Asymmetric Cointegration: Barley and Crude Oil Price in United States

MAT RAHIM, SITI ROHAYA (2014): Asymmetric Cointegration: Barley and Crude Oil Price in United States.

Abstract

This paper examine whether asymmetrics cointegration present in the relationship between barley and crude oil price. The result suggest that an asymmetric cointegration statistically found barley price and oil price are cointegrated and adjustment mechanisms exist in the case between these two variables.

• Item Type: MPRA Paper
• Language: English
• Keywords: barley price, oil price, asymmetrics cointegration, threshold adjustment
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C36 - Instrumental Variables (IV) Estimation; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling; F - International Economics > F1 - Trade

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