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Extreme dependence in price transmission analysis

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  • Feng Qiu
  • James Rude

Abstract

We propose a generalized procedure that combines conventional price transmission analysis with copula-based dynamic tail dependence, to examine price relationships under extreme conditions. This approach is used to examine Ukrainian wheat markets where export restrictions combined with price surges, 2006–2008 and 2010–2012, have contributed to a turbulent market. The results indicate that domestic prices were effectively insulated from world price shocks, but that a ‘rocket and feathers’ price relation held between domestic flour and wheat prices. These asymmetric price co-movements changed with the degree of restrictiveness of the export prohibitions.

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  • Feng Qiu & James Rude, 2016. "Extreme dependence in price transmission analysis," Applied Economics, Taylor & Francis Journals, vol. 48(46), pages 4379-4392, October.
    • Handle: RePEc:taf:applec:v:48:y:2016:i:46:p:4379-4392
    DOI: 10.1080/00036846.2016.1158916
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    Cited by:

    1. An, Henry & Qiu, Feng & Zheng, Yanan, 2016. "How do export controls affect price transmission and volatility spillovers in the Ukrainian wheat and flour markets?," Food Policy, Elsevier, vol. 62(C), pages 142-150.
    2. Carlson, Mari K. & Rezitis, Anthony N., 2018. "Integration of the EU broiler meat markets – Application of Regular Vine Copulas," 2018 Annual Meeting, August 5-7, Washington, D.C. 273864, Agricultural and Applied Economics Association.

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