Agricultural Price Transmission Across Space and Commodities During Price Bubbles
Roberto Esposti and
Giulia Listorti
No 114338, 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland from European Association of Agricultural Economists
Abstract:
This paper analyses the horizontal transmission of cereal price shocks both across different market places and across different commodities. The analysis is carried out using Italian and international weekly spot (cash) price data and concentrating the attention on years 2006-2010, a period of generalized exceptional exuberance and consequent rapid drop of agricultural prices. The work aims at investigating how price transmission may be affected during price bubbles. The properties of price time series are firstly explored to assess which data generation process may have eventually produced the observed patterns. Secondly, the interdependence across prices is specified and estimated adopting appropriate cointegration techniques.
Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
Pages: 17
Date: 2011
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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:ags:eaae11:114338
DOI: 10.22004/ag.econ.114338
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