Lau, Evan and Puah, Chin-Hong and Oh, Swee-Ling and Lo, Yan-Ching (2008): Causality between White Pepper and Black Pepper: Evidence from Six Markets in Sarawak.
Download (398Kb) | Preview
The study of various spatial price relationships is indeed crucial and has been greatly sought after. Likewise, this study is rather a debatable topic these days especially towards the pricing activity and competitiveness within the pepper industry. Evidence from six markets within Sarawak had found that a long run relationship between the pepper markets does actually exist. And using the MWALD test though, findings revealed that the white pepper prices do Granger cause the black pepper prices in all divisions. However, there is no indication of causality that runs from the black pepper towards the white pepper. In other words, white pepper does affect the black pepper, but not the other way around. Due to the integration within the pepper industry, thus, excess profit making opportunity will not be made beneficial as the pepper markets are efficient.
|Item Type:||MPRA Paper|
|Original Title:||Causality between White Pepper and Black Pepper: Evidence from Six Markets in Sarawak|
|Keywords:||Pepper markets, Granger Causality, Spatial Price, Sarawak|
|Subjects:||Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q1 - Agriculture
Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q1 - Agriculture > Q13 - Agricultural Markets and Marketing; Cooperatives; Agribusiness
Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q0 - General
|Depositing User:||Evan Lau|
|Date Deposited:||04. Jan 2008 00:00|
|Last Modified:||13. Feb 2013 20:18|
Baharumshah, A. Z. and Habibullah, M. S. (1994). Price efficiency in pepper markets in Malaysia: A cointegration analysis. Indian Journal of Agricultural Economics, 49(2), 205-216. Cheng, H. T., Leiby, J. D. and Marra, M. C. (1991). Spatial and temporal linkages in US potato prices. Journal of Food Distribution Research, 22(2), 11-18. Department of Agriculture (DOA), Sarawak. Agricultural Statistics of Sarawak, various issues. Kuching: Department of Agriculture Sarawak. Elliott, G, Rothenberg, T.J. and Stock, J.H., 1996, Efficient Tests for an Autoregrssive Unit Root, Econometrica, 64, 813-836. Fousekis, P. and Klonaris, S. (2002). Spatial price relationships in the olive oil market of the Mediterranean. Agricultural Economics Review, 3(2), 23-35. Gonzalo, J. (1994) Five Alternative Methods of Estimating Long Run Equilibrium Relationships, Journal of Econometrics, 60, 203-233. Gonzalo, J. and Pitarakis, J. Y., 2002, Lag Length Estimation in Large Dimensional Systems, Journal of Time Series Analysis, 23, 401-423. Habibullah, M. S. and Baharumshah, A. Z. (1994). Can pepper farmers predict white pepper prices using changes in Black pepper prices? An empirical study. Borneo Review, 5, 157-179. International Pepper Community (IPC). (2006). Pepper Statistics. [On-line]. Available: http://www.sarawakpepper.gov.my/frameset.html. Johansen, S. and Juselius, K. (1990) Maximum likelihood estimation and interference on cointegration with application to the demand for money. Oxford Bulletin of Economics and Statistics, 52, 169-210. Kwiatkowski, D., Phillips, P. C.B., Schmidt, P. and Shin, Y., 1992, Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root. How Sure Are We that Economic Time Series Have a Unit Root?, Journal of Econometrics, 54, 159-178. Liang, C. L., Feuz, D. M. and Taylor, R. G. (1998). Spatial and varietals price analysis of dry edible bean markets. International Food and Agribusiness Review, 1(3), 417-433. Liew, K. S., Shitan, M., & Hussain, H. (2003). Time series modeling and forecasting of Sarawak black pepper prices. Journal Academic, 19, 39-55. MacKinnon, J.G. (1996), “Numerical distribution functions for unit root and cointegration tests”, Journal of Applied Econometrics, Vol 11, pp. 601-618. Pepper Marketing Board Malaysia. Pepper Market Bulletin, Various Issues. Phillips, P.C.B. (1991) Optimal Inference in Cointegrated Systems, Econometrica, 59, 283-306. Reinsel, G. C. and Ahn, S. K. (1992) Vector Autoregressive Models with Unit Roots and Reduced Rank Structure: Estimation, Likelihood Ratio Test and Forecasting, Journal of Time Series Analysis, 13, 353-375. Said, E.S. and Dickey, D.A. (1984) Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika, 71, 599-607. Toda, H.Y. and Yamamoto, T. (1995) Statistical inference in vector autoregressive with possibly integrated processes, Journal of Econometric, 66, 225-250. Vougas, D. V. (2007) On the Size of the DFGLS Test, Applied Economics Letters, forthcoming. Yang, J., Bessler, D. A. and Leatham, D. J. (2000) The law of one price: Developed and developing country market integration, Journal of Agricultural and Applied Economic, 32(3), 429-440.