Whether shocks to energy prices are permanent or transitory remains a contentious issue. This may result from mis-specification of the econometric tests, due for example to the uncertainty over the presence of a trend, or the possible presence of structural breaks and non-stationary volatility in the data. This paper makes a contribution by addressing the underlying characteristics of energy price data that influence such econometric tests. First, we detect whether the data are characterised by non-stationary volatility and possible trend breaks. The next step involves employing novel unit root tests that unify the underlying characteristics, such as trend break and/or nonstationary volatility, of the data. We conclude shocks to energy prices are not transitory. We further decompose a benchmark oil price and its demand and supply components into their permanent and transitory components and compute the cross correlations to find that they conform to standard theories of commodity storage models.

Econometric model

Price shock

Demand shock

10.5547/01956574.39.si1.agho

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Economic integration and the distribution of income in Europe: A between country analysis

RePEc: Research Papers in Economics (2020)

Atanu Ghoshray Mercedes Monfort Javier Ordóñez

In this paper we analyse income inequality across EU countries. Monitoring the between-country inequality trend at the EU level provides information about income convergence of EU countries with important implications at highly topical issues such as social cohesion and cross-country migration. In addition to the analysis of the between-country inequality, given that monetary and market integration may affect inequality differently across country-groups, we decompose between-country inequality in its two basic components, that is, inequality between-group and within-group of countries. Groups correspond to non-euro zone, core euro-zone and non- core euro-zone countries. This analysis will allow us to investigate how the observed trend in between-country inequality is related to developments in the between or the within-group component. Three conclusions emerge. First, between-country inequality experienced a trend break at the beginning of the 70s, demarcating of declining inequality to a period where inequality shows no decline up to the introduction of the euro, when betweencountry inequality increased and, consequently, income diverged among European countries. Second, the introduction of the euro was coupled with important recompositional effects of between-country inequality in Europe: from 1999 onwards between-group inequality shapes the developments of between-country inequality, thus, that the observed divergence in income from the beginning of the 2000s is explained by the income divergence between core an non-core countries.Third, shocks to between-country inequality tend to be persistent implying that specific policy measures at the EU level need to be implemented to cope with the undesirable effects of rising inequality.

Social Inequality

Divergence (linguistics)

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Agricultural Commodity Price Shocks and Their Effect on Growth in Sub‐Saharan Africa

Journal of Agricultural Economics (2015)

Tony Addison Atanu Ghoshray Michalis P. Stamatogiannis

Abstract Commodity price shocks are an important type of external shock and are often cited as a problem for economic growth in Sub‐Saharan Africa. We choose nine Sub‐Saharan African countries that are heavily dependent on a single agricultural commodity for a significant portion of their income. This paper quantifies the impact of agricultural commodity price shocks using a structural non‐linear dynamic model. The novel aspect of this study is that we determine whether the response of per capita GDP for the selected Sub‐Saharan African countries is different to unexpected increases in agricultural commodity prices as opposed to decreases in prices. We conclude that there is very little evidence that an unanticipated price increase (decrease) will lead to a significantly different response in per capita incomes.

Price shock

Per capita income

10.1111/1477-9552.12129

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Citations (45)

Price Dynamics and Weather Anomalies in Agricultural Supply Chains

SSRN Electronic Journal (2024)

Atanu Ghoshray Madhusudan Ghosh Sunghun Lim

In developing countries, certain specialty crops, highly consumed for their culture, often face increased vulnerability to price fluctuations along supply chains due to nat- ural disasters and climate crises. Onions in India are a prime example. Leveraging monthly-level price data along the onion supply chain from March 2010 to April 2022, this study proposes a model that explores the price dynamics among onion arrivals, re- tail and wholesale prices, alongside rainfall anomalies across four major cities in India. Using the vector autoregressive model with exogenous variables (VAR-X) and impulse response analysis, our core finding reveals that rainfall anomalies have a significant yet contrasting effect on prices along the onion supply chain. This study also examines the price transmission dynamics between retail and wholesale prices, in conjunction with onion arrivals. Our findings contribute to shaping targeted pricing policies for policy- makers at various stages within the supply chain in agrarian economies.

Dynamics

10.2139/ssrn.4794311

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Trends, Persistence, and Volatility in Energy Markets

SSRN Electronic Journal (2011)

Atanu Ghoshray

This paper makes a threefold contribution to the underlying dynamic properties and causal effects of energy prices. Firstly, the paper makes a study of the underlying trends to help identify the time series path of nonrenewable energy resources, which can have far reaching consequences for economists and policy makers alike. The analysis is extended to also determine the persistence of oil price shocks. Secondly, the study examines the causal relation between oil prices and the macroeconomy allowing for nonlinear models that have been recently advocated in the literature. Finally, this study describes the relation between oil prices and agricultural commodities. From a policy perspective, these interrelationships of agricultural and oil prices warrant careful consideration in the context of the recent energy crisis, which may very well continue in the future.

Persistence (discontinuity)

10.2139/ssrn.1964445

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Rice market integration in India

Madhusudan Ghosh Atanu Ghoshray

Source

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Asymmetric Price Adjustment of Ukrainian Feed Wheat Export Prices in relation to U.S. Maize Exports: A Note

Economics bulletin (2008)

Atanu Ghoshray

Ukrainian

Price formation

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Citations (2)