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45

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46

Persistence Profile of the effect of a system-wide shock to CV’(s)

CV1

CV2

Horizon

0.0

0.2

0.4

0.6

0.8

1.0

0 1 2 3 4 5 6 7 8 9 10

Iljxuh 715= Shuvlvwhqfh sur�oh ri wkh frlqwhjudwlqj yhfwruv

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47

Generalized Impulse Response(s) to one S.E. shock in the equation for SPQ

CV1

CV2

Horizon

-0.05

0.00

0.05

0.10

0.15

0 1 2 3 4 5 6 7 8 9 10

Generalized Impulse Response(s) to one S.E. shock in the equation for PPDQ

CV1

CV2

Horizon

-0.05

-0.10

0.00

0.05

0.10

0.15

0.20

0.25

0 1 2 3 4 5 6 7 8 9 10

Generalized Impulse Response(s) to one S.E. shock in the equation for RPQ

CV1

CV2

Horizon

-0.01

-0.02

-0.03

-0.04

-0.05

0.00

0.01

0.02

0.03

0.04

0 1 2 3 4 5 6 7 8 9 10

Generalized Impulse Response(s) to one S.E. shock in the equation for SBFQ

CV1

CV2

Horizon

-0.05

0.00

0.05

0.10

0.15

0 1 2 3 4 5 6 7 8 9 10

Iljxuh 716= Lpsxovh0Uhvsrqvhv iru frlqwhjudwlqj yhfwruv

48

-1000

-950

-900

-850

-800

0 1 2 3 4 5

Lags

AIC SBC

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49

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Lq wklv sdshu zh kdyh h{dplqhg wkh pdunhw g|qdplfv ri wkh Dxvwudoldq slj lqgxvwu|wr ghwhuplqh zkhwkhu ru qrw wkh frpsdudwlyh vwdwlf dujxphqwv iru jdlqv iurp wudghfdq eh dssolhg zlwk frq�ghqfh wr wkh Dxvwudoldq slj lqgxvwu|1

Rxu dqdo|vlv uholhv rq hfrqrphwulfdoo| whvwlqj iru pdunhw vwdelolw| lq d Yhfwru HuuruFruuhfwlrq +YHF, iudphzrun1 Zh xvh wkh shuvlvwhqfh sur�oh ri wkh huuru fruuhfwlrqphfkdqlvp +HFP,/ zklfk vkrzv wkh vshhg ri dgmxvwphqw ri wkh pdunhw edfn wr htxl0oleulxp/ dv d uhsuhvhqwdwlrq ri Pduvkdooldq vwdelolw| lq lwv ruljlqdo phdqlqj1 Wkhruljlqdo ylhz ri Zdoudvldq vwdelolw| zdv wkh vshhg ri dgmxvwphqw ri wkh wåwrqqhphqwsurfhvv ri sulfhv1 Zh ylhz wkh +qrq0,vwdwlrqdulw| ri sulfhv xqghu d xqlw0urrw surfhvv dv

43Wkh dqdo|vlv lq wklv sdshu zdv fduulhg rxw xvlqj Plfur�w 713 ^5<`1 Lq wklv yhuvlrq wkh lpsxovh0uhvsrqvh ixqfwlrqv dqg shuvlvwhqfh sur�ohv ri wkh HFP lq wkh suhvhqfh ri U E�� h{rjhqrxv yduldeohvduh qrw dydlodeoh1

55

d uhsuhvhqwdwlrq ri wkh +lq,vwdelolw| ri wkh wåwrqqhphqw surfhvv1 Lq wkh frqwhpsrudu|ylhz ri Pduvkdooldq dqg Zdoudvldq vwdelolw| wkh vshhg ri dgmxvwphqw ri surgxfwlrqdqg sulfhv duh vhhq dv phdvxuhv ri vwdelolw| uhvshfwlyho|1 Zh xvh wkh lpsxovh0uhvsrqvhixqfwlrqv ri wkh frlqwhjudwlqj yhfwruv lq wkh lqglylgxdo htxdwlrqv dv phdvxuhv ri wklvvwdelolw|1

Wkh uhvxowv vxjjhvw wkdw sulru wr wudgh olehudolvdwlrq wkh Dxvwudoldq slj lqgxvwu|zdv fkdudfwhulvhg e| erwk Pduvkdooldq dqg Zdoudvldq vwdelolw| lq erwk wkh ruljlqdodqg frqwhpsrudu| ylhz1 Diwhu wudgh olehudolvdwlrq wkh pdunhw lv fkdudfwhulvhg e| erwkPduvkdooldq dqg Zdoudvldq lqvwdelolw|/ zlwk zhdn hylghqfh ri Pduvkdooldq vwdelolw| lqlwv ruljlqdo phdqlqj dqg zhdn hylghqfh ri Zdoudvldq vwdelolw| lq lwv frqwhpsrudu|phdqlqj +Vhh Wdeoh 814,1

Wdeoh 814= Pduvkdooldq dqg Zdoudvldq vwdelolw|Pduvkdooldq Zdoudvldq �bbf : �bbf �bbf : �bbf

Ruljlqdo ylhz & fq & fFrqwhpsrudu| ylhz & f & fq

Wkh zhdn hylghqfh ri Pduvkdooldq dqg Zdoudvldq vwdelolw| lq wkh srvw wudgh ole0hudolvdwlrq ri wkh Dxvwudoldq slj lqgxvwu| lv edvhg rq d prgho vwuxfwxuh wkdw wuhdwvlpsruwv dv iroorzlqj d U E�� surfhvv zkhuhdv wkh dydlodeoh hylghqfh vxjjhvwv wkdw lp0sruwv duh lq idfw vhdvrqdoo| lqwhjudwhg1 Li rqh dvvxphv vhdvrqdo lqwhjudwlrq lq wkhprgho wkhq wkh fdvh iru erwk Zdoudvldq dqg Pduvkdooldq lqvwdelolw| lv vwurqjhu1 Lirqh wdnhv wkh frqwhpsrudu| ylhz wkhq Pduvkdooldq lqvwdelolw| lv irxqg luuhvshfwlyh riwkh prgho vwuxfwxuh dvvxphg dqg Vdpxhovrq*v Joredo Fruuhvsrqghqfh Sulqflsoh qrorqjhu krogv1

Wkh uhvxowv ri rxu dqdo|vlv vxjjhvwv vhyhudo wklqjv1 Iluvwo| wkdw wudgh olehudol0vdwlrq kdv fkdqjhg wkh pdunhw vwuxfwxuh ri wkh Dxvwudoldq slj lqgxvwu|1 Sulru wrwudgh olehudolvdwlrq frpsdudwlyh vwdwlf srolf| vlpxodwlrqv/ uho|lqj rq wkh dvvxpswlrqri Pduvkdooldq vwdelolw|/ zhuh vwloo ydolg1 Diwhu wudgh olehudolvdwlrq wkh Dxvwudoldq sljlqgxvwu| dsshduv wr eh fkdudfwhulvhg e| Pduvkdooldq lqvwdelolw|/ lqglfdwlqj wkdw frp0sdudwlyh vwdwlf srolf| vlpxodwlrqv pd| qrw eh ydolg1 Frqvhtxhqwo|/ lq wkh srvw0uhiruphud srolf| frqfoxvlrqv zlwk uhvshfw wr wkh Dxvwudoldq slj lqgxvwu| wkdw duh edvhg rqhlwkhu wkh Vwroshu0Vdpxhovrq ru U|ef}|qvnl wkhruhpv vkrxog eh ylhzhg zlwk fdxwlrq1Lq dgglwlrq wkhuh lv vrph txhvwlrq dv wr zkhwkhu wudgh olehudolvdwlrq lv olnho| wr ohdgwr zhoiduh jdlqv/ ehfdxvh ri wkh lqvwdelolw| ri wkh uhvxowdqw pdunhw doorfdwlrq1 Wklvvkrxog qrw eh lqwhusuhwhg dv vxjjhvwlqj wkdw wudgh olehudolvdwlrq zloo qrw ohdg wr jdlqviurp wudgh/ udwkhu wkdw dq| vxfk jdlqv duh qrw vwdeoh1 Ixuwkhu/ vxfk lqvwdelolw| lv dqduwhidfw ri wkh pdunhw vwuxfwxuh dqg wkdw wkh hyroxwlrq ri wkh pdunhw vwuxfwxuh xqghuvwuxfwxudo dgmxvwphqw pd| hyhqwxdoo| uhvxow lq Pduvkdooldq vwdelolw| ehlqj lpsrvhgrq wkh pdunhw1 Hyhq lq wkh suhvhqfh ri Zdoudvldq lqvwdelolw|/ gxh wr Vdpxhovrq*vJoredo Fruuhvsrqghqfh Sulqflsoh/ frpsdudwlyh vwdwlf srolf| vlpxodwlrqv zloo eh ydolgvr orqj dv wkh pdunhw lv Pduvkdooldq vwdeoh11 Vlqfh hljkw |hduv kdyh sdvvhg vlqfh wkhlqwurgxfwlrq ri lpsruwv lq wkh Dxvwudoldq slj lqgxvwu| lw lv ri lqwhuhvw wr vhh krzorqjhu vwuxfwxudo dgmxvwphqw ri wkh pdunhw frqwlqxhv ehiruh vwdelolw| lv uh0lpsrvhg1

56

Uhihuhqfhv

^4` DEDUH1 ydulrxv lvvxhv1 Frpprglw| Vwdwlvwlfdo Exoohwlq1 Fdqehuud= DxvwudoldqExuhdx ri Djulfxowxudo dqg Uhvrxufh Hfrqrplfv1

^5` Dxvwudoldq Exuhdx ri Vwdwlvwlfv1 ydulrxv lvvxhv1 DEV :54813 Djulfxowxudo Vwdwlv0wlfv1 Fdqehuud= Dxvwudoldq Exuhdx ri Vwdwlvwlfv1

^6` Dqghuvrq/ M1 4<<;1 R*Nhhih uhyhdov k|srfulv| rq slj lqgxvwu|= Phgld Uhohdvh/Ihghudo Plqlvwhu iru Sulpdu| Lqgxvwulhv dqg Hqhuj|/ Pu1 Mrkq Dqghuvrq1 Fdq0ehuud= Ghsduwphqw ri Sulpdu| Lqgxvwulhv dqg Hqhuj| +44 Mxqh 4<<;,1

^7` Dqghuvrq/ M1 dqg W1 Ilvkhu1 4<<;1Jryhuqphqw dqqrxqfhv slj lqgxvwu| dvvlvwdqfh=Mrlqw Vwdwhphqw/ Ihghudo Plqlvwhu iru Sulpdu| Lqgxvwulhv dqg Hqhuj|/ Pu1 MrkqDqghuvrq dqg Ghsxw| Sulph Plqlvwhu dqg Plqlvwhu iru Wudgh/ Wlp Ilvkhu1 Fdq0ehuud= Ghsduwphqw ri Sulpdu| Lqgxvwulhv dqg Hqhuj| +43 Mxqh 4<<;,1

^8` Dxvwudoldq Srun Frusrudwlrq1 ydulrxv lvvxhv1 SljVwdwv/ Dxvwudoldq Slj Lqgxvwu|Kdqgerrn1 V|gqh|= Dxvwudoldq Srun Frusrudwlrq1

^9` Duurz/ N1M1/ K1G1 Eorfn/ dqg O1 Kxuzlf}1 4<8<1 Rq wkh vwdelolw| ri wkh frpshw0lwlyh htxloleulxp/ LL1 Hfrqrphwulfd 5:1

^:` Duurz/ N1M1 dqg O1 Kxuzlf}1 4<8;1 Rq wkh vwdelolw| ri wkh frpshwlwlyh htxlole0ulxp/ L1 Hfrqrphwulfd 591

^;` Frpwh/ I1 4<<<1 Glvfuhwh dqg frqwlqxrxv wlph frlqwhjudwlrq1 Mrxuqdo ri Hfrqr0phwulfv1 ;;=53:05591

^<` Gdylhv/ G1J1 4<961 D qrwh rq Pduvkdooldq yhuvxv Zdoudvldq vwdelolw| frqglwlrqv1Wkh Fdqdgldq Mrxuqdo ri Hfrqrplfv dqg Srolwlfdo Vflhqfh1 5<=86808731

^43` Glfnh|/ G1 D1/ G1S1 Kdv}d dqg Z1 D1 Ixoohu1 4<;71 Whvwlqj iru xqlw urrwv lqvhdvrqdo wlph vhulhv1 Mrxuqdo ri wkh Dphulfdq Vwdwlvwlfdo Dvvrfldwlrq :<=688069:1

^44` Hqghuv/ Z1 4<<81 Dssolhg hfrqrphwulf wlph vhulhv1 Qhz \run= Mrkq Zloh| dqgVrqv1

^45` K|oohehuj/ V1/ U1I1 Hqjoh/ F1Z1M1 Judqjhu dqg E1V1 \rr1 4<<31 Vhdvrqdo lqwhjud0wlrq dqg frlqwhjudwlrq1 Mrxuqdo ri Hfrqrphwulfv 77=548056;1

^46` Lgh/ W1 dqg D1 Wdnd|dpd1 4<;;d1 Vfdoh hfrqrplhv/ shuyhuvh frpsdudwlyh vwdwlfvuhvxowv/ wkh Pduvkdooldq vwdelolw| dqg wkh orqj0uxq htxloleulxp iru d vpdoo rshqhfrqrp|1 Hfrqrplfv Ohwwhuv1 5:=58:05961

^47` Lgh/ W1 dqg D1 Wdnd|dpd1 4<;;e1 Pduvkdooldq vwdelolw|/ orqj0uxq htxloleulxp dqgwkh sdwwhuq ri vshfldol}dwlrq xqghu idfwru0pdunhw glvwruwlrqv lq wkh sxuh wkhru|ri lqwhuqdwlrqdo wudgh1 Hfrqrplfv Ohwwhuv1 5:=59805:31

^48` Lgh/ W1 dqg D1 Wdnd|dpd1 4<<3d1 Pduvkdooldq vwdelolw| dqg orqj0uxq htxloleulxplq wkh wkhru| ri lqwhuqdwlrqdo wudgh zlwk idfwru pdunhw glvwruwlrqv dqg yduldeohvuhwxuqv wr vfdoh1 Hfrqrplfv Ohwwhuv1 66=434043;1

57

^49` Lgh/ W1 dqg D1 Wdnd|dpd1 4<<3e1 Yduldeoh uhwxuqv wr vfdoh dqg wkh Joredo Fru0uhvsrqghqfh Sulqflsoh lq wkh wkhru| ri lqwhuqdwlrqdo wudgh1 Hfrqrplfv Ohwwhuv166=634063;1

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^4<` Nuxjpdq/ S1U1 4<;:1 Lqfuhdvlqj uhwxuqv dqg wkh wkhru| ri lqwhuqdwlrqdo wudgh1 LqDgydqfhv lq hfrqrplf wkhru|/ Iliwk Zruog Frqjuhvv1 hg1 W1I1 Ehzoh| 634065;1Fdpeulgjh= Fdpeulgjh Xqlyhuvlw| Suhvv

^53` Nuxjpdq/ S1U1 4<;<1 Lpsruw surwhfwlrq dv h{sruw surprwlrq= Lqwhuqdwlrqdo frp0shwlwlrq lq wkh suhvhqfh ri roljrsro| dqg hfrqrplhv ri vfdoh1 Lq Prqrsrolvwlf frp0shwlwlrq dqg lqwhuqdwlrqdo wudgh1 hg1 K1 Nlhu}nrzvnl 430661 R{irug= FoduhqgrqSuhvv1

^54` Oduxh/ E1 4<<;1 Dq dvvhvvphqw ri Wlp Sxufhoo dqg Vwhyh Kduulvrq* ^vlf` uhsruwhqwlwohg= �Wkh lpsdfw ri wudgh olehudol}dwlrq dqg lqfuhdvlqj lpsruwv rq Dxvwudoldqslj sulfhv�1 Fhqwuh gh Uhfkhufkh hq Hfrqrplh Djurdolphqwdluh +FUHD, Xqlyhu0vlwì Odydo/ Vwh0Ir|/ Txhehf1

^55` Pdunxvhq/ M1U1 dqg M1U1 Phoylq1 4<;<1 Wkh jdlqv0iurp0wudgh wkhruhp zlwk lq0fuhdvlqj uhwxuqv wr vfdoh1 Lq Prqrsrolvwlf frpshwlwlrq dqg lqwhuqdwlrqdo wudgh1hg1 K1 Nlhu}nrzvnl 430661 R{irug= Foduhqgrq Suhvv1

^56` Pduvkdoo/ D1 4<531 Sulqflsohv ri hfrqrplfv= Dq lqwurgxfwru| yroxph1 +;|� hg1,Orqgrq= Pdfplooldq1

^57` Qhdu|/ M1S1 4<:;d1 G|qdplf vwdelolw| dqg wkh wkhru| ri idfwru pdunhw glvwruwlrq1Dphulfdq Hfrqrplf Uhylhz1 9;=9:409;51

^58` Qhdu|/ M1S1 4<:;e1 Vkruw0uxq fdslwdo vshfl�flw| dqg wkh sxuh wkhru| ri lqwhuqd0wlrqdo wudgh1 Hfrqrplf Mrxuqdo1 ;;=7;;08431

^59` Rveruq/ G1U1/ D1S1O1 Fkxl/ M1S1 Vplwk dqg F1U1 Elufkhqkdoo1 4<;;1 Vhdvrqdolw|dqg wkh rughu ri lqwhjudwlrq iru frqvxpswlrq1 R{irug Exoohwlq ri Hfrqrplfv dqgVwdwlvwlfv1 83=69406::1

^5:` Rveruq/ G1U1/ dqg S1P1P1 Urguljxhv1 4<<;1 Wkh dv|pswrwlf glvwulexwlrqv ri vhd0vrqdo xqlw urrw whvwv= D xqli|lqj dssurdfk1 Plphr1 Vfkrro ri Hfrqrplf Vwxglhv/Xqlyhuvlw| ri Pdqfkhvwhu1

^5;` Sdqdjdul|d/ D1 4<;31 Yduldeoh uhwxuqv wr vfdoh lq jhqhudo htxloleulxp wkhru| rqfhdjdlq1 Mrxuqdo ri Lqwhuqdwlrqdo Hfrqrplfv1 43=7<<08591

^5<` Shvdudq/ P1K1 dqg E1 Shvdudq1 4<<:1 Plfur�w 713= Dq lqwhudfwlyh hfrqrphwulfvriwzduh sdfndjh1 R{irug= R{irug Xqlyhuvlw| Suhvv1

58

^63` Shvdudq/ P1 K1 dqg \1 Vklq1 4<<91 Frlqwhjudwlrq dqg vshhg ri frqyhujhqfh wrhtxloleulxp1 Mrxuqdo ri hfrqrphwulfv1 :4=44:04761

^64` Sxufhoo/ W1G1 dqg V1 Kduulvrq1 4<<;1 Wkh lpsdfw ri wudgh olehudolvdwlrq dqg lq0fuhdvlqj lpsruwv rq wkh Dxvwudoldq slj lqgxvwu|= D vxeplvvlrq wr wkh Surgxfwlylw|Frpplvvlrq Lqtxlu| rq Slj dqg Sljphdw Lqgxvwulhv= Vdihjxdug Dfwlrq DjdlqvwLpsruwv rq ehkdoi ri wkh Ghsduwphqw ri Sulpdu| Lqgxvwulhv/ Txhhqvodqg1 Eulv0edqh= Ghsduwphqw ri Sulpdu| Lqgxvwulhv/ Txhhqvodqg1

^65` Txhhqvodqg Srun Surgxfhuv* Rujdqlvdwlrq1 4<<;1 Zhhno| lqglfdwlyh sulfhv irusrunhuv dqg edfrqhuv1 Xqsxeolvkhg gdwdvhw1 Eulvedqh= Txhhqvodqg Srun Surgxf0huv* Rujdqlvdwlrq1

^66` Wdnd|dpd/ D1 4<:71 Pdwkhpdwlfdo hfrqrplfv1 Klqvgdoh/ Loolqrlv= Gu|ghq Suhvv1

^67` Qhzpdq/ S1 4<981 Wkh wkhru| ri h{fkdqjh1 Hqjohzrrg Fol�v/ Qhz Mhuvh|=Suhqwlfh0Kdoo1

^68` Kdqvhq/ K1 dqg N1 Mxvholxv1 4<<81 FDWV lq UDWV= Frlqwhjudwlrq Dqdo|vlv riWlph Vhulhv1 Frshqkdjhq= Lqvwlwxwh ri Hfrqrplfv/ Xqlyhuvlw| ri Frshqkdjhq1

^69` Klfnv/ M1U1 4<791 Ydoxh dqg fdslwdo1 +5qg hg1,1 R{irug= Foduhqgrq Suhvv1

^6:` Vdpxhovrq/ S1D1 4<7:1 Irxqgdwlrqv ri hfrqrplf dqdo|vlv1 Fdpeulgjh/ Pdvvdfxw0vhwwv= Kduydug Xqlyhuvlw| Suhvv1

^6;` Vwrhfnho/ D1/ G1 Shdufh dqg J1 Edqnv1 4<<31 Zhvwhuq wudgh eorfnv= Jdph vhw rupdwfk iru Dvld0Sdfl�f dqg wkh zruog hfrqrp|B Fdqehuud= Fhqwuh iru Lqwhuqd0wlrqdo Hfrqrplfv1

^6<` Zdoudv/ O1 4<871 Hohphqwv ri sxuh hfrqrplfv1 4<59 hg1 wudqvodwlrq e| Z1 Md�ì1Orqgrq= Jhrujh Doohq ) Xqzlq1

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Walrasian and Marshallian stability - AgEcon Search

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