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Agricultural price transmission across space and commodities during price bubbles


  • Although this article is common to both the authors, the authorship can be attributed as follows: Sections 1, 3, 5 and 7 to Esposti and Sections 2, 4 and 6 to Listorti. The views expressed in this article are the sole responsibility of the authors and do not reflect, in any way, the position of the FOAG.

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This article investigates agricultural price transmission during price bubbles. The empirical approach concerns the horizontal transmission of cereal prices both across different market places and across different commodities. The trade policy intervention put forward to mitigate the impact of price exuberance is considered. The analysis is performed using Italian and international weekly spot (cash) price data over years 2006–2010, a period of generalized turbulence of agricultural markets. Firstly, the properties of price time series are explored; then, interdependence across prices is specified and estimated by adopting appropriate cointegration techniques. Results suggest that the bubble had only a slight impact on the price spread and the temporary trade-policy measure, when effective, has limited this impact.