Artikel
Investigating the impact of trade disruptions on price transmission in commodity markets: An application of threshold cointegration
Threshold cointegration is introduced as an econometric technique to model the impact of trade disruptions on spatial price transmission in commodity markets so that market participants and policy makers can understand the global impact of trade disruptions on prices. The threshold cointegration technique that is employed is flexible in that it allows the number of thresholds and their location to be determined endogenously and the threshold variable to be exogenous to the system. We innovate on the threshold cointegration technique by selecting a measure of trade disruptions as the threshold variable. This innovation can be used for any commodity market that is spatially connected due to arbitrage; however, to illustrate its usefulness we apply the technique to trade disruptions for canola traded between Canada and China using weekly data between 2014 and 2019 and find that canola trade disruptions between Canada and China impacted global price transmission and resulted in market fragmentation.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 9 ; Pages: 1-7 ; Basel: MDPI
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Agriculture: Aggregate Supply and Demand Analysis; Prices
Agriculture in International Trade
- Subject
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canola
commodity prices
threshold cointegration
trade disruption
- Event
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Geistige Schöpfung
- (who)
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Mann, Janelle
Brewin, Derek
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2021
- DOI
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doi:10.3390/jrfm14090450
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Mann, Janelle
- Brewin, Derek
- MDPI
Time of origin
- 2021
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Insights into disruptions
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Decision maps for bivariate time series with potential threshold cointegration
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Insights into disruptions
Evaluating the exchange rate and commodity price nexus in Malaysia: Evidence from the threshold cointegration approach
Evaluating the exchange rate and commodity price nexus in Malaysia: evidence from the threshold cointegration approach
Arbitrage in commodity markets: A full systems cointegration analysis
Decision maps for bivariate time series with potential threshold cointegration
Technology, human capital and growth: Further evidence from threshold cointegration
Macroeconomic Effects of Disruptions in Global Food Commodity Markets: Evidence for the United States
Exchange rate and external reserves in Nigeria: A threshold cointegration analysis
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Testing for cointegration with threshold adjustment in the presence of structural breaks
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