Λεπτομέρειες βιβλιογραφικής εγγραφής
| Τίτλος: |
Dynamic Price Transmission from SHFE to Thai Rubber Markets: A Cointegration–ECM and Machine-Learning Analysis. |
| Συγγραφείς: |
Pinitjitsamut, Montchai1 (AUTHOR) |
| Πηγή: |
Economies. Jan2026, Vol. 14 Issue 1, p9. 16p. |
| Θεματικοί όροι: |
*Rubber industry, *Export demand, *Cointegration, *Commodity futures, Machine learning |
| Γεωγραφικοί όροι: |
Thailand |
| Εταιρία/Οντότητα: |
Shanghai Futures Exchange (Company) |
| Περίληψη: |
This study examines the dynamic transmission of international rubber prices along the SHFE–FOB Bangkok–local farm-gate chain in Thailand using weekly data and an integrated econometric–machine-learning framework. Engle–Granger cointegration tests reveal a stable long-run equilibrium in which domestic prices are tightly anchored to FOB export quotations and the exchange rate, while SHFE futures function primarily as an upstream information benchmark and exert no direct long-run influence once the export-pricing channel is accounted for. A two-step error-correction model shows that approximately 13% of deviations from long-run parity are corrected each week, indicating gradual yet systematic convergence toward export-parity pricing. Short-run dynamics are dominated by contemporaneous changes in FOB prices, with only modest spillovers from SHFE and no statistically meaningful contribution from exchange-rate fluctuations at the weekly frequency. The asymmetric ECM indicates a pronounced upward-biased response: positive FOB shocks transmit strongly to domestic prices (θ+ ≈ 1.074), whereas negative shocks have only a limited impact (θ− ≈ 0.067). This pattern is consistent with asymmetric adjustment along the supply chain, where export-price increases are passed through more rapidly than decreases. An ECM-constrained gradient boosting model is employed to assess potential nonlinearities but does not outperform the linear ECM, suggesting that once long-run equilibrium conditions are imposed, short-run price adjustment remains predominantly linear. Taken together, these findings underscore the central role of export pricing in Thailand's rubber market and point to the importance of policy instruments that enhance price transparency, strengthen export-linked risk management, and improve resilience to international price shocks. [ABSTRACT FROM AUTHOR] |
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| Βάση Δεδομένων: |
Business Source Index |