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Please use this identifier to cite or link to this item: http://purl.umn.edu/15554

Title: FRACTIONAL CONINTEGRATION AND THE FALSE REJECTION OF THE LAW OF ONE PRICE IN INTERNATIONAL COMMODITY MARKETS
Authors: Mohanty, Samarendu
Peterson, E. Wesley F.
Smith, Darnell B.
Keywords: Fractional cointegration
International commodity markets
Law of One Price
Issue Date: 1998-12
Abstract: This study examines the Law of One Price (LOP) in international commodity markets using fractional cointegration analysis. For proper evaluation of the LOP, fractional cointegration analysis seems to be appropriate because of its flexibility in capturing a wider range of mean reversion behavior than standard cointegration analysis. Out of nine pairs of price series examined, fractional cointegration supports the existence of the LOP in eight cases, as compared to three cases using standard cointegration procedures. Overall, these results suggest that there is a long-run tendency for the LOP to hold for commodity prices.
URI: http://purl.umn.edu/15554
Institution/Association: Journal of Agricultural and Applied Economics>Volume 30, Number 02, December 1998
Total Pages: 10
Language: English
From Page: 267
To Page: 276
Collections:Volume 30, Number 02, December 1998

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