Testing for the law of one price: rice market integration in Bangladesh
Recent studies of spatial market integration have adopted error correction models to test for its existence and for market dominance. An integrated empirical framework is proposed here which tests for long-run spatial market integration between price pairs using a dynamic vector autoregressive model and cointegration. Hypotheses tests of market integration, perfect market integration, and causality are conducted sequentially. The approach is illustrated using monthly prices from rice markets in Bangladesh since trade liberalisation in 1992. Results show that rice markets are perfectly integrated and that Dhaka dominates near markets but is dominated by more distant markets. Copyright © 2002 John Wiley & Sons, Ltd.
Volume (Year): 14 (2002)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www3.interscience.wiley.com/journal/5102/home|
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.:
- Johansen, Soren, 1992.
"Determination of Cointegration Rank in the Presence of a Linear Trend,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 54(3), pages 383-397, August.
- Johansen, S., 1991. "Determination of Cointegration Rank in the Presence of a Linear Trend," Papers 76a, Helsinki - Department of Economics.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
- Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-270, July.
- Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
- Tom Doan, "undated". "ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test," Statistical Software Components RTS00236, Boston College Department of Economics.
- Mosconi, Rocco & Giannini, Carlo, 1992. "Non-causality in Cointegrated Systems: Representation Estimation and Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 399-417, August.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
- Hatanaka, Michio, 1996. "Time-Series-Based Econometrics: Unit Roots and Co-integrations," OUP Catalogue, Oxford University Press, number 9780198773535.
- Theodosios B. Palaskas & Barbara Harriss-White, 1996. "The identification of market exogeneity and market dominance by tests instead of assumption: An application to Indian material," Journal of International Development, John Wiley & Sons, Ltd., vol. 8(1), pages 111-123.
- Goletti, Francesco, 1994. "The changing public role in a rice economy approaching self-sufficiency: the case of Bangladesh," Research reports 98, International Food Policy Research Institute (IFPRI).
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- N/A, 1985. "Bangladesh," India Quarterly: A Journal of International Affairs, , vol. 41(1), pages 132-135, January.
- Crow, Ben & Murshid, K. A. S., 1994. "Economic returns to social power: Merchants' finance and interlinkage in the grain markets of Bangladesh," World Development, Elsevier, vol. 22(7), pages 1011-1030, July.
- Ahmed, Raisuddin & Bernard, Andrew, 1989. "Rice price fluctuation and an approach to price stabilization in Bangladesh:," Research reports 72, International Food Policy Research Institute (IFPRI).
- Jones, William O., 1968. "The Structure of Staple Food Marketing in Nigeria as Revealed by Price Analysis," Food Research Institute Studies, Stanford University, Food Research Institute, issue 02.
- Bob Baulch, 1997. "Testing for food market integration revisited," Journal of Development Studies, Taylor & Francis Journals, vol. 33(4), pages 512-534.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. Full references (including those not matched with items on IDEAS)