Threshold Cointegration and Price Transmission in Commodity Marketsof India
A. Mishra,
P. R. Kumar
Abstract:The purpose of this research work is to examine the relationships and price dynamics between agricultural commodities in India, i.e.maize, wheat, barley and soybean. Our approach is to study the long-term relationship using the method of modelling the price transmission for both linear and threshold autoregressive (AR) models and vector error correction (VEC) models. Results revealed that all the price series are well integrated, and threshold error correction models prove that all price series move to restore… Show more
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