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This study assesses the degree of vertical price transmission along the wheat-bread value chain in Ethiopia. This is pursued by applying a vector error correction model and an impulse response analysis using monthly price data for the period 2000–2015. Our analysis considers transmission of price shocks across different market levels, including from the international and domestic wheat grain markets at the upstream to the domestic wheat bread market at the downstream of the value chain. The empirical findings indicate that significant cointegration exists across prices of the different market stages. There is a transmission from international prices to domestic prices at downstream markets, in particular to flour and bread prices. Prices at upstream markets are largely influenced by the domestic wholesale market. In general, the speed of adjustment is quite slow with a half-life of about one year for restoring the equilibrium price relationship. As price margins between the different market stages in the value chain have substantially decreased in the last 15 years, higher transmission, and thus exposure to international market shocks, can be expected in the future. The results also show that causal relationships exist between prices at different market stages—with the wholesale market identified as the key market level where prices and price expectations are formed.

Over the last decade, commodity prices have registered substantial booms and busts marked by extreme volatility. Wheat in particular, one of the main nonoil commodities, has registered a roller coaster in price levels which seems to be inconsistent with supply and demand fundamentals. To acutely investigate the drivers of wheat prices and quantify their impact, a vector error correction model (VECM) has been used. The exogenous variables have been distinguished into four groups: market-specific factors, broad macroeconomic determinants, speculative components, and weather variables. The quadriangulation of the determinants will enable us to better understand the movements in wheat price and identify the specific role of each component. The results show that a mix of factors are contributing to wheat price movements, including speculation, global demand, and real effective exchange rate.

This study investigates the drivers of export demand in the peripheral economies of the Euro Area, namely Greece, Ireland, Italy, Portugal, and Spain (GIIPS), for the period between 1980 and 2012. Recently, several authors have pointed out that changes in trade export shares are not associated with major terms of trade disturbances; rather, they are the result of other underlying factors commonly defined as ‘non-price competitiveness’. Starting from this premise, the study extends the traditional imperfect substitute trade model to include a measure of non-price competitiveness: real capital stock. The latter is a measure of a country's total resource base and captures the presence of product differentiation and product innovation. The results show a significant link between export demand and cumulative investments. In the short-term, GIIPS exports are dominated by the movements of worldwide real income, while changes in price and non-competitiveness take longer to affect export performance. In the long-run, all three variables play a significant role in pushing exports.

This article examines the main determinants of the Russian real effective exchange rate (REX) movements over the transition period started in the early 1990s. To understand the forces that drive exchange rate dynamics, five strands of the empirical literature have been combined ina time series dimension. The results suggest a positive long-run cointegration relationship between the REX, oil price, productivity and government financial position and a negative relation with international reserves. Managing international reserves and fiscal policies have therefore, the effect of mitigating the impact of oil/terms of trade and productivity shocks on the REX.

The present study investigates the causality relationship between the external (trade and current account) balance and government budget balance for five countries of the euro area's Mezzogiorno, namely Greece, Ireland, Italy, Portugal, and Spain. These countries, due to their weak economic and financial performances, have been labelled the GIIPS group. The analysis is implemented using two methodologies: the traditional Granger test and the approach developed by Toda–Yamamoto. The results reveal homogeneity in using both approaches and give support to the Ricardian theory, according to which there is no clear nexus between budget-current account balances and budget-trade balances. This implies that fiscal austerity could help the five peripheral countries to conform to the budget deficit criteria as established by the Stability and Growth Pact, but would not be effective in restraining external deficits.

This study examines the key drivers of real house prices in the five main Euro area countries (Germany, France, Italy, Spain, and the Netherlands) and the Anglo–Saxon economies (the United Kingdom and the United States) from 1970 to 2010. Estimating the determinants of house prices is very important, as they significantly influence economic activity and financial stability. Therefore, a multivariate unobserved component model, introduced by Harvey, has been used to model house price fluctuations. This technique allows us to catch those price movements that are not fully explained by economic fundamentals. The empirical results, in fact, indicate that in addition to changes in real income, long-run interest rates, stock prices and inflation, the latent component has a significant role in explaining real house prices. The latent component reflects those factors that are not specifically observed, such as structural changes in markets and changing preferences.

This article analyses developments in the external sector for the Euro Area and its major competitors and quantifies the dynamic contributions of the key determinants of trade to export volume behaviour. In addition to the traditional variables affecting export volumes, price and foreign demand, an unobserved component in the form of a time-varying trend enters the export equations to capture underlying non-price competitiveness. The structural modelling approach used within an error correction framework allows isolating the different sources of trade fluctuations and to better assess the contribution of each set of variables to export flows. The findings confirm that stochastic trends are present as a result of technical change and other exogenous factors driving export flows, and that a failure to account for these trends will lead to biased estimates of long-run price elasticities.

The present paper analyses the dynamic behaviours of the main determinants of tourism demand for France, Greece, Spain and Australia. In addition to the traditional variables affecting the demand for exports of tourism, namely price and foreign income, an unobserved component in the form of time varying trend enters the tourism equations to capture underlying competitiveness. The structural modelling approach within an error correction framework allows us to isolate the different sources of tourism fluctuations and to better assess the contribution of each set of variables to export flows. The findings confirm that stochastic trends are present as result of consumer tastes, technical change and other exogenous factors driving tourism flows, and that a failure to account for these trends will lead to biased estimates of long-run price and income elasticities.

This paper considers trade specialisation in Russia, examining changes in trade patterns at the sectoral level over the transition period. Trade based on inter-industry specialisation and intra-industry trade (IIT) are empirically distinguished using the Aquino and Grubel–Lloyd (GL) indices. The Aquino index is applied to measure the degree of inter-industry specialisation by sector, while the GL index is used to establish the level of IIT between industries. The empirical results support recent trade theory, which predicts an increasing level of IIT with liberalisation processes. They also suggest how inter- and intra-industry trade coexist. The econometric estimation of the factor content of Russia's exports (specialisation in resource-intensive products) supports the index analysis. Comparative Economic Studies (2007) 49, 232–258. doi:10.1057/palgrave.ces.8100199

This paper examines the determinants of tourism revenues in Russia and gauges their impact on tourism demand over the period 1993:12 to 2002:10. The demand for tourism and the choice of tourist destinations are subject to significant swings for many reasons, including variations in income, exchange rates and prices, as well as unpredicted events such as relevant political changes. Therefore, reliable estimates of the elasticities of tourism demand become important for the formulation of efficient tourism policies. In this context a cointegration analysis of the demand for tourism in Russia within a VAR framework was carried out. The results suggest a robust and significant long-run cointegration relationship between Russian tourism receipts, world GDP, real exchange rates and air transport prices. In particular, the estimated income, cost of living and airfares elasticities are statistically significant and have the expected signs, and their values are in accordance with the empirical literature.