commodity market integration and price t
157857291
Commodity market integration and price transmission: Empirical evidence from India
In the era of globalization markets are connected to each other not only to compete domestic products with international products to increase economic stand but also export the required products. Therefore, in the recent years markets are more vibrant and transparent in integration with each other. Over the last couple of years, it has been seen that commodity prices have increased and remained highly volatile not only in international market but in India. Therefore, this paper examines the market integration and price transmission in India using the time series techniques of cointegration and vector error correction models. The study finds that there is both short run and long run relationship between domestic commodity index (all commodity index, energy index and metal index) prices and international commodity index (all commodity index, energy index and metal index) prices. But, there is no relationship between domestic agriculture index price and international agriculture index price. The study also finds that except the agriculture index price, the change in domestic commodity index (all commodity index, energy index and metal index) prices are due to the change in international commodity index (all commodity index, energy index and metal index) prices.
Pratap Jena
201081005
F Commodity market integration and price transmission Empirical evidence from India
In the era of globalization markets are connected to each other not only to compete domestic products with international products to increase economic stand but also export the required products. Therefore, in the recent years markets are more vibrant and transparent in integration with each other. Over the last couple of years, it has been seen that commodity prices have increased and remained highly volatile not only in international market but in India. Therefore, this paper examines the market integration and price transmission in India using the time series techniques of cointegration and vector error correction models. The study finds that there is both short run and long run relationship between domestic commodity index (all commodity index, energy index and metal index) prices and international commodity index (all commodity index, energy index and metal index) prices. But, there is no relationship between domestic agriculture index price and international agriculture index price. The study also finds that except the agriculture index price, the change in domestic commodity index (all commodity index, energy index and metal index) prices are due to the change in international commodity index (all commodity index, energy index and metal index) prices.
Pratap Kumar
182845955
Spatial Market Integration and Price Information Flow in Nigeria Markets: The case of Yam
Price information cum transmission dynamics are driving factors in market integration mechanism.The role of price in transaction decisions is cogent with sustainability of agricultural activities hinged on system effectiveness.Nation targeting food security must have good grasp on functional food commodity pricing system.We designed the study to answer questions on market integration, explore existing relationship and market price responsiveness.Price collected over 52weeks from 24 markets were analysed.Markets were highly integrated however with highest prices in deficit zones. With each market generating information from others by contemporaneous periods, markets clearly had superior price information flow. Commodity association membership, linkage of traders farm gates, active price seeking behaviours and improved Infrastructure are recommended to enhance market integration, serve price stabilization purpose and promote food affordability.
Alanya Akademik Bakis
T B Ajibade Opeyemi Eyitayo Ayinde Tahirou Abdoulaye
158975254
An econometric analysis of spatial market integration and price formation in the Namibian sheep industry
The Namibian government introduced the Small Stock Marketing Scheme (SSMS) for the sheep market in 2004. The SSMS is a quantitative export restriction. Quantitative export restriction policies decrease the tradable quantity of a commodity, and increases domestic supply of a commodity, causing a lack of equilibrium in spatial markets. This, therefore, has the capacity to hinder market integration. Moreover, a quantitative export restriction disrupts the domestic supply and demand, and ultimately the equilibrium prices. A policy such as the quantitative export restriction therefore determines the domestic price levels. The effect of the SSMS on spatial market integration and price formation remains unclear. A lack of empirical evidence on spatial sheep market integration and domestic price levels can create challenges for policy makers. This is because a lack of evidence could prevent policy makers from implementing evidence based policies, which might buffer poor consumers and producers from adverse price shocks, and lead to improved resource allocation. This study hypothesises that the SSMS policy negatively affected the long run equilibrium relationship and short run dynamics between the Namibian and South African markets. The study further hypothesises that the policy negatively influenced the level of equilibrium prices. As a result, this study hence observes spatial price integration in the presence of the SSMS, by defining the long run equilibrium and short run dynamics. The spatial price integration analysis is evaluated by subdividing price series data into pre
Bertha Deshimona Ijambo
154445511
Market integration and price transmission in consumer markets of developing countries
World prices for agricultural commodities surged in 2006 08, and then again in 2011 12. In many developing countries, consumer prices for staple foods, such as bread and rice, mirrored these movements. This paper examines whether prices in urban consumer markets within developing countries are co integrated with prices in world agricultural commodity markets. Using a single equation error correction model, we examine the response of consumer prices for wheat, rice, maize, and sorghum to changes in world market prices and exchange rates in urban centers of the developing world. Analyzing over 60 country/commodity pairings, we find that developing countries' consumer markets are co integrated with world markets. Yet, we also find that the transmission of changes in both world prices and real exchange rates to domestic consumer prices is not high, and that the movement of domestic consumer prices to new equilibrium with world prices after a shock to the latter is relatively slow.
Felix G Baquedano William M Liefert
164650503
Volatility and Market Integration of Spot Forward Corn Price in Indonesia
This study aims to determine the volatility and market integration between the price of corn in the Indonesian spot market and futures market in the international market. The data used in this research is secondary data consisting of Indonesian corn spot price and corn forward price referring commodity exchange, Chicago. Data in the form of monthly time series in 2007 until 2016. ARCH GARCH method is used to measure the volatility at spot and forward price, whereas the market integration of spot and forward corn is used Johansen Cointegration and Engel Granger Causality method. The results show that spot and forward prices of corn occur high volatility. The best ARCH/GARCH model for spot price is GARCH (2,0) with the volatility value of 0,91 and for forward price is GARCH (2,0) with the volatility value of 1.12. It means that volatility of spot and forward influenced by the increase and fluctuations of spot and forward price two previous periods. Between the spot and forward market, there is market integration and a one way causal relationship. The market integration indicates there is long run relationship, while one way indicates the spot price effect on the forward price, not vice versa.
Media Trend
Octaviana Helbawanti Masyhuri
216549453
An Empirical Study on Price Discovery of Agricultural Commodities in Indian Commodity Market
Commodity market in India is at nascent stage. For any market, discovery of price is an important economic function, particularly regarding commodities. The given study is an empirical research that explores the relationship between spot and future market. It also examines the spread pattern exists between spot and future market prices. The study is based upon agricultural commodities, that is, chana, coriander, mentha oil, soyabean and wheat. The study is based upon the time series data of five years from 30th September 2010 to 30th September 2015. The relationship between spot and future prices has been defined by Johansen Co integration and Granger Causality tests Spread behaviour analysis has been accomplished through autocorrelation at a value lag of one and two. The findings of the study suggest that the future price movements of agricultural commodities could be applied as price discovery mechanism for spot market transactions. A strong relationship has also been observed in time series spread data. Finally, the study will help investors to take better and informed decisions about investing in commodity market.
Amarjit Singh Ravinderjit Singh Jagjit Singh
156525914
The Research of Commodity Market Integration and Unified Market Regulation in China As for Shandong Economic Circle
Based on the "iceberg transportation cost"model,this article studies the characteristics of the commodity market integration of Shandong Economic circle from the perspective of relative price convergence. While the commodity prices of the entire economic circle and some regions in it tend to converge in the long run,there is a big gap about the level of integration between different regions or different cities. In view of this,in order to build a unified big market,there needs to integrate the market competition rules. Thus,as to implement seamless policy and coordinated economic development throughout all the regions,this paper attempts to build a unified market regulation reform template with operability and replicability.
Zhang Shu-qi
154001271
Determinants of Market Integration and Price Transmission in Indonesia
This paper investigates the determinants of price differences and market integration among Indonesian provinces using data from retail cooking oil, rice, and sugar markets during the period 1993 2007; and wholesale maize and soybean markets during the period 1992 2006. We measure the degree of integration across provinces using cointegration techniques and calculate average price differences and use regression analysis to understand the drivers of price differences and market integration. For rice and sugar, we find wide market integration and low price differences in the range of 5 12 per cent. For maize, soybeans, and cooking oil, we find less integration and higher price differences (16 22 per cent) Integration across provinces is explained by the remoteness and quality of transport infrastructure of a province. Price differences across provinces respond to variations in provincial characteristics, such as remoteness; transport infrastructure; output of the commodity; land productivity; and income per capita.
Gonzalo Varela Gonzalo Enrique Leonardo Aldaz-Carroll Gonzalo Enrique Leonardo Iacovone
54882845
Vertical Integration and Cross Country Price Transmission in Pakistan's Agriculture Market
This paper reports on a component of studies on marketing efficiency and commodity market modelling of the horticulture sector in Pakistan. It presents preliminary results of an analysis of price transmission across spatially dispersed markets between monthly wholesale and retail prices of a variety of food crops in Pakistan, including tomato, onions, other fruits and vegetables, as well as rice, wheat, pulses and milk. It uses a novel methodology that takes into account the complex interactions between agricultural consumer goods. The approach mainly relies on variancecovariance structure of prices and use latent factors. The analysis (i) separates vertical price movements from fluctuations caused by country wide shocks which affects all commodities with variable impact on individual commodities; (ii) quantifies the impact of price fluctuations in selected commodities in India on retail prices in Pakistan, and (iii) investigates if there are asymmetric responses to increases and decreases of prices. We also use data from India to assess the degree to which price shocks are transmitted across the two countries a politically sensitive issue in both countries, particularly in the case of crops such as onions and potatoes. While these initial results must be treated primarily as illustrative, given the preliminary nature of the analysis, it is interesting to note that vertical transmission of shocks is important only in some markets but not in others, price transmission is asymmetric to positive versus negative shocks in many instances, and that there appears to be significant spatial price transmission in potato prices between India and Pakistan, though not in onions or tomatoes.
Hayat Khan Sisira Jayasuriya