Testing for asymmetric cointegration of Italian agricultural commodities prices: Evidence from the futures-spot market relationship

Carlotta Penone and Samuele Trestini
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Carlotta Penone: Department of Land, Environment, Agriculture and Forestry, School of Agricultural Sciences and Veterinary Medicine, University of Padua, Padua, Italy

Agricultural Economics, 2022, vol. 68, issue 2, 50-58

Abstract: The volatility of food prices still raises concerns among agricultural market players, increasing interest in the futures markets, thus calling for a better understanding of the connection between the futures and the Italian spot prices. This study uses symmetric and asymmetric vector error correction models to investigate the relationship between futures and spot prices for the Italian agricultural markets of soybean, corn, and milling wheat. The results confirm the leading role of the futures contract prices for all the considered commodities. Moreover, the non-linear cointegration analysis results suggest price transmission's asymmetries for all the agricultural commodity prices. This research provides critical insight into the shape of the futures-spot price transmission.

Keywords: hedging; price discovery; price transmission; threshold vector error correction model; vector error correction model (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:caa:jnlage:v:68:y:2022:i:2:id:226-2021-agricecon

DOI: 10.17221/226/2021-AGRICECON

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