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Semi-Parametric Generalized Additive Vector Autoregressive Models of Spatial Basis Dynamics

Author

Listed:
  • Selin Guney
  • Barry K Goodwin
  • Andrés Riquelme

Abstract

An extensive line of research has examined linkages among spatially-distinct markets. We apply semi-parametric, generalized additive vector autoregressive models to a consideration of basis linkages among North Carolina corn and soybean markets. An extensive suite of linearity tests suggests that basis and price relationships are nonlinear. Marginal effects, transmission elasticities, and generalized impulse responses are utilized to describe patterns of adjustment among markets. The semi-parametric models are compared to standard threshold vector autoregressive models and are found to reveal more statistical significance and substantially more nonlinearity in basis adjustments. Marginal effects are nonlinear and impulse responses suggest greater adjustments to extreme shocks and asymmetric adjustment patterns. The results provide evidence in favor of efficiently linked markets.

Suggested Citation

  • Selin Guney & Barry K Goodwin & Andrés Riquelme, 2019. "Semi-Parametric Generalized Additive Vector Autoregressive Models of Spatial Basis Dynamics," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 101(2), pages 541-562.
    • Handle: RePEc:oup:ajagec:v:101:y:2019:i:2:p:541-562.
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    File URL: http://hdl.handle.net/10.1093/ajae/aay033
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    Cited by:

    1. Choe, Kyoungin & Goodwin, Barry K., 2022. "Nonlinear Aspects of Integration of the US Corn Market," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322158, Agricultural and Applied Economics Association.
    2. You, Zhongyuan & Goodwin, Barry K. & Guney, Selin, 2023. "A semi-parametric study on dynamic linkages among international real interest rates," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 215-229.
    3. Sergei Kharin & Zuzana Kapustova & Ivan Lichner, 2023. "Price transmission between maize and poultry product markets in the Visegrád Group countries: What is more nonlinear, egg or chicken?," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 69(12), pages 510-522.
    4. Zheng, Yixing & Ramsey, Austin F., 2022. "Extreme Correlation Between Daily Basis Returns of Local Corn Markets in North Carolina," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322373, Agricultural and Applied Economics Association.

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