton; price elasticity of supply; structural time-series model; Kalman Filter|
|Subjects:||Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q1 - Agriculture > Q11 - Aggregate Supply and Demand Analysis; Prices
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Ben Shepherd|
|Date Deposited:||24. Dec 2006|
|Last Modified:||10. Jan 2014 01:51|
Adhikari, Murali, Jack E. Houston, Laxmi Paudel and James O. Bukenya. 2005a. “Dairy Supply Response Under Stochastic Trend and Seasonality: A Structural Time Series Analysis,” Working Paper AGB2005-03, Department of Agribusiness, Alabama A&M University, http://webspace.aamu.edu/smallfarmers/publications.html. Adhikari, Murali, James O. Bukenya and Krishna Paudel. 2005b. “Assessing the Impacts of Stochastic Trend in Crop Acreage Supply Model,” Working Paper AGB2005-04, Department of Agribusiness, Alabama A&M University, http://webspace.aamu.edu/smallfarmers/publications.html. Askari, Hossein, and John T. Cummings. 1977. “Estimating Agricultural Supply Response with the Nerlove Model: A Survey,” International Economic Review, Vol. 18(2), pp. 257-292. Baffes, John and Mohamed I. Ajwad. 1998. “Detecting Price Linkages: Methodological Issues and an Application to the World Market of Cotton,” World Bank Working Paper No. 3218, www.worldbank.org. Baffes, John and Gaston Gohou. 2005. “The Co-Movement Between Cotton and Polyester Prices,” World Bank Policy Research Working Paper No. 3534, www.worldbank.org. Balcombe, Kelvin. 2005. “Estimating the Elasticity of Sugar Supply With Respect to the World Price,” Mimeo. Beach, Robert H., Brian C. Murray, Nicholas E. Piggott, and Michael K. Wohlgenant. 2002. “Interaction Effects of Promotion, Research, and Price Support Programs for US Cotton,” Working Paper 02-07, www.rti.org. Coleman, Jonathan and M. Elton Thigpen. 1991. “An Econometric Model of the World Cotton and Non-Cellulosic Fibres Markets,” World Bank Staff Commodity Working Paper No. 24, www.worldbank.org. Durbin, James and Siem Jan Koopman. 2001. Time Series Analysis by State Space Methods. Oxford: Oxford University Press. Fadiga, Mohamadou. 2004. “Structural Time Series Analysis of US Cotton Exports,” Working Paper, www.ceri.ttu.edu. Fadiga, Mohamadou L.; Samarendu Mohanty and Suwen Pan. 2004. “The Impacts of U.S. Cotton Programs on the West and Central African Countries’ Cotton Export Earnings,” Working Paper, www.ceri.ttu.edu. FAO. 2004. “Cotton: Impact of Support Policies on Developing Countries – A Guide to Contemporary Analysis,” FAO Trade Backgrounder No. 1, www.fao.org. Gilbert, Christopher L. and Francesca Modena. 2004. “The Prospects for Price and Revenue Stabilisation or Compensation for Five West African Cotton Exporters,” Mimeo. Gillson, Ian, Colin Poulton, Kelvin Balcombe and Sheila Page. 2004. “Understanding the Impact of Cotton Subsidies on Developing Countries,” Working Paper, www.odi.org.uk. Goreux, Louis. 2004. “Prejudice Caused by Industrialised Countries’ Subsidies to Cotton Sectors in West and Central Africa,” Mimeo. Hamilton, James D. 1994. Time Series Analysis. Princeton, NJ: Princeton University Press. Harvey, Andrew C. 1989. Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge: Cambridge University Press. Hertel, Thomas; David Hummels, Maros Ivanic and Roman Keeney. 2004. “How Confident can we be in CGE-Based Assessments of Free Trade Agreements?,” NBER Working Paper 10477, www.nber.org. Hooper, Peter; Karen Johnson and Jaime Marquez. 1998. “Trade Elasticities for G-7 Countries,” International Finance Discussion Paper No. 609, www.bog.frb.fed.us. Hugon, Philippe. 2005. “Les filières cotonnières africaines au regard des enjeux nationaux et internationaux,” Notes et études économiques No. 23, www.agriculture.gouv.fr. Karagiannis, Giannis. 2004. “The EU Cotton Policy Regime and the Implications of the Proposed Changes for Producer Welfare,” FAO Commodity and Trade Policy Research Working Paper No. 9, www.fao.org. Keeney, Roman, and Thomas W. Hertel. 2005. “GTAP-AGR: A Framework for Assessing the Implications of Multilateral Changes in Agricultural Policies,” GTAP Technical Paper No. 24, www.gtap.agecon.purdue.edu. Komaki, Toru and Jeremy Penzer. 2005. “Estimation of Time-Varying Price-Elasticity in 1970-1997 Japanese Raw Milk Supply by Structural Time Series Model,” Agricultural Economics, 32, pp. 1-14. Koopman, Siem Jan; Andrew C. Harvey, Jurgen A. Doornik and Neil Shephard. 2000. STAMP: Structural Time Series Analyser, Modeller and Predictor. London: Timberlake Consultants Press. Lucas, Robert E. 1976. “Econometric Policy Evaluation: A Critique,” in Brunner, K. and A.H. Meltze (eds.). The Phillips Curve and Labour Markets. Amsterdam: North Holland. Lütkepohl, Helmut. 2005. New Introduction to Multiple Time Series Analysis. Berlin: Springer. Maddala, G.S., and In-Moo Kim. 1998. Unit Roots, Cointegration and Structural Change. Cambridge: Cambridge University Press. McDonald, Jeffrey D., and Daniel A. Sumner. 2003. “The Influence of Commodity Programmes on Acreage Response to Market Price: With an Illustration Concerning Rice Policy in the United States,” American Journal of Agricultural Economics, 85(4), pp. 857-871. Peters, Ralf, and David Vanzetti. 2004. “User Manual and Handbook on Agricultural Trade Policy Simulation Model (ATPSM),” UNCTAD Policy Issues in International Trade and Commodities Study Series No. 24, www.unctad.org. Poonyth, Daneswar, Alexander Sarris, Ramesh Sharma and Shangnan Shui. 2004. “The Impact of Domestic and Trade Policies on the World Cotton Market,” FAO Commodity and Trade Policy Research Working Paper No. 8, www.fao.org. Shepherd, Ben. 2004. “The Impact of US Subsidies on the World Cotton Market: A Reassessment,” Working Paper, http://gem.sciences-po.fr/. Shui, Shangnan. 2004. “Measuring the Impact of Domestic Support on the World Cotton Market: An Overview of Existing Research and Research Issues,” Mimeo, FAO. Sims, Christopher A. 1982. “Policy Analysis with Econometric Models,” Brookings Papers on Economic Activity, 1:1982, pp. 107-152. Tokarick, Stephen. 2003. “Measuring the Impact of Distortions in Agricultural Trade in Partial and General Equilibrium,” IMF Working Paper No. WP/03/110, www.imf.org.