Threshold cointegration and spatial price transmission when expectations matter

Sergio Lence, GianCarlo Moschini and Fabio Santeramo

Agricultural Economics, 2018, vol. 49, issue 1, 25-39

Abstract: We examine the performance of the threshold cointegration approach, specifically Band†TVECM, to price transmission analysis in an explicit context where trade decisions are made based on expectation of final prices, because trade takes time. We find that, following a standard inference strategy, a large portion of three†regime cases are not identified as such. Results show that transfer costs are systematically underestimated, particularly in three†regime models. The speed of price transmission is also biased in three†regime models. Furthermore, inferences about occurrence of trade are poor, with estimated models suggesting far lower market integration than is true in the data†generating process.

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
https://doi.org/10.1111/agec.12393

Related works:
Working Paper: Threshold cointegration and spatial price transmission when expectations matter (2017)
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:bla:agecon:v:49:y:2018:i:1:p:25-39

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0169-5150

Access Statistics for this article

Agricultural Economics is currently edited by W.A. Masters and G.E. Shively

More articles in Agricultural Economics from International Association of Agricultural Economists Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().