-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the … price discovery in the spot and futures markets for five non-ferrous metals (aluminium, copper, lead, nickel, and zinc). The … find slightly more evidence of price discovery in the spot market. Specifically, using standard likelihood ratio tests, we …

, Tamale and Accra, in a multivariate asymmetric price transmission framework. The estimation of the model is based on a unique …We assess market integration and price transmission of perishable agricultural produce in Sub-Saharan Africa by … dataset and on a modified version of the Johansen estimation procedure which is suitable for estimating such multivariate …

correction models are used to study the relationship between oil prices and prices of copper and maize. The commodity price data …

The purpose of the paper is to test the hypothesis about asymmetric price transmission between the fuel markets. The … asymmetric price adjustments (especially in new EU member states) is the behaviour of petrol stations and not of oil companies … entailing the risk of severe distortion of the estimation results. Moreover, the interpretation of a dummy variable present in …