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Abstract
This study explores the link between proximity and price cointegration between two markets, where
proximity is captured with variables for geographical, political and cultural distance. Linear and
threshold cointegration is tested for a set of 756 rice market pairs in 6 West African countries, with
threshold specifications accounting for transaction costs. Whether proximity influences price
transmission is determined in a second step with a multinomial logistic regression. The estimation
produces robust and statistically significant evidence of a link with air-line and road distance,
international borders, contiguity and a common language. We conclude that proximity matters for
market integration processes in West African rice markets.