文章基本信息

标题：Do the Indian Agricultural Commodities’ Prices Exhibit Non-Linear Mean Reversion? An Empirical Evidence
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作者：Aviral Kumar Tiwari , Mothkuri Aruna , Aruna Kumar Dash
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2015
卷号：05
期号：02
页码：332-342
DOI：10.4236/tel.2015.52039
语种：English
出版社：Scientific Research Publishing
摘要：Indian economy’s inflation index often reflects double digit tendencies due to supply side shortages caused by droughts, rise in the prices of crude oil in the international markets etc. These factors may be responsible for non-linear behaviour of inflation index. Against this backdrop, an attempt is made in this study to capture non-linear mean reversion of prices of 47 agricultural commodities of India. The study employs powerful non-linear unit root test so as to generate robust findings to infer valid policy implications. The results of the study indicate the presence of unit root with drift process for Food Grains, Cereals, Pulses, Fruits, Vegetables, Primary Articles, Ragi and Rice. And for rest of the commodities, it is observed that there is evidence of mean reversion and therefore, the impact would be only temporary in nature. Thus, the empirical inferences enable the policy makers to design appropriate short term and long term polices related to the prices of agricultural commodities.
关键词：Non-Linearity; Mean-Reversion; Prices of Agricultural Commodities; Inflation