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Abstract

This research examines the integration of commodity markets in Uganda. Weekly maize price data collected during 2001-2011in 13 regional markets is used to assess the degree to which these markets are cointegrated, i.e., market prices tend to share a long-term trend. A threshold autoregressive model is used to determine if symmetric or asymmetric threshold behavior is evident. All except one regional market is found to be linearly cointegrated with the central market. Threshold behavior only becomes apparent in the latter portion of time frame under analysis when 6 regional markets show evidence of thresholds (symmetric or asymmetric).

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