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Agricultural and oil commodities: price transmission and market integration between US and Italy

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  • Rosa, Franco
  • Vasciaveo, Michela
  • Weaver, Robert D.

Abstract

Purpose of this article it to get some evidences of market interaction between United States and Italy using the time series analysis of spot prices spanning from January 1999 to May 2012 for crude oil and three ag-commodities: wheat, corn and soybean. These crops have been selected for their relevance in ag-commodity exchanges between US and Italy markets. The integration between US and Italy agricultural markets is hypothesized for the consistent volume of crop traded between these two countries while the price transmission is related to the leading price signals of the CBT (Chicago Board of Trade). The integration between oil and ag-commodity markets is suggested both by the large use of energy intensive inputs, (fertilizer, seed, machinery) in production of these ag-commodities, and their use in biofuel production. The results suggest: a) for US market the evidence of market integration between crude oil and US ag-commodities; b) for Italy the integration with US ag-commodity markets and less evidence of integration with the oil market. These results are valuable information both for the agents and policy makers contributing to improve the information accuracy to predict the price movements used by marketing operators for their strategies and policy makers to set up policies to re-establish conditions of market efficiency and allocate these ag-commodities in alternative market channels.

Suggested Citation

  • Rosa, Franco & Vasciaveo, Michela & Weaver, Robert D., 2014. "Agricultural and oil commodities: price transmission and market integration between US and Italy," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), issue 2, August.
  • Handle: RePEc:ags:aieabj:182905
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    References listed on IDEAS

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    Cited by:

    1. Rosa, Franco & Weaver, Robert D. & Vasciaveo, Michela, 2015. "Structural Changes and Dairy Chain Efficiency in Italy," International Journal on Food System Dynamics, International Center for Management, Communication, and Research, vol. 6(3).

    More about this item

    Keywords

    Agricultural commodity prices; time series analysis; cointegration; price transmission; market integration; Demand and Price Analysis; International Relations/Trade; C22; Q11; Q13;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness

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