Agricultural price transmission across space and commodities during price bubbles
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.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 44 (2013)
Issue (Month): 1 (01)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0169-5150|
More information through EDIRC
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0169-5150|
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.:
- Nielsen, Bent, 2010.
"Analysis Of Coexplosive Processes,"
Cambridge University Press, vol. 26(03), pages 882-915, June.
- Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-930, September.
- Peter C.B. Phillips & Tassos Magdalinos, 2008.
"Unit Root and Cointegrating Limit Theory When Initialization Is in the Infinite Past,"
Cowles Foundation Discussion Papers
1655, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2009. "Unit Root And Cointegrating Limit Theory When Initialization Is In The Infinite Past," Econometric Theory, Cambridge University Press, vol. 25(06), pages 1682-1715, December.
- Engsted, Tom, 2006. "Explosive bubbles in the cointegrated VAR model," Finance Research Letters, Elsevier, vol. 3(2), pages 154-162, June.
- H. Dewachter & R. Houssa & P.R. Kaltwasser, 2011. "Introduction," Review of Business and Economic Literature, Intersentia, vol. 56(4), pages 378-382, December.
- 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), issue 1, pages -, April.
- Peter C. B. Phillips & Jun Yu, 2009.
"Dating the Timeline of Financial Bubbles During the Subprime Crisis,"
18-2009, Singapore Management University, School of Economics.
- Peter C. B. Phillips & Jun Yu, 2011. "Dating the timeline of financial bubbles during the subprime crisis," Quantitative Economics, Econometric Society, vol. 2(3), pages 455-491, November.
- Peter C. B. Phillips & Jun Yu, 2010. "Dating the Timeline of Financial Bubbles during the Subprime Crisis," Cowles Foundation Discussion Papers 1770, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Jun Yu, 2009. "Dating the Timeline of Financial Bubbles During the Subprime Crisis," Finance Working Papers 23051, East Asian Bureau of Economic Research.
- 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 114438, European Association of Agricultural Economists.
- Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, vol. 78(3), pages 520-530, June.
- Anning Wei & Raymond M. Leuthold, 1998. "Long Agricultural Futures Prices: ARCH, Long Memory, or Chaos Processes?," Finance 9805001, EconWPA.
- Søren Johansen & Rocco Mosconi & Bent Nielsen, 2000.
"Cointegration analysis in the presence of structural breaks in the deterministic trend,"
Royal Economic Society, vol. 3(2), pages 216-249.
- Bent Nielsen, 2000. "Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend," Econometric Society World Congress 2000 Contributed Papers 1494, Econometric Society.
- Rico Ihle & Bernhard Brümmer & Stanley R. Thompson, 2012. "Structural change in European calf markets: decoupling and the blue tongue disease," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 39(1), pages 157-180, February.
- C. Dominguez-Pery, 2011. "Introduction," Post-Print halshs-00740570, HAL.
- Philip J. Dawson & Ana I. Sanjuán & 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, vol. 28(4), pages 585-594.
- Irwin, Scott H. & Good, Darrel L., 2009. "Market Instability in a New Era of Corn, Soybean, and Wheat Prices," Choices, Agricultural and Applied Economics Association, vol. 24(1).
- N. Lesca, 2011. "Introduction," Post-Print halshs-00640604, HAL.
When requesting a correction, please mention this item's handle: RePEc:bla:agecon:v:44:y:2013:i:1:p:125-139. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.