Testing for spatial market integration and law of one price in Turkish wheat markets

ERYİĞİT K. Y., Karaman S.

QUALITY & QUANTITY, cilt.45, sa.6, ss.1519-1530, 2011 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 45 Sayı: 6
  • Basım Tarihi: 2011
  • Doi Numarası: 10.1007/s11135-010-9320-1
  • Dergi Adı: QUALITY & QUANTITY
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.1519-1530
  • Bursa Uludağ Üniversitesi Adresli: Evet

Özet

This paper examines co-integration models in testing for spatial market integration and the Law of One Price (LOP) for Turkish wheat market. The multivariate co-integration tests show that there is one co-integrating vector in the system which implies that though the markets are integrated, the LOP does not hold. Vector error correction model restrictions tests also show that structural breaks have impacts on the long-run linkage among the prices. These results are important for wheat production policies and for wheat market liberalization considerations in the future.