The behavior of commodity prices in Ethiopia
研究了埃塞俄比亚商品价格的跨期动态，通过修改理性预期模型并应用阈值自回归方法，发现存在周期性价格阈值，且阈值下方价格相关性更强，但投机储存的回报有限。
In an attempt to identify price stabilization strategies and rationalize public intervention in buffering markets, this article investigates the intertemporal dynamics of commodity prices in Ethiopia. A classical rational expectation model is modified to account for seasonal correlation of shocks. Model predictions are reduced to computable periodic threshold autoregression. Several nonlinearity tests are applied to detect threshold effects. A regime-switching normalized maximum likelihood method is formulated to estimate thresholds and threshold autoregression parameters using monthly data from Ethiopia for the period 1996–2006. The result indicates the presence of periodic price thresholds that could be formed as a result of speculative storage. Comparison of price movements below and above thresholds indicates that prices are more correlated below the thresholds than above them. However, the effect on error variance is not very strong. Temporal arbitrage, which is the gross return from speculative storage, appears to be modest. The long- and short-term implications of the findings are discussed within the context of ongoing policy debates.