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Bestimmung der Determinanten der Rapspreisentwicklung in der Hochpreisphase auf Basis von Markovzeitreihenmodellen

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  • Busse, S.
  • Brümmer, B.

Abstract

Der Einfluss der Entwicklungen auf verschiedenen Agrarmärkten auf den deutschen Rapsmarkt wird im vorliegenden Beitrag anhand von multivariaten Zeitreihenmodellen für die Produktpreise untersucht. Da sich in Hochpreisphasen die Preisanpassungsprozesse möglicherweise im Vergleich zu Phasen niedriger Preise ändern, wird auf ein nichtlineares Vektor-Fehlerkorrektur-Modell (VFKM) zurückgegriffen, das regimeabhängige Anpassungen zulässt. Die Spezifikation des Modells als Markovsprung-VFKM (MS-VFKM) erweist sich hier als vorteilhaft, da es keiner a priori Regimespezifizierung und -abgrenzung bedarf. Die Analyse zeigt, dass in den Jahren 2007/08 signifikante Änderungen in den Anpassungsprozessen der Rapspreise im Verhältnis zu anderen Agrargütern auftraten, wobei sowohl Weizen- als auch Sojapreise einen signifikanten Einfluss ausübten. Als entscheidend für das Ausmaß und die Nachhaltigkeit des Rapspreisanstiegs kann hingegen der Abbau von Abweichungen vom langfristigen Gleichgewicht zwischen Rapsöl- und Rapsschrotpreis determiniert werden.
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  • Busse, S. & Brümmer, B., 2010. "Bestimmung der Determinanten der Rapspreisentwicklung in der Hochpreisphase auf Basis von Markovzeitreihenmodellen," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 45, March.
    • Handle: RePEc:ags:gewipr:260136
    DOI: 10.22004/ag.econ.260136
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