Spatial Market Integration in the Presence of Threshold Effects

摘要: A large body of research has evaluated price linkages in spatially separate markets. Much recent applied models appropriate for nonstationary data. Such analyses have been criticized their ignorance transactions costs, which may inhibit adjustments and thus affect tests integration. This analysis utilizes threshold autoregression cointegration to account a neutral band representing costs. We evaluate daily among four corn soybean markets North Carolina. Nonlinear impulse response functions are used investigate dynamic patterns shocks. Our results confirm the presence thresholds indicate strong support market integration, though following shocks take many days be complete. In every case, suggest much faster deviations from equilibrium than is case when behavior ignored. amount empirical extent integrated. Though term loosely literature, “market integration” usually consider transmitted The integration can important implications discovery operation since persistent imply riskless profit opportunities spatial traders.