Testing for asymmetric cointegration of Italian agricultural commodities prices: Evidence from the futures-spot market relationship

• Published in: Agricultural Economics (AGRICECON)
• Main Authors: Carlotta Penone, Samuele Trestini
• Format: Article
• Language: English
• Published: Czech Academy of Agricultural Sciences 2022-01-01
• Subjects: hedging; price discovery; price transmission; threshold vector error correction model; vector error correction model
• Online Access: https://agricecon.agriculturejournals.cz/artkey/age-202202-0002_testing-for-asymmetric-cointegration-of-italian-agricultural-commodities-prices-evidence-from-the-futures-spot.php

The volatility of food prices still raises concerns among agricultural market players, increasing interest in the futures markets, thus calling for a better understanding of the connection between the futures and the Italian spot prices. This study uses symmetric and asymmetric vector error correction models to investigate the relationship between futures and spot prices for the Italian agricultural markets of soybean, corn, and milling wheat. The results confirm the leading role of the futures contract prices for all the considered commodities. Moreover, the non-linear cointegration analysis results suggest price transmission's asymmetries for all the agricultural commodity prices. This research provides critical insight into the shape of the futures-spot price transmission.