MODELING THE EVOLVING TRANSMISSION OF GLOBAL CORN PRICE TO THE PHILIPPINE CORN MARKET: A TIME-VARYING CO-INTEGRATION APPROACH WITH KALMAN FILTERING

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