Modeling the Evolving Transmission of Global Corn Price to the Philippine Corn Market: a Time-varying Co-integration Approach With Kalman Filtering
Year: 2025
Type: article
Abstract: This study investigates the effect of global corn price shocks on the domestic Philippine corn market by presenting a model for short-run dynamics and shifting long-run equilibria. The TV-VECM was used to specify the co-integration vector following a random-walk process, embedding it in a linear Gaussian state-space framework. The Kalman filter is applied to estimate the drifting long-run relationship with fixed adjustment loadings, whereas the impulse response functions are obtained by residual-based bootstrapping in 95% confidence bands. The findings reveal a significant temporal shift in equilibrium linkages and decreasing impulse responses, highlighting periods of high vulnerability during structural breaks. The integrated approach offers a nuanced tool for monitoring real-time price transmission and designing targeted stabilization measures
Institution: University of Mindanao
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
SDG: Zero hunger
Open Access status: green
OpenAlex ID: W6949234604
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