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Agricultural Price Transmission Across Space and Commodities During Price Bubbles

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  • Roberto ESPOSTI

    ()
    (Universit… Politecnica delle Marche, Dipartimento di Scienze Economiche e Sociali)

  • Giulia LISTORTI

    ()
    (Federal Office for Agriculture /FIAG(, Berne (Switzerland))

Abstract

The objective of this paper is to investigate agricultural price transmission during price bubbles and to assess whether the implemented trade policy measures did eventually play a role. We study horizontal cereal price transmission both across different market places and across different commodities. The analysis is performed using Italian and international weekly spot (cash) prices in the years 2006-2010, a period of generalized exceptional exuberance and consequent rapid drop of agricultural prices. Firstly, the properties of the price series are explored to assess which data generation process may lie behind the observed patterns. Secondly, the interdependence across prices is estimated adopting appropriate cointegration techniques. Results suggest that most prices behave as I(1) series, though some also show either fractional integration in the first differences or explosive roots. A long-run (cointegration) relationship occurs among prices of the same commodity across different markets but not among prices of different commodities. In both long-run and short-run relationships the "bubble" seems to have played a role as well as the consequent policy intervention on import duties.

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Paper provided by Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali in its series Working Papers with number 367.

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Length: 30
Date of creation: Nov 2011
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Handle: RePEc:anc:wpaper:367

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Keywords: Cointegration; Price Bubbles; Price Transmission; Time Series Properties;

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  1. Peter C.B.Phillips & Jun Yu, 2009. "Dating the Timeline of Financial Bubbles During the Subprime Crisis," Working Papers CoFie-07-2009, Sim Kee Boon Institute for Financial Economics.
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  5. Listorti, Giulia & Esposti, Roberto, 2012. "Horizontal Price Transmission in Agricultural Markets: Fundamental Concepts and Open Empirical Issues," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), Italian Association of Agricultural and Applied Economics (AIEAA), issue 1, April.
  6. Philip J. Dawson & Ana I. Sanju�n & Ben White, 2006. "Structural Breaks and the Relationship between Barley and Wheat Futures Prices on the London International Financial Futures Exchange," Review of Agricultural Economics, Agricultural and Applied Economics Association, Agricultural and Applied Economics Association, vol. 28(4), pages 585-594.
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  12. Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, vol. 78(3), pages 520-30, June.
  13. Djuric, Ivan & Goetz, Linde & Glauben, Thomas, 2011. "Influences Of The Governmental Market Interventions On Wheat Markets In Serbia During The Food Crisis 2007/2008," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland, European Association of Agricultural Economists 114438, European Association of Agricultural Economists.
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Cited by:
  1. Vladimír Hajko & Jaroslav Bil, 2013. "The Relevant Markets for Meat Production and Processing in the Czech Republic: Analysis of the Price Movements," Czech Economic Review, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, vol. 7(3), pages 178-197, November.
  2. Alessandro STERLACCHINI, 2012. "Patent Oppositions as Competitive Tools: An Analysis of the Major Players in the European Market of White Goods," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali 374, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  3. Roberto ESPOSTI, 2014. "To match, not to match, how to match: Estimating the farm-level impact of the CAP-first pillar reform (or: How to Apply Treatment-Effect Econometrics when the Real World is;a Mess)," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali 403, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  4. Simone LENZU & Gabriele TEDESCHI, 2012. "Systemic risk on different interbank network topologies," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali 375, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  5. Mofya-Mukuka, Rhoda & Abdulai, Awudu, 2013. "Policy reforms and asymmetric price transmission in the Zambian and Tanzanian coffee markets," Economic Modelling, Elsevier, vol. 35(C), pages 786-795.
  6. Eralba CELA & Tineke FOKKEMA & Elena AMBROSETTI, 2012. "Links Between Transnationalism Integration and Duration of Residence: The Case of eastern European Migrants in Italy," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali 386, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  7. Elena AMBROSETTI & Eralba CELA & Tineke FOKKEMA, 2011. "The Remittances Behaviour of the Second Generation in Europe: Altruism or Self-Interest?," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali 368, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  8. Ruggero GRILLI & Gabriele TEDESCHI & Mauro GALLEGATI, 2012. "Markets connectivity and financial contagion," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali 382, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  9. Listorti, Giulia & Esposti, Roberto, 2012. "Horizontal Price Transmission in Agricultural Markets: Fundamental Concepts and Open Empirical Issues," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), Italian Association of Agricultural and Applied Economics (AIEAA), issue 1, April.
  10. Alberto RUSSO, 2012. "A Stochastic Model of Wealth Accumulation with Class Division," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali 373, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  11. Mofya-Mukuka, Rhoda & Abdulai, Awudu, 2013. "Effects of Policy Reforms on Price Transmission in Coffee Markets: Evidence from Zambia and Tanzania," Food Security Collaborative Working Papers, Michigan State University, Department of Agricultural, Food, and Resource Economics 171870, Michigan State University, Department of Agricultural, Food, and Resource Economics.

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