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Copula-Based Nonlinear Models of Spatial Market Linkages

Author

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  • Goodwin, Barry K.
  • Holt, Matthew T.
  • Onel, Gulcan
  • Prestemon, Jeffrey P.

Abstract

An extensive empirical literature has addressed a wide array of issues pertaining to price linkages over space and across time. Empirical models of price linkages have been used to measure market power and to characterize the operation of markets that are separated by space, time, and product form. The long history of these empirical models extends from simple tests of price correlation, to conventional regression tests, to modern time series models that account for nonstationarity, nonlinearities, and threshold behavior in market linkages. This paper proposes an entirely different and potentially novel approach to analyzing these same types of time series data in a nonlinear fashion. Copula-based models that consider the joint distribution of prices separated by space are developed and applied to weekly prices for important lumber products at geographically distinct markets. In particular, we consider prices taken from weekly editions of the Random Lengths publication for homogeneous OSB products.

Suggested Citation

  • Goodwin, Barry K. & Holt, Matthew T. & Onel, Gulcan & Prestemon, Jeffrey P., 2011. "Copula-Based Nonlinear Models of Spatial Market Linkages," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103715, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea11:103715
    DOI: 10.22004/ag.econ.103715
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    Cited by:

    1. Ahmed, Mansur & Goodwin, Barry, 2015. "Copula-Based Modeling of Dependence Structure among International Food Grain Markets," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 206059, Agricultural and Applied Economics Association.
    2. Johnson, Carrie Lu, 2014. "Analysis of Commodity Market Integration In the Uganda Maize Market," Master's Theses and Plan B Papers 196707, University of Minnesota, Department of Applied Economics.
    3. Ahmed, Osama & Serra, Teresa, 2015. "Vertical Price Transmission in the Egyptian Tomato Sector After the Arab Spring," 2015 Conference, August 9-14, 2015, Milan, Italy 212523, International Association of Agricultural Economists.
    4. Nasreldin, Osama Ahmed & Devesa, Teresa Serra, 2014. "Price volatility of food staples. The case of millet in Niger," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182728, European Association of Agricultural Economists.
    5. Ahmed, Osama & Serra, Teresa, 2015. "Evaluate the economic consequences of revenue insurance programs in Spain using copula models. The case of orange and apple," 2015 Conference, August 9-14, 2015, Milan, Italy 212522, International Association of Agricultural Economists.
    6. Ahmed, Osama, 2018. "Vertical price transmission in the Egyptian tomato sector after the Arab Spring," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 50(47), pages 5094-5109.
    7. Ahmed, Osama, 2021. "Assessing the current situation of the world wheat market leadership: Using the semi-parametric approach," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 9(2).
    8. Skadberg, Kristopher & Wilson, William W. & Larsen, Ryan & Dahl, Bruce, 2015. "Spatial Competition, Arbitrage, and Risk in U.S. Soybeans," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 40(3), pages 1-15, September.

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