Law of One Price in International Commodity Markets: A Fractional Cointegration Analysis

This paper examine the Law of One Price (LOP) in the International Commodity markets using a fractional 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 as in standard cointegration process.


Issue Date:
1996
Publication Type:
Working or Discussion Paper
Record Identifier:
http://ageconsearch.umn.edu/record/18400
PURL Identifier:
http://purl.umn.edu/18400
Total Pages:
18
Series Statement:
CARD Working Paper 96-WP 155




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

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