This study explores the link between proximity and price cointegration between two markets, where proximity is captured … with variables for geographical, political and cultural distance. Linear and threshold cointegration is tested for a set of …

cointegration and price transmission. A border separating two markets reduces the probability of cointegration of price series by 23 …% compared with markets located in the same country. 1000 kilometers of distance reduces the probability of cointegration by 7 … and cointegration is most prevalent for barley. Price transmission is slowest in wheat markets. In peer reviewed studies …

due to publication bias. Cointegration is more prevalent for maize market pairs and less prevalent for rice market pairs …

generating empirical evidence on the cointegration of different export prices. We start our analysis with the assumption that … cointegration of price series. Then, we extend the error correction model to a multivariate cointegration analysis by cluster. We …

due to publication bias. Cointegration is more prevalent for maize market pairs and less prevalent for rice market pairs …

Threshold cointegration is introduced as an econometric technique to model the impact of trade disruptions on spatial … trade disruptions on prices. The threshold cointegration technique that is employed is flexible in that it allows the number …. We innovate on the threshold cointegration technique by selecting a measure of trade disruptions as the threshold …

ethanol boom at the very end of the 1990s. The relationship between corn and oil prices tends to be stronger when oil prices … are highly volatile and when agricultural policies create less distortion. The ethanol boom strengthened the relation …