IDEAS home Printed from https://ideas.repec.org/a/ags/stagec/146817.html
   My bibliography  Save this article

Implications of conceptual and data complexities on time-series econometric applications in market integration analysis

Author

Listed:
  • Abunyuwah, Isaac

Abstract

This article demonstrates and highlights the conceptual limits of current empirical market integration (MI) time series models (threshold models) and their implications on market efficiency and competitive equilibrium conclusions. The complexities and diversities that characterise the analysis of the concept of market integration are evaluated within the framework of Enke-Samuelson-Takayama-Judge (ESTJ) spatial equilibrium theory. The efficiency and competiveness implications drawn from MI models are limited by how the data generation process (DGP) is influenced by equilibrium conditions, by the tradability restrictions of the inter-markets relationships and by the presence of unobserved transactions costs. However, empirical applications scarcely address these limitations. Two sets of synthesized data with varying levels of non-linear complexity implied by alternating equilibrium conditions are generated to demonstrate conceptual limits of current threshold models in market integration analysis. Inconsistent conclusions that linear representations imply for threshold propagated DGP will also apply for conclusions derived from threshold models if markets are characterised by switching equilibria conditions.

Suggested Citation

  • Abunyuwah, Isaac, 2013. "Implications of conceptual and data complexities on time-series econometric applications in market integration analysis," Studies in Agricultural Economics, Research Institute for Agricultural Economics, vol. 115(1), pages 1-7, February.
    • Handle: RePEc:ags:stagec:146817
    DOI: 10.22004/ag.econ.146817
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/146817/files/1219-Abunyuwah_web.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.146817?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. von Cramon-Taubadel, Stephan, 1998. "Estimating Asymmetric Price Transmission with the Error Correction Representation: An application to the German Pork Market," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 25(1), pages 1-18.
    2. Meyer, Jochen, 2004. "Measuring market integration in the presence of transaction costs--a threshold vector error correction approach," Agricultural Economics, Blackwell, vol. 31(2-3), pages 327-334, December.
    3. Van Campenhout, Bjorn, 2007. "Modelling trends in food market integration: Method and an application to Tanzanian maize markets," Food Policy, Elsevier, vol. 32(1), pages 112-127, February.
    4. Barry K. Goodwin & Nicholas E. Piggott, 2001. "Spatial Market Integration in the Presence of Threshold Effects," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 83(2), pages 302-317.
    5. Jochen Meyer & Stephan von Cramon‐Taubadel, 2004. "Asymmetric Price Transmission: A Survey," Journal of Agricultural Economics, Wiley Blackwell, vol. 55(3), pages 581-611, November.
    6. Unknown, 2008. "Institute of Agricultural Economics," Economics of Agriculture, Institute of Agricultural Economics, vol. 55(3).
    7. Amikuzuno, Joseph & Ogundari, Kolawole, 2012. "The Contribution of Agricultural Economics to Price transmission Analysis and Market Policy in Sub-Sahara Africa: What Does the Literature Say?," 86th Annual Conference, April 16-18, 2012, Warwick University, Coventry, UK 134754, Agricultural Economics Society.
    8. McNew, Kevin & Fackler, Paul L., 1997. "Testing Market Equilibrium: Is Cointegration Informative?," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 22(2), pages 1-17, December.
    9. Richard J. Sexton & Catherine L. Kling & Hoy F. Carman, 1991. "Market Integration, Efficiency of Arbitrage, and Imperfect Competition: Methodology and Application to U.S. Celery," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(3), pages 568-580.
    10. Christine Moser & Christopher Barrett & Bart Minten, 2009. "Spatial integration at multiple scales: rice markets in Madagascar," Agricultural Economics, International Association of Agricultural Economists, vol. 40(3), pages 281-294, May.
    11. Asfaw Negassa & Robert J. Myers, 2007. "Estimating Policy Effects on Spatial Market Efficiency: An Extension to the Parity Bounds Model," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 89(2), pages 338-352.
    12. Wohlgenant, Michael K, 1999. "Product Heterogeneity and the Relationship between Retail and Farm Prices," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 26(2), pages 219-227, June.
    13. Albert Park & Hehui Jin & Scott Rozelle & Jikun Huang, 2002. "Market Emergence and Transition: Arbitrage, Transaction Costs, and Autarky in China's Grain Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 84(1), pages 67-82.
    14. Kelvin Balcombe & Alastair Bailey & Jonathan Brooks, 2007. "Threshold Effects in Price Transmission: The Case of Brazilian Wheat, Maize, and Soya Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 89(2), pages 308-323.
    15. Abdulai, Awudu, 2000. "Spatial price transmission and asymmetry in the Ghanaian maize market," Journal of Development Economics, Elsevier, vol. 63(2), pages 327-349, December.
    16. Henry W. Kinnucan & Olan D. Forker, 1987. "Asymmetry in Farm-Retail Price Transmission for Major Dairy Products," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 69(2), pages 285-292.
    17. Stephens, Emma C. & Mabaya, Edward T., 2008. "Spatial Price Adjustment with and without Trade," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6538, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    18. Paul L. Fackler & Hüseyin Tastan, 2008. "Estimating the Degree of Market Integration," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 90(1), pages 69-85.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Isaac Abunyuwah, 2020. "Modeling Market Integration and Asymmetric Price Transmission Dynamics of Yam Markets in Ghana," Journal of Economics and Behavioral Studies, AMH International, vol. 12(3), pages 23-31.
    2. Isaac Abunyuwah & Henry De-Graft Acquah, 2013. "Modelling non-linear Spatial Market Integration and Equilibrium Processes in Hidden Markov Framework," Journal of Economics and Behavioral Studies, AMH International, vol. 5(8), pages 535-545.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Isaac Abunyuwah & Henry De-Graft Acquah, 2013. "Modelling non-linear Spatial Market Integration and Equilibrium Processes in Hidden Markov Framework," Journal of Economics and Behavioral Studies, AMH International, vol. 5(8), pages 535-545.
    2. Stephan von Cramon-Taubadel, 2017. "The analysis of market integration and price transmission – results and implications in an African context," Agrekon, Taylor & Francis Journals, vol. 56(2), pages 83-96, April.
    3. Ankamah-Yeboah, Isaac, 2012. "Spatial Price Transmission in the Regional Maize Markets in Ghana," MPRA Paper 49720, University Library of Munich, Germany.
    4. Rahman, Mohammad Chhiddikur, 2020. "Welfare Impact of Asymmetric Price Transmission on Bangladesh Rice Consumers," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 242248, March.
    5. Rahman, Mohammad Chhiddikur, 2018. "Welfare Impact of Asymmetric Price Transmission on Bangladesh Rice Consumers," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 251114, March.
    6. Zhepeng Hu & B. Wade Brorsen, 2017. "Spatial Price Transmission and Efficiency in the Urea Market," Agribusiness, John Wiley & Sons, Ltd., vol. 33(1), pages 98-115, January.
    7. Hüseyin Taştan & Yılmaz Köprücü, 2023. "Examining spatial market efficiency under different marketing regulations: The case of Turkish lemon markets," Agricultural Economics, International Association of Agricultural Economists, vol. 54(5), pages 709-727, September.
    8. Acosta, Alejandro, 2012. "Measuring spatial transmission of white maize prices between South Africa and Mozambique: An asymmetric error correction model approach," African Journal of Agricultural and Resource Economics, African Association of Agricultural Economists, vol. 7(1), pages 1-13, October.
    9. Fabio Gaetano Santeramo, 2015. "Price Transmission in the European Tomatoes and Cauliflowers Sectors," Agribusiness, John Wiley & Sons, Ltd., vol. 31(3), pages 399-413, June.
    10. Badolo, Félix, 2012. "Chocs de prix internationaux et transmission : cas du marché du riz au Burkina Faso," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(3), pages 317-346, Septembre.
    11. Babatunde O. Abidoye & Marlene Labuschagne, 2014. "The transmission of world maize price to South African maize market: a threshold cointegration approach," Agricultural Economics, International Association of Agricultural Economists, vol. 45(4), pages 501-512, July.
    12. Ganneval, S., 2016. "Spatial price transmission on agricultural commodity markets under different volatility regimes," Economic Modelling, Elsevier, vol. 52(PA), pages 173-185.
    13. Christine Moser & Christopher Barrett & Bart Minten, 2009. "Spatial integration at multiple scales: rice markets in Madagascar," Agricultural Economics, International Association of Agricultural Economists, vol. 40(3), pages 281-294, May.
    14. Sahito, Jam Ghulam Murtaza, 2015. "Market integration of wheat in Pakistan," Discussion Papers 72, Justus Liebig University Giessen, Center for international Development and Environmental Research (ZEU).
    15. Traub, Lulama Ndibongo & Myers, Robert J. & Jayne, Thomas S. & Meyer, Ferdinand H., 2010. "Measuring Integration and Efficiency in Maize Grain Markets: The Case of South Africa and Mozambique," 2010 AAAE Third Conference/AEASA 48th Conference, September 19-23, 2010, Cape Town, South Africa 96644, African Association of Agricultural Economists (AAAE).
    16. Hailemariam Ayalew & Dagim G. Belay, 2020. "The Ethiopian Commodity Exchange and Spatial Price Dispersion: Disentangling Warehouse and Price Information effects," IFRO Working Paper 2020/01, University of Copenhagen, Department of Food and Resource Economics.
    17. Mohammad J Alam & Raghbendra Jha, 2016. "Asymmetric threshold vertical price transmission in wheat and flour markets in Dhaka (Bangladesh): seemingly unrelated regression analysis," ASARC Working Papers 2016-03, The Australian National University, Australia South Asia Research Centre.
    18. Félix Badolo, 2011. "Transmission des chocs de prix internationaux : le cas du riz au Burkina Faso," Working Papers halshs-00627189, HAL.
    19. Stephan Brosig & Thomas Glauben & Linde Götz & Enno‐Burghard Weitzel & Ahmet Bayaner, 2011. "The Turkish wheat market: spatial price transmission and the impact of transaction costs," Agribusiness, John Wiley & Sons, Ltd., vol. 27(2), pages 147-161, Spring.
    20. Ceballos, Francisco & Hernandez, Manuel A. & Minot, Nicholas & Robles, Miguel, 2017. "Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries," World Development, Elsevier, vol. 94(C), pages 305-320.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:stagec:146817. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/akiiihu.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.