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Non‐parametric Modelling of Spatial Price Relationships

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  • Teresa Serra
  • Barry K. Goodwin
  • José M. Gil
  • Anthony Mancuso

Abstract

We apply non‐parametric methods to a consideration of price transmission processes within US egg markets at the turn of the nineteenth century. Gordon (National Bureau of Economic Research Working Paper 7833, 2000) labelled this as an era of ‘Great Inventions’ which contributed to the subsequent years of significant productivity growth and noted that the development of mechanical refrigeration and transportation technologies played an important role in this growth. Our models present certain advantages relative to parametric models traditionally employed in price transmission analyses. We compare results derived from local polynomial modelling with those obtained using non‐linear threshold models. Both techniques suggest that US egg markets were interrelated at the turn of the nineteenth century. However, non‐parametric techniques often suggest a higher degree of price transmission than that implied by threshold models. Results also suggest that threshold models may have difficulties in adequately capturing price relationship dynamics, especially when these are of a highly nonlinear nature.

Suggested Citation

  • Teresa Serra & Barry K. Goodwin & José M. Gil & Anthony Mancuso, 2006. "Non‐parametric Modelling of Spatial Price Relationships," Journal of Agricultural Economics, Wiley Blackwell, vol. 57(3), pages 501-522, September.
    • Handle: RePEc:bla:jageco:v:57:y:2006:i:3:p:501-522
    DOI: 10.1111/j.1477-9552.2006.00062.x
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    References listed on IDEAS

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    1. Robert J. Gordon, 2000. "Does the "New Economy" Measure Up to the Great Inventions of the Past?," Journal of Economic Perspectives, American Economic Association, vol. 14(4), pages 49-74, Fall.
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    Cited by:

    1. Hamulczuk, Mariusz, 2020. "Spatial Integration of Agricultural Commodity Markets – Methodological Problems," Problems of Agricultural Economics / Zagadnienia Ekonomiki Rolnej 311225, Institute of Agricultural and Food Economics - National Research Institute (IAFE-NRI).
    2. Van Campenhout, Bjorn, 2012. "Market Integration in Mozambique:: A Non-Parametric Extension to the Threshold Model," MSSP working papers 4, International Food Policy Research Institute (IFPRI).
    3. Stephan von Cramon-Taubadel, 2017. "The analysis of market integration and price transmission – results and implications in an African context," Agrekon, Taylor & Francis Journals, vol. 56(2), pages 83-96, April.
    4. Santeramo, Fabio Gaetano & Cioffi, Antonio, 2012. "Transmission Of Market Crises In The European Vegetables Sector," Politica Agricola Internazionale - International Agricultural Policy, Edizioni L'Informatore Agrario, vol. 2012(2), pages 1-10, March.
    5. Ihle, Rico & von Cramon-Taubadel, Stephan, 2008. "A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37603, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    6. Rosales, Francisco & von-Cramon, Stephan, 2015. "Analysis of Price Transmission using a Nonparametric Error Correction Model with Time-Varying Cointegration," 2015 Conference, August 9-14, 2015, Milan, Italy 230227, International Association of Agricultural Economists.
    7. Rogers, Evan, 2014. "Spatial Price Transmission and Market Linkages in US Framing Lumber Markets," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 174436, Agricultural and Applied Economics Association.
    8. Craig, Lee & Holt, Matthew T., 2012. "The Role of Mechanical Refrigeration in Spatial and Temporal Price Dynamics for Regional U.S. Egg Markets, 1880–1911," MPRA Paper 39554, University Library of Munich, Germany.
    9. Lohano, Heman D. & Mari, Fateh M., 2012. "Measuring Spatial Integration in Tomato and Onion Markets of Pakistan: An Application of Error Correction Model in the Presence of Stationarity," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124611, Agricultural and Applied Economics Association.
    10. Kopp, Thomas & Alamsyah, Zulkifli & Fatricia, Raja Sharah & Brümmer, Bernhard, 2014. "Have Indonesian Rubber Processors Formed a Cartel? Analysis of Intertemporal Marketing Margin Manipulation," EFForTS Discussion Paper Series 3, University of Goettingen, Collaborative Research Centre 990 "EFForTS, Ecological and Socioeconomic Functions of Tropical Lowland Rainforest Transformation Systems (Sumatra, Indonesia)".
    11. Brosig, Stephan & Glauben, Thomas & Götz, Linde & Weitzel, Enno-Burghard & Bayaner, Ahmet, 2011. "The Turkish wheat market: spatial price transmission and the impact of transaction costs," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 27(2), pages 147-161.
    12. Fousekis, Panos, 2020. "Sign and size asymmetry in the stock returns-implied volatility relationship," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    13. Mu, Yali, 2024. "Measuring and benchmarking time-varying market efficiency," IAAE 2024 Conference, August 2-7, 2024, New Delhi, India 344294, International Association of Agricultural Economists (IAAE).
    14. 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.

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