Browsing APEC Staff Papers by Author "Awokuse, Titus"
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ItemAsset Storability and Hedging Effectiveness in Commodity Futures Markets(Department of Food and Resource Economics, 2002-06) Yang, Jian; Awokuse, TitusThis paper examines risk minimization hedging effectiveness for major storable and nonstorable agricultural commodity futures markets. Based on the error correction model – bivariate GARCH frameworks, some evidence is found that the hedging effectiveness is stronger for storable commodities than nonstorable commodities under consideration. The finding illustrates an important difference between storable and nonstorable commodities with regard to their hedging function. ItemThe Informational Role of Commodity Prices in Formulating Monetary Policy: A Reexamination(Department of Food and Resource Economics, 2002-06) Awokuse, Titus; Yang, JianThis paper reexamines the issue of whether commodity prices provide useful information for formulating monetary policy through the application of recent development in time series methodology developed by Toda and Yamamoto (1995). We found that commodity prices signals the future direction of the economy. ItemIs the Export-Lead Growth Hypothesis Valid for Canada?(Department of Food and Resource Economics, 2002-03) Awokuse, TitusEmpirical evidence linking exports to economic growth has been mixed and inconclusive. This study re-examine the export-led growth (ELG) hypothesis for Canada by testing for Granger causality from exports to national output growth using vector error correction models (VECM) and the augmented vector autoregressive (VAR) methodology developed in Toda and Yamamoto (1995). Application of recent developments in time series modeling and the inclusion of relevant variables omitted in previous studies help clarify the contradictory results from prior studies on the Canadian economy. The empirical results suggest that a long-run steady state exists among the model’s six variables and that Granger causal flow is unidirectional from real exports to real GDP.