“Who pays the piper calls the tune” – Networks and transaction costs in commodity markets
Pierre Siklos () and
No 8819, CQE Working Papers from Center for Quantitative Economics (CQE), University of Muenster
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)
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Persistent link: https://EconPapers.repec.org/RePEc:cqe:wpaper:8819
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