How Integrated is the Indian Wheat Market?

Atanu Ghoshray and Madhusudan Ghosh

Journal of Development Studies, 2011, vol. 47, issue 10, 1574-1594

Abstract: Applying the momentum-threshold autoregressive (M-TAR) model due to Enders and Granger (Enders, W. and Granger, C.W.J. (1998) Unit root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business and Economic Statistics, 16(3), pp. 304–311), this article examines the relationship between the various prices of wheat quoted at different market centres in four Indian states. We find evidence of M-TAR asymmetric adjustments of wheat prices, indicating that price signals within states are transmitted over time in an asymmetric manner. This type of price adjusting behaviour is consistent as to how price differentials may respond to poor dissemination of knowledge regarding market conditions and high transactions costs. The results offer important policy implications.

Date: 2011
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DOI: 10.1080/00220388.2011.579108

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