Modelling Trends in Food Market Integration: Method and an Application to Tanzanian Maize Markets

Bjorn Van Campenhout

No 24718, 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark from European Association of Agricultural Economists

Abstract: Pushed by increasing availability of price data and extensive market liberalisation efforts in many developing countries, research on food market integration has evolved rapidly over the last two decades. Empirical methods to measure market integration diverged in two directions: on the one hand, there is the Parity Bounds Model (PBM), while on the other hand the use of Threshold Autoregressive (TAR) Models has been proposed. This article provides a discussion of the two methods and argues that TAR models are more able to capture the dynamics of the arbitrage process underlying interconnected markets. Furthermore, we extend the standard TAR model to include a time trend in both the threshold and the adjustment parameter. Using weekly maize price data on seven selected markets in Tanzania, we illustrate how both transaction cost and the speed of adjustment have changed during the nineties.

Keywords: Agribusiness (search for similar items in EconPapers)
Pages: 14
Date: 2005
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Citations: View citations in EconPapers (2)

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Journal Article: Modelling trends in food market integration: Method and an application to Tanzanian maize markets (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:eaae05:24718

DOI: 10.22004/ag.econ.24718

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