Testing for spatial market integration and law of one price in Turkish wheat markets

Eryiğit, Kadir Yasin; Karaman, Süleyman

doi:10.1007/s11135-010-9320-1

Cited by 10 publications

(10 citation statements)

References 37 publications

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“…A number of researchers have focused on the intensity of spatial price relationships; they have tried to verify whether the restrictions imposed by the LOP on cointegrating vectors (proportional price movements) are compatible with the real word data (e.g. Asche, Bremnes and Wessels, 1999;Dawson and Dey, 2002;Eryigit and Karaman, 2011;Emmanouilides and Fousekis, 2012).…”

Section: Introductionmentioning

confidence: 99%

Price transmission in the international skim milk powder markets

Fousekis

Trachanas

2016

Applied Economics

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This article investigates the strength and the pattern of spatial price linkages in skimmed milk powder markets using monthly wholesale price data from three major producers and exporters (the USA, the EU, and Oceania) and the Nonlinear Autoregressive Distributed Lag Model. The results suggest that prices in the three regions considered are linked with stable long-run relationships. The Law of One Price, however, does not hold. The dominant pattern of transmission in the long-run is asymmetric involving positive price stocks to be transmitted with higher intensity compared to negative prices shocks; asymmetries in price transmission exist in the short-run as well.

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Section: Introductionmentioning

confidence: 99%

Price transmission in the international skim milk powder markets

Fousekis

Trachanas

2016

Applied Economics

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“…Hence, co-integration tests for market integration only assess whether there is a statistically significant linear long-run relationship between different price series. The existence of this relationship provides a shred of evidence for market integration (Eryigit & Karaman, 2011).…”

Section: Indonesian Coffee Market Integrationmentioning

confidence: 94%

“…The prices of a commodity in two markets are equal and their co-movement is perfect, and when markets are integrated, price changes in a market will be transmitted to the other market on a one-for-one basis. The basic simple bivariate form is tested by estimating (Eryigit & Karaman, 2011):…”

Section: Methodsmentioning

confidence: 99%

Indonesian coffee exports and its relation to global market integration

Fitriani

Arifin

Ismono

2021

JSeD

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Coffee price is an important indicator that stimulates farmers to advance their welfare. Unfortunately, coffee crisis makes the farm gate price uncertain and volatile. This study aims to explore the Indonesian coffee export situation related to price risks and coffee market integration between Indonesian coffee price and international price. The time series data were the coffee price from 1987 to 2014 in Indonesian domestic market and in global trade in London. Vector Error Correction Model (VECM) approach was applied to test market integration based on Ravallion’s equation. Based on the analysis, the results of the study revealed that Indonesian coffee export performed progressively in the last decade. Export destination countries for Indonesian coffee also developed broadly. There was market integration on the Indonesian coffee market and global price in the London terminal. Although not fully, the shock in the international price was somehow felt in the Indonesian coffee market. There were sufficient shreds of evidence to conclude that the Indonesian coffee market is well integrated with the international market in the long run. The changing coffee price in Indonesia and the International market adjusted in the next three years. In short term, Indonesian coffee price was 76% influenced by international price changes, but not vice versa.JEL Classification D49; Q02; Q17

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“…However, there are just a few studies on the European wheat markets (e.g., Dawson, Sanjuan, & White, ; Brosig et al., ; Eryigit and Karaman, ; Ejrnæs & Persson, ; Thompson, Sul, & Bohl, ). Pall, Perekhozhuk, Teuber, and Glauben () provide a quantitative analysis of the pricing behaviour of Russian wheat exporters.…”

Section: Background On Spatial Price Transmission On Wheat Marketmentioning

confidence: 99%