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“Who pays the piper calls the tune” – Networks and transaction costs in commodity markets

Author

Listed:
  • Alexander Pütz
  • Pierre L. Siklos
  • Christoph Sulewski

Abstract

A new dataset of weekly wheat prices during the 1898 - 1914 is generated. Using variance decompositions from vector autoregressive (VAR) models, a network of 9 wheat markets during the sample period is constructed and information spillovers between these markets are analyzed. Our results indicate that transaction costs are a significant determinant of the relative importance of market places in the continental European wheat trade.

Suggested Citation

  • Alexander Pütz & Pierre L. Siklos & Christoph Sulewski, 2019. "“Who pays the piper calls the tune” – Networks and transaction costs in commodity markets," CQE Working Papers 8819, Center for Quantitative Economics (CQE), University of Muenster.
  • Handle: RePEc:cqe:wpaper:8819
    as

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    File URL: https://www.wiwi.uni-muenster.de/cqe/sites/cqe/files/CQE_Paper/cqe_wp_88_2019.pdf
    File Function: Version of August 2019
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    References listed on IDEAS

    as
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    Keywords

    Early commodity futures markets; Information transmission; Connectedness; Network analysis;

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