State-Space Cointegration Modeling for the Analysis of Exogenous Shocks to Prices in Israeli-Palestinian Food Trade

摘要: The Israeli-Palestinian conflict constitutes a prominent example of long-lasting political which has major consequences for the livelihoods people on both sides. agricultural sectors Palestinian and Israeli economies are tightly connected. However, various security measures occasionally implemented in consequence between Israelis Palestinians strongly inhibit movement commodities. In order to obtain evidence impacts such abrupt trade impediments price dynamics, we estimate vector error correction model state space form employing Kalman filter. time-varying cointegration parameters suggest that indeed impacted interdependencies short-term scale.