Real Interest Rate Parity: Long-Run and Short-Run Analysis Using Wavelets

Shrestha, Keshab; Tan, Kok Hui

doi:10.1007/s11156-005-4246-8

Cited by 11 publications

(4 citation statements)

References 28 publications

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“…Although this method was initially developed based on the assumption that all data are stationary, Hsiao (1997a,b) has extended its usage to structural dynamic simultaneous equations models with non-stationary variables. Applications of the method with non-stationary data include Hsiao et al (2005), Golinell and Rovelli (2005), and Shrestha and Tan (2005).…”

Section: Literature Review and Theoretical Frameworkmentioning

confidence: 99%

U.S. softwood lumber demand and supply estimation using cointegration in dynamic equations

Song¹,

Chang²,

Aguilar³

2011

JFE

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a b s t r a c tThis research estimated dynamic supply and demand equations for the U.S. softwood lumber using two-stage least squares. Long-run and ECM equations were derived from the estimated coefficients. Empirical data included monthly observations from 1990 to late 2006. Stationarity of the residuals was explored using Augmented Dickey-Fuller statistics. Results suggest that demand and supply elasticities in both short and long-run are relatively small compared with past studies. The Canadian softwood lumber supply to the U.S. is more price elastic than the domestic softwood lumber supply. U.S. import tariffs have had limited impact on the amount of softwood lumber imported from Canada. Technological progress and end-ofyear seasonal effects on softwood lumber demand and supply were significant over this period.

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Section: Literature Review and Theoretical Frameworkmentioning

confidence: 99%

U.S. softwood lumber demand and supply estimation using cointegration in dynamic equations

Song¹,

Chang²,

Aguilar³

2011

JFE

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“…Even though this method was initially developed based on an assumption that all data are stationary. Hsiao (1997a, b, Hsiao et al (2005), Golinelli and Rovelli (2005) and Shrestha and Tan (2005) have extended the application of the structural dynamic simultaneous equations model on non-stationary variables. Luo(2003) estimated US linerboard supply and demand functions using a simultaneous equations system and monthly data from January 1982 to December 1999, applying a 2SLS procedure.…”

Section: Introductionmentioning

confidence: 99%

Veneer supply and demand estimation using simultaneous equations model

Tajdini

Ghajebeigloo

Roohnia

2013

Journal of Business &Amp; Industrial Marketing

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Purpose -Veneer is one of the most important products in the wood-based panel industry, therefore, to provide needed information for the development of this industry, it is necessary to provide better understanding of the forces driving the demand and supply of veneer. The purpose of this paper is to describe how supply and demand can be estimated by using a simultaneous equations model. Design/methodology/approach -A theoretical framework is proposed based on a systematic approach of iterative 3-stage least squares (I3SLS). The reason for using simultaneous equations is the existence of reciprocal relations between economic variables in this research. Findings -Applying this theoretical framework is a useful tool to study the situation of veneer as one of the most important wood-based panel products in Iran. For example, based on the results, it can be understood that veneer is a normal and essential commodity, and any increase in the price of veneer can lead to a considerable rise in total income for producers. To satisfy the excess demand, extensive investment is needed in establishing new plants.Research limitations/implications -There are many restrictions in applying other approaches, because of no access to research data. The present study provides a starting-point for further research using other econometric models on different aspects of forest products marketing. Originality/value -The framework (econometric models especially simultaneous equations) has proven to be useful in studying and improving forest products marketing. The use of such procedures was new and this research was done for the first time in Iran.

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“…In this respect, the demand and supply relations can be estimated using traditional 2-stage least squares (2SLS) method. Even though this method was initially developed based on the assumption that all the available data are stationary, but Hsiao (1997a, b), Hsiao et al (2005), Golinell and Rovelli (2005) and Shrestha and Tan (2005) have extended the application of the structural dynamic simultaneous equations models on non-stationary variables. Luo (2003) estimated U.S linerboard supply and demand functions using simultaneous equations system for the monthly data from January, 1982 to December, 1999 applying 2SLS procedure.…”

Section: Introductionmentioning

confidence: 99%

The factors influencing corrugated board supply and demand In Iran: Simultaneous equations models

Tajdini¹,

Tavakkoli²,

Latibari³

et al. 2012

Afr. J. Bus. Manage.

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Corrugated board is considered as a valuable commodity for packaging at both international and domestic markets. Therefore, for the development of corrugated board production industry in Iran and understanding the variation in demand and supply for this product, it is necessary to identify the consumption and production patterns as well as the most important and effective variables on its status. Based on this information, forecasting the future situation will be possible. In this study, due to the existence of reciprocal relation between demand and supply, the simultaneous equations system was used. Coefficients of the model were estimated applying 3-stage least squares (3SLS) procedure with the time series data from the duration of 1981 to 2007. The study results indicated that in the demand function, the variables including, intercept, GNP in previous period, population, consumer price index (CPI), added value of industrial sector (AVOIS), the war dummy is significantly influential at 0.05% level. However, the price variable did not show any effect that indicates that this product is a necessity good. In the supply function, intercept, consumption, production and imports quantities in previous period, inflation rate and price in previous period simultaneously influence corrugated board production. The absence of any relation between product price/raw material price ratio and production also proves that the corrugated board is a necessary good, because the impacts of explanatory variables on its supply and demand are consistent with economic theories.

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Real Interest Rate Parity: Long-Run and Short-Run Analysis Using Wavelets

Cited by 11 publications

References 28 publications

U.S. softwood lumber demand and supply estimation using cointegration in dynamic equations

U.S. softwood lumber demand and supply estimation using cointegration in dynamic equations

Veneer supply and demand estimation using simultaneous equations model

The factors influencing corrugated board supply and demand In Iran: Simultaneous equations models

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