IDEAS home Printed from https://ideas.repec.org/a/bla/jageco/v52y2001i2p113-121.html
   My bibliography  Save this article

A Note on Tests for Market Integration in a Multivariate Non‐Stationary Framework

Author

Listed:
  • Ana I. Sanjuán
  • Jose M. Gil

Abstract

In this note relationships among agricultural prices are studied to offer a guide to the degree of market integration. Unlike many previous studies, which examine market integration using pairs of prices, we conduct testing in a multivariate framework to exploit the information embodied in the indirect price linkages. We focus on the formulation of hypotheses that identify the cointegration space using time series data on European pork and lamb markets. Results indicate that the national markets for pork are more closely integrated than those for lamb. Extraneous market information is exploited in an attempt to identify the cause of this segmentation in the European lamb market, although results do not support any of the hypotheses proposed.

Suggested Citation

  • Ana I. Sanjuán & Jose M. Gil, 2001. "A Note on Tests for Market Integration in a Multivariate Non‐Stationary Framework," Journal of Agricultural Economics, Wiley Blackwell, vol. 52(2), pages 113-121, May.
    • Handle: RePEc:bla:jageco:v:52:y:2001:i:2:p:113-121
    DOI: 10.1111/j.1477-9552.2001.tb04526.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1477-9552.2001.tb04526.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1477-9552.2001.tb04526.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Gary W. Brester & Barry K. Goodwin, 1993. "Vertical and Horizontal Price Linkages and Market Concentration in the U.S. Wheat Milling Industry," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 15(3), pages 507-519.
    2. John Baffes, 1991. "Some Further Evidence on the Law of One Price: The Law of One Price Still Holds," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(4), pages 1264-1273.
    3. Barry K. Goodwin, 1992. "Multivariate Cointegration Tests and the Law of one Price: A Clarification and Correction," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 14(2), pages 337-338.
    4. Schroeder, Ted C. & Goodwin, Barry K., 1990. "Regional Fed Cattle Price Dynamics," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 15(1), pages 1-12, July.
    5. Barry K. Goodwin & Ted C. Schroeder, 1991. "Cointegration Tests and Spatial Price Linkages in Regional Cattle Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 73(2), pages 452-464.
    6. Pier Giorgio Ardeni, 1989. "Does the Law of One Price Really Hold for Commodity Prices?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(3), pages 661-669.
    7. Franses, P. H., 1990. "Testing For Seasonal Unit Roots In Monthly Data," Econometric Institute Archives 272393, Erasmus University Rotterdam.
    8. G. P. Zanias, 1993. "Testing For Integration In European Community Agricultural Product Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 44(3), pages 418-427, September.
    9. Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July.
    10. Barry K. Goodwin, 1992. "Multivariate Cointegration Tests and the Law of One Price in International Wheat Markets," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 14(1), pages 117-124.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Liu, Qinghua & Wang, H. Holly, 2003. "Market Integration Test For Pacific Egg Markets," 2003 Annual meeting, July 27-30, Montreal, Canada 21934, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Javier Escobal & Arturo Vásquez, 2005. "Market integration for agricultural output markets in Peru: the role of public infrastructure," Urban/Regional 0507003, University Library of Munich, Germany.
    3. Harvey, David R., 2004. "European Perspective On Market Integration," North American Agrifood Integration: Situation and Perspectives, May 2004, Cancun, Mexico 16734, Farm Foundation.
    4. Nga, Nguyen Thi Duong & Lantican, Flordeliza A., 2009. "Spatial Integration of Rice Markets in Vietnam," Asian Journal of Agriculture and Development, Southeast Asian Regional Center for Graduate Study and Research in Agriculture (SEARCA), vol. 6(1), pages 1-16, June.
    5. Escobal, Javier, 2005. "The Role of Public Infraestructure in Market Development in Rural Peru," MPRA Paper 727, University Library of Munich, Germany.
    6. Araujo-Encisco, Sergio, 2011. "Analisis de transmision de precios entre los mercados de maiz mexicanos y el mercado estadounidense: metodos lineales y no lineales," Revista Espanola de Estudios Agrosociales y Pesqueros, Ministerio de Medio Ambiente, Rural y Marino (formerly Ministry of Agriculture), issue 229, pages 1-40.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. James O. Bukenya & Walter C. Labys, 2005. "Price Convergence on World Commodity Markets: Fact or Fiction?," International Regional Science Review, , vol. 28(3), pages 302-329, July.
    2. Giulia LISTORTI, 2008. "Price Transmission Mechanisms: a Policy Investigation of International Wheat Markets," Working Papers 318, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    3. Ralph Bierlen & Eric J. Wailes & Gail L. Cramer, 1998. "Unilateral reforms, trade blocs, and law of one price: MERCOSUR rice markets," Agribusiness, John Wiley & Sons, Ltd., vol. 14(3), pages 183-198.
    4. Vinuya, Ferdinand D., 2006. "Testing for Market Integration and the Law of One Price in World Shrimp Markets," 2006 Annual Meeting, February 5-8, 2006, Orlando, Florida 35351, Southern Agricultural Economics Association.
    5. Tleubayev, Alisher & Jamali Jaghdani, Tinoush & Götz, Linde & Svanidze, Miranda, 2021. "The relationship between trade policies and macroeconomic adjustments in the Russian cheese market integration," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 22(3), pages 44-68.
    6. McNew, Kevin, 1996. "Spatial Market Integration: Definition, Theory, And Evidence," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 25(1), pages 1-11, April.
    7. Suharno, S., 2018. "Spatial Market Integration and Price Transmission of Meat in Indonesia," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277371, International Association of Agricultural Economists.
    8. Alisher Tleubayev & Tinoush Jamali Jaghdani & Linde Gotz & Miranda Svanidze, 2021. "The relationship between trade policies and macroeconomic adjustments in the Russian cheese market integration," Journal of New Economy, Ural State University of Economics, vol. 22(3), pages 44-68, October.
    9. Padilla-Bernal, Luz E. & Thilmany, Dawn D., 2003. "Price Relationships Among North American Fresh Tomato Markets: A Comparison Between Mexican And U.S. Markets," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 5(3), pages 1-19.
    10. Bingham, Matthew F. & Prestemon, Jeffrey P. & MacNair, Douglas J. & Abt, Robert C. & Bingham, Matthew F., 2003. "Market structure in U. S. southern pine roundwood," Journal of Forest Economics, Elsevier, vol. 9(2), pages 97-117.
    11. Frank Asche & Daniel Gordon & Rognvaldur Hannesson, 2002. "Searching for price parity in the European whitefish market," Applied Economics, Taylor & Francis Journals, vol. 34(8), pages 1017-1024.
    12. Dragan Miljkovic, 2009. "US and Canadian livestock prices: market integration and trade dependence," Applied Economics, Taylor & Francis Journals, vol. 41(2), pages 183-193.
    13. Fredoun Z. Ahmadi-Esfahani, 2006. "Testing the law of one price in the Chinese wholesale food markets," Agribusiness, John Wiley & Sons, Ltd., vol. 22(4), pages 569-589.
    14. Pippenger, John, 2007. "Strictly Speaking, the Law of One Price Works in Commodity Markets," University of California at Santa Barbara, Economics Working Paper Series qt1sf2d60x, Department of Economics, UC Santa Barbara.
    15. Gil, Jose M. & Montañés, Antonio & Vásquez-González, Bernardo, 2023. "Are prices converging in the global sawnwood market?," Forest Policy and Economics, Elsevier, vol. 155(C).
    16. Elena Claire Ricci & Massimo Peri & Lucia Baldi, 2019. "The Effects of Agricultural Price Instability on Vertical Price Transmission: A Study of the Wheat Chain in Italy," Agriculture, MDPI, vol. 9(2), pages 1-14, February.
    17. Florine Livat, 2007. "Mesure des interactions de prix : une analyse des modalités de substitution parmi sept vins de Bordeaux," Économie et Prévision, Programme National Persée, vol. 180(4), pages 127-145.
    18. Kadir Eryigit & Suleyman Karaman, 2011. "Testing for spatial market integration and law of one price in Turkish wheat markets," Quality & Quantity: International Journal of Methodology, Springer, vol. 45(6), pages 1519-1530, October.
    19. Yang, Jian & Bessler, David A. & Leatham, David J., 2000. "The Law Of One Price: Developed And Developing Country Market Integration," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 32(3), pages 1-12, December.
    20. Walter Labys, 2005. "Commodity Price Fluctuations: A Century of Analysis," Working Papers Working Paper 2005-01, Regional Research Institute, West Virginia University.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jageco:v:52:y:2001:i:2:p:113-121. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0021-857X .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.