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prices ; crude oil prices ; cointegration ; vector error correction …
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For the biofuel markets and related commodities, we study their price transmission, which is in fact equivalent to studying price cross-elasticities. Importantly, we focus on the price dependence of the price transmission mechanism. Several methodological caveats are discussed. Specifically, we...
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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 …
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