Agricultural Price Transmission Across Space and Commodities During Price Bubbles

This paper analyses the horizontal transmission of cereal price shocks both across different market places and across different commodities. The analysis is carried out using Italian and international weekly spot (cash) price data and concentrating the attention on years 2006-2010, a period of generalized exceptional exuberance and consequent rapid drop of agricultural prices. The work aims at investigating how price transmission may be affected during price bubbles. The properties of price time series are firstly explored to assess which data generation process may have eventually produced the observed patterns. Secondly, the interdependence across prices is specified and estimated adopting appropriate cointegration techniques.


Issue Date:
2011
Publication Type:
Conference Paper/ Presentation
Record Identifier:
http://ageconsearch.umn.edu/record/114338
PURL Identifier:
http://purl.umn.edu/114338
Total Pages:
17
JEL Codes:
Q110; C320




 Record created 2017-04-01, last modified 2018-01-22

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