SPATIAL INTEGRATION OF AGRICULTURAL COMMODITY MARKETS – METHODOLOGICAL PROBLEMS

Speculative bubbles in agricultural commodity markets

Numerous factors have been proposed in the literature as explaining the recent commodity price movements. In this paper we focus on one of the most widely discussed factors, the impact of speculative bubbles. We investigate whether commodity prices during the spike of 2007–2008 might have deviated from their intrinsic values based on market fundamentals. To do this, we use a bootstrap methodolo...

Cross-correlations between crude oil and agricultural commodity markets

In this paper, we investigate cross-correlations between crude oil and agricultural commodity markets. Based on a popular statistical test proposed by Podobnik et al. (2009), we find that the linear return cross-correlations are significant at larger lag lengths and the volatility cross-correlations are highly significant at all of the lag lengths under consideration. Using a detrended cross-co...

Agricultural commodity markets in India: Policy issues for growth

Strengthening institutions in spot and derivative markets for commodities is a necessary ingredient of the liberalisation process in agriculture, and can impact upon the lives of millions. In this paper, we describe the existing market design prevalent on both the spot and the futures markets. We show some evidence on the role played by the nascent futures markets in price discovery. We documen...

Economic Development and the Determinants of Spatial Integration in Agricultural Markets

The Integration of Energy and Agricultural Markets By