Agricultural and oil commodities: Price transmission and market integration between us and Italy

Franco Rosa, Michela Vasciaveo, Robert D. Weaver

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

Purpose of this article it to get some evidences of market interaction between United States and Italy using the time series analysis of spot prices spanning from January 1999 to May 2012 for crude oil and three ag-commodities: wheat, corn and soybean. These crops have been selected for their relevance in ag-commodity exchanges between US and Italy markets. The integration between US and Italy agricultural markets is hypothesized for the consistent volume of crop traded between these two countries while the price transmission is related to the leading price signals of the CBT (Chicago Board of Trade). The integration between oil and ag-commodity markets is suggested both by the large use of energy intensive inputs, (fertilizer, seed, machinery) in production of these ag-commodities, and their use in biofuel production. The results suggest: a) for US market the evidence of market integration between crude oil and US ag-commodities; b) for Italy the integration with US ag-commodity markets and less evidence of integration with the oil market. These results are valuable information both for the agents and policy makers contributing to improve the information accuracy to predict the price movements used by marketing operators for their strategies and policy makers to set up policies to re-establish conditions of market efficiency and allocate these ag-commodities in alternative market channels.

Original languageEnglish (US)
Pages (from-to)93-117
Number of pages25
JournalBio-based and Applied Economics
Volume3
Issue number2
DOIs
StatePublished - Jan 1 2014

Fingerprint

commodity prices
commodity price
Italy
Oils
markets
commodity
oils
market
products and commodities
oil
Petroleum
Administrative Personnel
commodity market
Biofuels
Fertilizers
Marketing
crude oil
Soybeans
Triticum
Zea mays

All Science Journal Classification (ASJC) codes

  • Food Science
  • Animal Science and Zoology
  • Agronomy and Crop Science
  • Environmental Science (miscellaneous)
  • Economics, Econometrics and Finance (miscellaneous)

Cite this

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abstract = "Purpose of this article it to get some evidences of market interaction between United States and Italy using the time series analysis of spot prices spanning from January 1999 to May 2012 for crude oil and three ag-commodities: wheat, corn and soybean. These crops have been selected for their relevance in ag-commodity exchanges between US and Italy markets. The integration between US and Italy agricultural markets is hypothesized for the consistent volume of crop traded between these two countries while the price transmission is related to the leading price signals of the CBT (Chicago Board of Trade). The integration between oil and ag-commodity markets is suggested both by the large use of energy intensive inputs, (fertilizer, seed, machinery) in production of these ag-commodities, and their use in biofuel production. The results suggest: a) for US market the evidence of market integration between crude oil and US ag-commodities; b) for Italy the integration with US ag-commodity markets and less evidence of integration with the oil market. These results are valuable information both for the agents and policy makers contributing to improve the information accuracy to predict the price movements used by marketing operators for their strategies and policy makers to set up policies to re-establish conditions of market efficiency and allocate these ag-commodities in alternative market channels.",
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Agricultural and oil commodities : Price transmission and market integration between us and Italy. / Rosa, Franco; Vasciaveo, Michela; Weaver, Robert D.

In: Bio-based and Applied Economics, Vol. 3, No. 2, 01.01.2014, p. 93-117.

Research output: Contribution to journalArticle

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