The Transmission of World Maize Price to South African Maize Market: A Threshold Cointegration Approach
Babatunde O. Abidoye and
Labuschagne Marlene
No 206515, Working Papers from University of Pretoria, Department of Agricultural Economics, Extension and Rural Development
Abstract:
This paper seeks to provide an explanation for the relationship between domestic maize price in South Africa and world maize prices in order to evaluate co-movement and transmission of world prices to domestic prices in Sub-Sahara African countries. This is done by comparing nested and non-nested models that capture di erent forms of nonlinearity in the price spread. Adopting a Bayesian approach that allows for comparison of models using Bayes Factor, we found that the relationship between South African price and world price for maize indicates the presence of nonlinearity in price transmission with three regimes that is triggered by the price spread in previous period.
Keywords: Financial Economics; Production Economics; Public Economics (search for similar items in EconPapers)
Pages: 29
Date: 2012-07-05
References: Add references at CitEc
Citations: View citations in EconPapers (2)
Downloads: (external link)
https://ageconsearch.umn.edu/record/206515/files/2012%20_4_.pdf (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ags:upaewp:206515
DOI: 10.22004/ag.econ.206515
Access Statistics for this paper
More papers in Working Papers from University of Pretoria, Department of Agricultural Economics, Extension and Rural Development Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search (aesearch@umn.edu).