Smooth transition effects in price transmission: The case of international wheat export prices
Reference:
Ghoshray, A., 2010. Smooth transition effects in price transmission: The case of international wheat export prices. Economics Letters, 106 (3), pp. 169-171.
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Official URL:
http://dx.doi.org/10.1016/j.econlet.2009.11.011
Abstract
International wheat prices are tested for cointegration allowing for exponential smooth transition adjustment. The results suggest that owing to transactions costs, it is plausible that arbitrage will be greater, the further the prices deviate from each other.
Details
| Item Type | Articles |
| Creators | Ghoshray, A. |
| DOI | 10.1016/j.econlet.2009.11.011 |
| Departments | Faculty of Humanities & Social Sciences > Economics |
| Refereed | Yes |
| Status | Published |
| ID Code | 18577 |
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