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Noisy Vertical Markets

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Author Info
Raghbendra Jha ()
Hari K. Nagarajan

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Abstract

In vertical markets volatility at one level of the market may transmit itself to another level. This paper examines the linkages that exist between spreads at different levels of the market hierarchy in Indian rice markets. It highlights the behavior of spreads in the presence of information asymmetry. This causes spreads to overshoot their equilibrium values. Second, we model possible differences between the reaction to an upward revision of the spread from that to a downward revision. We also propose policy prescriptions such that the policy maker can target specific levels of the market verticality given an understanding of the process of transmission and the magnitude of noise trading.

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Paper provided by Australian National University, Australia South Asia Research Centre in its series ASARC Working Papers with number 2002-04.

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Length: 28
Date of creation: 2002
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Handle: RePEc:pas:asarcc:2002-04

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Related research
Keywords: Vertical markets Partial adjustment Asymmetric price transmission

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
D43 - Microeconomics - - Market Structure and Pricing - - - Oligopoly and Other Forms of Market Imperfection
Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy

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  1. von Cramon-Taubadel, Stephan, 1998. "Estimating Asymmetric Price Transmission with the Error Correction Representation: An application to the German Pork Market," European Review of Agricultural Economics, Oxford University Press for the Foundation for the European Review of Agricultural Economics, vol. 25(1), pages 1-18.
  2. Sam Peltzman, 2000. "Prices Rise Faster than They Fall," Journal of Political Economy, University of Chicago Press, vol. 108(3), pages 466-502, June. [Downloadable!] (restricted)
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  3. Buckle, R-A & Carlson, J-A, 1996. "Inflation an Asymmetric Price Adjustment," Papers 96-013, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER).
  4. Cook, Steven & Holly, Sean & Turner, Paul, 1999. "DHSY Revisited: The Role of Asymmetries," Applied Economics, Taylor and Francis Journals, vol. 31(7), pages 775-78, July. [Downloadable!] (restricted)
  5. Jha, Raghbendra & Murthy, K. V. B. & Nagarajan, Hari K. & Seth, Ashok, 1999. "Components of the wholesale bid-ask spread and the structure of grain markets: the case of rice in India," Agricultural Economics, Blackwell, vol. 21(2), pages 173-189, October. [Downloadable!] (restricted)
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  6. Granger, C W J & Lee, T H, 1989. "Investigation of Production, Sales and Inventory Relationships Using Multicointegration and Non-symmetric Error Correction Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages S145-59, Supplemen. [Downloadable!] (restricted)
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This page was last updated on 2008-10-29.

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