Spatial Market Arbitrage and Threshold Cointegration
Goodwin and Piggott reported that corn and soybean prices in spatially separated markets in North Carolina exhibited threshold cointegration and that commodity prices in different markets may persistently diverge. Here, a multivariate approach is used to test for threshold cointegration and nonlinear cointegration. The results suggest that departures from the law of one price do not persist indefinitely. Copyright 2003, Oxford University Press.
Volume (Year): 85 (2003)
Issue (Month): 4 ()
|Contact details of provider:|| Postal: 555 East Wells Street, Suite 1100, Milwaukee, Wisconsin 53202|
Phone: (414) 918-3190
Fax: (414) 276-3349
Web page: http://www.aaea.org/
More information through EDIRC
- Ahmed, Mansur & Goodwin, Barry, 2015. "Copula-Based Modeling of Dependence Structure among International Food Grain Markets," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 206059, Agricultural and Applied Economics Association;Western Agricultural Economics Association.
- 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.
- Akpan, S.B. & Udoka, S. J. & Inimfon, V. P., 2016. "Assessment of Rice Market Competiveness Using Horizontal Price Transmission: Empirical Evidence from Southern Region of Nigeria," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 8(2), June.
- Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
- Mann, Janelle M., 2013. "Is there a Global Relationship Across Crude Oil Benchmarks?," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150368, Agricultural and Applied Economics Association.
- Van Campenhout, Bjorn, 2007.
"Modelling trends in food market integration: Method and an application to Tanzanian maize markets,"
Elsevier, vol. 32(1), pages 112-127, February.
- van Campenhout, Bjorn, 2005. "Modelling Trends in Food Market Integration: Method and an Application to Tanzanian Maize Markets," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24718, European Association of Agricultural Economists.
- Cudjoe, Godsway & Breisinger, Clemens & Diao, Xinshen, 2010. "Local impacts of a global crisis: Food price transmission, consumer welfare and poverty in Ghana," Food Policy, Elsevier, vol. 35(4), pages 294-302, August.
- Meyer, Jochen, 2004. "Measuring market integration in the presence of transaction costs--a threshold vector error correction approach," Agricultural Economics, Blackwell, vol. 31(2-3), pages 327-334, December.
- Meyer, Jochen, 2003. "Measuring Market Integration In The Presence Of Transaction Costs - A Threshold Vector Error Correction Approach," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25869, International Association of Agricultural Economists.
- Burke, William J. & Myers, Robert J., 2014. "Spatial equilibrium and price transmission between Southern African maize markets connected by informal trade," Food Policy, Elsevier, vol. 49(P1), pages 59-70.
- Mallory Mindy & Lence Sergio H., 2012. "Testing for Cointegration in the Presence of Moving Average Errors," Journal of Time Series Econometrics, De Gruyter, vol. 4(2), pages 1-68, November.
- Mallory, M. & Lence, Sergio H., 2012. "Testing for Cointegration in the Presence of Moving Average Errors," Staff General Research Papers Archive 36076, Iowa State University, Department of Economics.
- Araujo-Enciso, Sergio Rene, 2011. "The Takayama and Judge Price and Allocation Model and its Application in Non-linear Techniques for Spatial Market Integration," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114225, European Association of Agricultural Economists.
- Xiaojie Xu, 2017. "Contemporaneous causal orderings of US corn cash prices through directed acyclic graphs," Empirical Economics, Springer, vol. 52(2), pages 731-758, March.
- Brümmer, Bernhard & von Cramon-Taubadel, Stephan & Zorya, Sergiy, 2006. "Vertical Price Transmission between Wheat and Flour in Ukraine: A Markov-Switching Vector Error Correction Approach," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25575, International Association of Agricultural Economists.
- Fan, Xiaoli & Gómez, Miguel I. & Atallah, Shady S. & Hernandez, Juan, 2014. "Examining Seasonality of Spatial Efficiency in the U.S. Fresh Broccoli Market," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170235, Agricultural and Applied Economics Association.
- 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.
- Myung Hwan Seo, 2007. "Estimation of Nonlinear Error CorrectionModels," STICERD - Econometrics Paper Series 517, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Gotz, Linde & Qiu, Feng & Glauben, Thomas, 2012. "The Law of One Price under State-Dependent Policy Intervention: An Application to the Ukrainian Wheat Market," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124904, Agricultural and Applied Economics Association.
- Jing Li & Junsoo Lee, 2010. "ADL tests for threshold cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 241-254, 07.
- Jing Li & Junsoo Lee, 2009. "ADL tests for threshold cointegration," SDSU Working Papers in Progress 22009, South Dakota State University, Department of Economics.
- Guney, Selin & Goodwin, Barry K., 2013. "Semi-Parametric, Generalized Additive Vector Autoregressive Models of Spatial Price Dynamics," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 151149, Agricultural and Applied Economics Association.
- Tione, Sarah Ephridah, 2011. "Analysis of Effectiveness of Modern Information and Communication Technologies on Maize Marketing Efficiency in Lilongwe and Dedza Districts and Selected Markets of Malawi," Research Theses 198525, Collaborative Masters Program in Agricultural and Applied Economics.
When requesting a correction, please mention this item's handle: RePEc:oup:ajagec:v:85:y:2003:i:4:p:1041-1046. 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: (Oxford University Press)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.
Follow series, journals, authors & more
New papers by email
Subscribe to new additions to RePEc
Public profiles for Economics researchers
Various rankings of research in Economics & related fields
Who was a student of whom, using RePEc
Curated articles & papers on various economics topics
Upload your paper to be listed on RePEc and IDEAS
Blog aggregator for economics research
Cases of plagiarism in Economics
Job Market Papers
RePEc working paper series dedicated to the job market
Pretend you are at the helm of an economics department
Services from the StL Fed
Data, research, apps & more from the St. Louis Fed