Pushed by increasing availability of price data and extensive market liberalisation efforts in many developing countries, research on food market integration has evolved rapidly over the last two decades. Empirical methods to measure market integration diverged in two directions: on the one hand, there is the Parity Bounds Model (PBM), while on the other hand the use of Threshold Autoregressive (TAR) Models has been proposed. This article provides a discussion of the two methods and argues that TAR models are more able to capture the dynamics of the arbitrage process underlying interconnected markets. Furthermore, we extend the standard TAR model to include a time trend in both the threshold and the adjustment parameter. Using weekly maize price data on seven selected markets in Tanzania, we illustrate how both transaction cost and the speed of adjustment have changed during the nineties.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Fackler, Paul L. & Goodwin, Barry K., 2001.
"Spatial price analysis,"
Handbook of Agricultural Economics,
in: B. L. Gardner & G. C. Rausser (ed.), Handbook of Agricultural Economics, edition 1, volume 1, chapter 17, pages 971-1024
Elsevier.
[Downloadable!] (restricted)
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)