IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Agricultural price transmission across space and commodities during price bubbles

  • Roberto Esposti
  • Giulia Listorti

This paper analyses the horizontal transmission of cereal price shocks both across different market places and across different commodities. The analysis is carried out using Italian and international weekly spot (cash) price data and concentrating the attention on years 2006-2010, a period of generalized exceptional exuberance and consequent rapid drop of agricultural prices. The work aims at investigating how price transmission may be affected during price bubbles. The properties of price time series are firstly explored to assess which data generation process may have eventually produced the observed patterns. Secondly, the interdependence across prices is specified and estimated adopting appropriate cointegration techniques.

(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.

File URL: http://hdl.handle.net/10.1111/j.1574-0862.2012.00636.x
Download Restriction: Access to full text is restricted to subscribers.

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.

Article provided by International Association of Agricultural Economists in its journal Agricultural Economics.

Volume (Year): 44 (2013)
Issue (Month): 1 (01)
Pages: 125-139

as
in new window

Handle: RePEc:bla:agecon:v:44:y:2013:i:1:p:125-139
Contact details of provider: Web page: http://www.blackwellpublishing.com/journal.asp?ref=0169-5150
Email:


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.:

as in new window
  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.
  2. 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.
  3. 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.
  4. Anning Wei & Raymond M. Leuthold, 1998. "Long Agricultural Futures Prices: ARCH, Long Memory, or Chaos Processes?," Finance 9805001, EconWPA.
  5. Bent Nielsen, 2005. "Analysis of co-explosive processes," Economics Papers 2005-W08, Economics Group, Nuffield College, University of Oxford.
  6. 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.
  7. H. Dewachter & R. Houssa & P.R. Kaltwasser, 2011. "Introduction," Review of Business and Economic Literature, Intersentia, vol. 56(4), pages 378-382, December.
  8. Rico Ihle & Bernhard Br�mmer & 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.
  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), issue 1, April.
  10. Engsted, Tom, 2006. "Explosive bubbles in the cointegrated VAR model," Finance Research Letters, Elsevier, vol. 3(2), pages 154-162, June.
  11. 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.
  12. Bent Nielsen, 2005. "Analysis of co-explosive processes," Economics Series Working Papers 2005-W08, University of Oxford, Department of Economics.
  13. 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, vol. 28(4), pages 585-594.
  14. Bent Nielsen & Soren Johansen and Rocco Mosconi, 2000. "Cointegration analysis in the presence of structural breaks in the deterministic trend," Economics Series Working Papers 2000-W22, University of Oxford, Department of Economics.
  15. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-30, September.
  16. 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).
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.