Asymmetric price transmission analysis of the international soybean market
Barboza Martignone, G., Paparas, D. and Behrendt, K. (2023) Asymmetric price transmission analysis of the international soybean market. Agricultural Sciences, 14 (3). pp. 317-334. ISSN 2156-8553
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Abstract
This study analyzed the asymmetric price transmission in the international soybean market, using data from the US (Chicago Futures), European (Rotterdam), Brazilian (Paranaguá), Argentinian (Rosario Futures and Rosario Spot), and Chinese (Spot and Futures) markets. The study looked at the price transmission between these markets over a period of almost 10 years, from September 2009 to May 2019. The Phillips-Perron unit root test was used to determine the order of integration of the time series. The Engle-Granger cointegration test failed to find any evidence of cointegration between the Chinese and Argentinian markets with any others of the international markets. The lack of cointegration was associated with highly government intervened markets. The cointegration and threshold test proposed by Enders and Siklos, succeeded in rejecting the Null hypothesis and finding cointegration among the series after structural breaks had been taken into account. The BDS test for nonlinearity showed that most of the time series were nonlinear, which prompted the investigation to look into nonlinear modelling. To evaluate asymmetric price transmission, the study used the Threshold autoregressive (TAR) model and the momentum threshold model (MTAR). The Argentine and Chinese markets were primarily suspected of exhibiting asymmetric price transmission due to structural government intervention. However, the test results failed to reject the null hypothesis and revealed asymmetric price transmission between these markets and the international market. As expected, the results found no evidence of asymmetric price transmission in the Paranaguá, Rotterdam, and Chicago markets. Hence, it can be concluded that symmetric price transmission is more prevalent in the global soybean market than asymmetric price transmission.
| Item Type: | Article |
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| Keywords: | Agricultural Economics, Econometrics, Price Transmission, Soybean Market, Asymmetric Price Transmission, TAR, MTAR, BDS |
| Divisions: | Food, Land and Agribusiness Management |
| Depositing User: | Mrs Rachael Giles |
| Date Deposited: | 01 Aug 2023 14:30 |
| Last Modified: | 01 Aug 2023 14:30 |
| URI: | https://hau.repository.guildhe.ac.uk/id/eprint/17993 |
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