Assessing the Exchange Rate Sensitivity of U.S. Bilateral Agricultural Trade

Abstract

"This paper uses an autoregressive distributed lag approach to cointegration to examine the short- and long-run effects of exchange rate changes on bilateral trade of agricultural products between the United States and its 10 major trading partners. Results show that, in the long run, while U.S. agricultural exports are highly sensitive to bilateral exchange rates and foreign income, U.S. agricultural imports are mostly responsive to the U.S. domestic income. In the short run, on the other hand, both the bilateral exchange rates and income in the United States and its trading partners are found to have significant impacts on U.S. agricultural exports and imports." Copyright (c) 2009 Canadian Agricultural Economics Society.

Dynamic and Volatility of World Agricultural Market Prices: Impacts on Importations and Food Security in WAEMU

“…These two critical values define a band covering all the possibilities of classification of the variables going from purely I(0) to purely I(1) or mutually cointegrated (Pesaran et al, 2001). This ARDL approach is more robust and efficient with small samples than other cointegration techniques Pesaran et al, 2001, andBaek &Koo, 2009). …”

“…All variables are transformed to their logarithmic form and are taken in the first difference (Δ). Equations 1, 2, 3 and 4 are called the error-correction version of the ARDL model because of the linearity of the long-term relationship represented by the coefficients , , , and (Baek & Koo, 2009). According to Pesaran, Shin and Smith (2001), the ARDL model is a test approach for the relationship between a dependent variable and a set of independent variables.…”

The Post 2008 Food Before Fuel Crisis: Theory, Literature, and Policies

“…Time-series models, such as autoregressive distributed lag (ADL) models, are widely used for empirical analysis of food before fuel (Bentzen and Engsted, 2001;Dimitropoulos et al, 2005;Hunt et al, 2005;Baek and Koo, 2009;Chen et al, 2010). Such models are efficient techniques for illustrating dynamics and measuring the interaction among prices in a time series context, as well as considering both short-and long-run effects .…”

“…An alternative avenue of research attempts to determine linkages between food and fuel using time-series models estimated with historical data (Imai et al, 2008;Baek and Koo, 2009;Zhang et al, 2010;Saghaian, 2010;Esmaeili and Shockoohi, 2011). Time-series models, such as autoregressive distributed lag (ADL) models, are widely used for empirical analysis of food before fuel (Bentzen and Engsted, 2001;Dimitropoulos et al, 2005;Hunt et al, 2005;Baek and Koo, 2009;Chen et al, 2010).…”

“…Such models are efficient techniques for illustrating dynamics and measuring the interaction among prices in a time series context, as well as considering both short-and long-run effects . For example, with a structural break considered, Baek and Koo (2009) used an ADL model to investigate the short-run and long-run impacts of market factors such as energy prices on U.S. food prices. Chen et al (2010) built a model where the price of grain is established as a function of its own price and other current and lagged variables such as the prices of oil, soybeans, and wheat.…”