Agricultural Price Transmission Across Space and Commodities During Price Bubbles

Roberto Esposti and Giulia Listorti (giulia.listorti@blw.admin.ch)
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Giulia Listorti: Federal Office for Agriculture /FIAG(, Berne (Switzerland)

No 367, Working Papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

Abstract: The objective of this paper is to investigate agricultural price transmission during price bubbles and to assess whether the implemented trade policy measures did eventually play a role. We study horizontal cereal price transmission both across different market places and across different commodities. The analysis is performed using Italian and international weekly spot (cash) prices in the years 2006-2010, a period of generalized exceptional exuberance and consequent rapid drop of agricultural prices. Firstly, the properties of the price series are explored to assess which data generation process may lie behind the observed patterns. Secondly, the interdependence across prices is estimated adopting appropriate cointegration techniques. Results suggest that most prices behave as I(1) series, though some also show either fractional integration in the first differences or explosive roots. A long-run (cointegration) relationship occurs among prices of the same commodity across different markets but not among prices of different commodities. In both long-run and short-run relationships the "bubble" seems to have played a role as well as the consequent policy intervention on import duties.

Keywords: Cointegration; Price Bubbles; Price Transmission; Time Series Properties (search for similar items in EconPapers)
JEL-codes: C32 Q11 (search for similar items in EconPapers)
Pages: 30
Date: 2011-11
New Economics Papers: this item is included in nep-agr
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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http://docs.dises.univpm.it/web/quaderni/pdf/367.pdf First version, 2011 (application/pdf)

Related works:
Journal Article: Agricultural price transmission across space and commodities during price bubbles (2013)
Working Paper: Agricultural Price Transmission Across Space and Commodities During Price Bubbles (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:anc:wpaper:367

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