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Spatial Market Arbitrage and Threshold Cointegration

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Author Info
Peter S. Sephton

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Abstract

Goodwin and Piggott reported that corn and soybean prices in spatially separated markets in North Carolina exhibited threshold cointegration and that commodity prices in different markets may persistently diverge. Here, a multivariate approach is used to test for threshold cointegration and nonlinear cointegration. The results suggest that departures from the law of one price do not persist indefinitely. Copyright 2003 American Agricultural Economics Association.

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Publisher Info
Article provided by American Agricultural Economics Association in its journal American Journal of Agricultural Economics.

Volume (Year): 85 (2003)
Issue (Month): 4 (November)
Pages: 1041-1046
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Handle: RePEc:bla:ajagec:v:85:y:2003:i:4:p:1041-1046

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  1. Ihle, Rico & Cramon-Taubadel, Stephan von, 2008. "A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37603, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
  2. Jing Li & Junsoo Lee, 2009. "ADL tests for threshold cointegration," SDSU Working Papers (in Progress) 22009, South Dakota State University, Department of Economics. [Downloadable!]
  3. Brummer, Bernhard & von Cramon-Taubadel, Stephan & Zorya, Sergiy, 2006. "Vertical Price Transmission between Wheat and Flour in Ukraine: A Markov-Switching Vector Error Correction Approach," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25575, International Association of Agricultural Economists. [Downloadable!]
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This page was last updated on 2009-12-24.

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