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“Who pays the piper calls the tune” – Networks and transaction costs in commodity markets

Alexander Pütz, Pierre Siklos () and Christoph Sulewski

No 8819, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster

Abstract: A new dataset of weekly wheat prices during the 1898 - 1914 is generated. Using variance decompositions from vector autoregressive (VAR) models, a network of 9 wheat markets during the sample period is constructed and information spillovers between these markets are analyzed. Our results indicate that transaction costs are a significant determinant of the relative importance of market places in the continental European wheat trade.

Keywords: Early commodity futures markets; Information transmission; Connectedness; Network analysis (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-his
Date: 2019-08
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