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The Extent, Pattern, and Degree of Market Integration: A Multivariate Approach for the Brazilian Rice Market
Author(s) -
GonzálezRivera Gloria,
Helfand Steven M.
Publication year - 2001
Publication title -
american journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.949
H-Index - 111
eISSN - 1467-8276
pISSN - 0002-9092
DOI - 10.1111/0002-9092.00179
Subject(s) - multivariate statistics , market integration , econometrics , bivariate analysis , degree (music) , economics , error correction model , cointegration , persistence (discontinuity) , principal component analysis , statistics , microeconomics , mathematics , geology , physics , geotechnical engineering , acoustics
The extent, pattern, and degree of integration are analyzed in a multivariate system with cointegrating restrictions. The extent of the market is found by identifying locations that are linked by trade and where prices share identical long‐run information (permanent component). The pattern of integration characterizes interdependence and is analyzed by estimating a vector error correction model. The degree of integration is calculated with persistence profiles of the long run relations. We demonstrate that bivariate models are inadequate for capturing the spatial dynamics of price adjustment. The methodology is applied to the Brazilian rice market and policy implications are discussed.