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Measuring Market Integration in the Presence of Threshold Effect: The Case of Bangladesh Rice Markets

  • Alam, Mohammad Jahangir
  • McKenzie, Andrew M.
  • Buysse, Jeroen
  • Begum, Ismat Ara
  • Wailes, Eric J.
  • Van Huylenbroeck, Guido
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    Spatial price integration among five major Bangladesh rice markets is examined in the presence of threshold effects to account for the impact of transaction costs in the price adjustment process. Hansen and Seo (2002) threshold cointegration tests and threshold vector error correction models confirm the presence of threshold effects. Results highlight the importance of directing policy goals towards reducing transaction cost to engender greater pricing efficiency in Bangladesh rice markets.

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    File URL: http://purl.umn.edu/124435
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    Paper provided by Agricultural and Applied Economics Association in its series 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington with number 124435.

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    Date of creation: 01 Jun 2012
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    Handle: RePEc:ags:aaea12:124435
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    7. Hansen, Bruce E. & Seo, Byeongseon, 2002. "Testing for two-regime threshold cointegration in vector error-correction models," Journal of Econometrics, Elsevier, vol. 110(2), pages 293-318, October.
    8. Kling, Catherine L. & Sexton, Richard & Carman, Hoy, 1991. "Market Integration, Efficiency of Arbitrage, and Imperfect Competition: Methodology and Application to U.S. Celery," Staff General Research Papers 1609, Iowa State University, Department of Economics.
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