About: Study of Causal Dependencies among Prices in the Czech Wheat Commodity Market

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Czech commodity market with wheat underwent significant changes since the beginning of the market economy. In 2004, opening of the EU market brought new business opportunities for Czech plant producers. As a result, nearly third of the country's wheat production is currently realized in foreign markets. This paper focuses on exploration of Granger causality relationships among average wheat price of human consumption quality; animal feed quality and the average price of wheat in the world market (source: World Bank). Monthly time series from July 1993 to August 2013 (T=242) were subjected to stationarity and cointegration tests. Due to nonexistence of equilibrium relationships, the multivariate data were analyzed by Vector Autoregressive (VAR) model in first differences. Separate VAR models were fitted in periods before EU entry and after to verify assumptions of differential short-term dynamic relationships between the prices, as a result of country's accession to EU. Further, orthogonal impulse-response function was prepared to quantify impact of innovation shocks in the source series upon the target series. Differences in relationships were found due to exposure of the Czech market to fluctuations in the world wheat price. Czech commodity market with wheat underwent significant changes since the beginning of the market economy. In 2004, opening of the EU market brought new business opportunities for Czech plant producers. As a result, nearly third of the country's wheat production is currently realized in foreign markets. This paper focuses on exploration of Granger causality relationships among average wheat price of human consumption quality; animal feed quality and the average price of wheat in the world market (source: World Bank). Monthly time series from July 1993 to August 2013 (T=242) were subjected to stationarity and cointegration tests. Due to nonexistence of equilibrium relationships, the multivariate data were analyzed by Vector Autoregressive (VAR) model in first differences. Separate VAR models were fitted in periods before EU entry and after to verify assumptions of differential short-term dynamic relationships between the prices, as a result of country's accession to EU. Further, orthogonal impulse-response function was prepared to quantify impact of innovation shocks in the source series upon the target series. Differences in relationships were found due to exposure of the Czech market to fluctuations in the world wheat price. (en)
Title	Study of Causal Dependencies among Prices in the Czech Wheat Commodity Market Study of Causal Dependencies among Prices in the Czech Wheat Commodity Market (en)
skos:prefLabel	Study of Causal Dependencies among Prices in the Czech Wheat Commodity Market Study of Causal Dependencies among Prices in the Czech Wheat Commodity Market (en)
skos:notation	RIV/62156489:43110/14:00232285!RIV15-MSM-43110___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Adamec, Václav
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Mendelova univerzita v Brně / Provozně ekonomická fakulta
http://linked.open...dnocenehoVysledku	48236
http://linked.open...ai/riv/idVysledku	RIV/62156489:43110/14:00232285
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	VAR model; granger causality; eu accession; impulse - response function; wheat price; commodity market (en)
http://linked.open.../riv/klicoveSlovo	VAR model impulse commodity market wheat price eu accession granger causality
http://linked.open...ontrolniKodProRIV	[C95289B3DBCE]
http://linked.open...v/mistoKonaniAkce	Brno, CZECH REPUBLIC
http://linked.open...i/riv/mistoVydani	Amsterdam, Netherlands
http://linked.open...i/riv/nazevZdroje	17th International Conference Enterprise And Competitive Environment 2014
http://linked.open...in/vavai/riv/obor	GA
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Adamec, Václav
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open...ain/vavai/riv/wos	345439100001
http://linked.open.../riv/zahajeniAkce	2014-03-06 (xsd:date)
issn	2212-5671
number of pages	7 (xsd:int)
http://bibframe.org/vocab/doi	10.1016/S2212-5671(14)00314-1
http://purl.org/ne...btex#hasPublisher	Elsevier Science Bv
http://localhost/t...ganizacniJednotka	43110

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