Table 2 Results of the vector autoregression models for importers and producers
From: Russian meat price transmission and policy interventions in 2014
Estimated parameter, the explanatory variable | Product°°° | ||
|---|---|---|---|
k = Beef | k = Pork | k = Poultry | |
Dependent variable: ∆It in USD | |||
\(\mu_{k}^{I}\) | 0.002 (0.005) | 0.003 (0.01) | 0.001 (0.01) |
\(\rho_{l = 1,k}^{I}\), lag of ∆It | 0.03 (0.11) | 0.12 (0.10) | − 0.13(0.11) |
\(\rho_{l = 2,k}^{I}\), lag of ∆It | − 0.05 (0.10) | ||
\(\theta_{j = 1,k}^{I}\), ∆PProduct,t−1 × 1/ERt−1 | 0.16 (0.07) * | 0.027 (0.10) | 0.28 (0.12) * |
\(\theta_{j = 2,k}^{I}\), ∆PProduct,t−2 × 1/ERt−2 | 0.46 (0.10) *** | ||
\(\varphi_{n = 1, j = 1}^{I}\), Embargo | − 0.001 (0.02) | − 0.014 (0.05) | − 0.04 (0.04) |
\(\varphi_{n = 1, j = 2}^{I}\), Embargo | − 0.006 (0.05) | ||
\(\varphi_{n = 2, j = 1}^{I}\), Pork ban | 0.012 (0.01) | 0.07 (0.05) | 0.04 (0.03) |
\(\varphi_{n = 2, j = 2}^{I}\), Pork ban | − 0.05 (0.05) | ||
\(\varphi_{n = 3, j = 1}^{I}\), Exchange rate liberalisation | − 0.017 (0.02) | − 0.03 (0.06) | 0.005 (0.04) |
\(\varphi_{n = 3, j = 2}^{I}\), Exchange rate liberalisation | 0.03 (0.05) | ||
Portmanteau test (p value) | 1 | 0.76 | 1 |
ARCH test (p value) | 1 | 1 | 1 |
Normality test (p value)° | 0 | 0 | 0 |
Stability test | passed | passed | passed |
Granger test (p value)°° | 0.46 | 0.46 | 0 |
Number of observations | 84 | 84 | 84 |
Adjusted R-squared | 0.04 | 0.30 | 0.06 |
p value for F-test (model significance)°°° | 0.14 (no) | 0 (yes) | 0.07 (yes) |
Dependent variable: ∆Pt in RUB | |||
\(\mu_{k}^{P}\) | 0.003 (0.004) | − 0.001 (0.005) | − 0.001 (0.004) |
\(\rho_{l = 1,k}^{P}\), ∆Pt−1 | − 0.14 (0.12) | 0.27 (0.1) * | 0.02 (0.1) |
\(\rho_{l = 2,k}^{P}\), ∆Pt−2 | 0.04 (0.12) | ||
\(\theta_{j = 1, k}^{P}\), ∆IProduct,t−1 × ERt−1 | − 0.001 (0.06) | 0.07 (0.05) | 0.05 (0.04) |
\(\theta_{j = 2, k}^{P}\), ∆IProduct,t−2 × ERt−2 | 0.01 (0.05) | ||
\(\gamma_{j = 1,k}^{P}\), ∆EProduct,t−1 × ERt−1 | 0.012 (0.02) | 0.007 (0.008) | 0.007 (0.02) |
\(\gamma_{j = 2,k}^{P}\), ∆EProduct,t−2 × ERt−2 | 0.002 (0.02) | ||
\(\varphi_{n = 1, j = 1}^{P}\), Embargo | 0.05 (0.03). | − 0.082 (0.02) *** | − 0.04 (0.02) * |
\(\varphi_{n = 1, j = 2}^{P}\), Embargo | − 0.07 (0.03) * | ||
\(\varphi_{n = 2, j = 1}^{P}\), Pork Ban | 0.003 (0.03) | 0.04 (0.01) ** | 0.04 (0.01) *** |
\(\varphi_{n = 2, j = 2}^{P}\), Pork Ban | 0.002 (0.03) | ||
\(\varphi_{n = 3, j = 1}^{P}\), Exchange rate liberalisation | 0.06 (0.03). | 0.037 (0.02) . | − 0.006 (0.01) |
\(\varphi_{n = 3, j = 2}^{P}\), Exchange rate liberalisation | − 0.05 (0.03). | ||
Portmanteau test (p value) | 1 | 0.73 | 1 |
ARCH test (p value) | 1 | 1 | 1 |
Normality test (p value)° | 0 | 0 | 0 |
Stability test | passed | passed | passed |
Granger test (p value)°° | 0.03 | 0.26 | 0.43 |
Observations (number) | 84 | 84 | 84 |
Adjusted R-squared | 0 | 0.26 | 0.12 |
p value for F-test (model significance)°°° | 0.55 (no) | 0 (yes) | 0.01 (yes) |