Speculation, Embedding and Food Prices: A Cointegration Analysis

Food Speculation

Speculation on commodities futures markets and destabilization of global food prices: exploring the connections.

In December 2010, the United Nations Food and Agriculture Organization's Food Price Index surpassed its previous peak of June 2008, and prices remained at this level through September 2011. This pattern is creating justified fears of a renewal or intensification of the global food crisis. This paper reviews arguments and evidence to inform debates on how to regulate commodity futures markets in...

Unemployment and Input Prices: a Fractional Cointegration Approach

Hedonic Pricing of Components and Cointegration Relationships: A Dynamic Analysis of Dairy Product Prices

The paper investigates the implications of hedonic pricing of components, with an application to the dynamics of dairy product prices. A conceptual model of hedonic pricing is developed under a Leontief technology, showing how commodity prices reflect the underlying value of their components. Implications for the existence of cointegration relationships among commodity prices are derived. An ap...

Competition and Prices in the Deregulated Gas Pipeline Network: A Multivariate Cointegration Analysis

This research uses multivariate cointegration analysis to assess the degree . of competition in the U.S. natural gas industry following the move to open access pipeline transportation. The testing methodology allows multiple nodes in the pipeline network to be analyzed simultaneously and is based on recent advances by Johansen (1988, 1991) and Johansen and Juselius (1990) on estimation and hypo...