Threshold effects in price transmission: The case of Brazilian wheat, maize, and soya prices

Bailey, Alastair and Balcombe, Kelvin and Brooks, Jonathan (2007) Threshold effects in price transmission: The case of Brazilian wheat, maize, and soya prices. American Journal of Agricultural Economics, 89 (2). pp. 308-323. ISSN 0002-9092 . (The full text of this publication is not available from this repository)

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Official URL
http://dx.doi.org/10.1111/j.1467-8276.2007.01013.x...

Abstract

Recent studies into price transmission have recognized the important role played by transport and transaction costs. Threshold models are one approach to accommodate such costs. We develop a generalized Threshold Error Correction Model to test for the presence and form of threshold behavior in price transmission that is symmetric around equilibrium. We use monthly wheat, maize, and soya prices from the United States, Argentina, and Brazil to demonstrate this model. Classical estimation of these generalized models can present challenges but Bayesian techniques avoid many of these problems. Evidence for thresholds is found in three of the five commodity price pairs investigated.

Item Type: Article
Uncontrolled keywords: Bayesian estimation; cointegration; threshold effects
Subjects: H Social Sciences
S Agriculture
H Social Sciences > HB Economic Theory
Divisions: Faculties > Social Sciences > Kent Business School > Agri-Environment Economics
Depositing User: Katie Edwards
Date Deposited: 18 Mar 2008 09:58
Last Modified: 15 Apr 2014 14:29
Resource URI: http://kar.kent.ac.uk/id/eprint/2215 (The current URI for this page, for reference purposes)
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