North American oriented strand board markets, arbitrage activity, and market price dynamics: A smooth transition approach

Author: Goodwin, Barry; Holt, Matthew; Prestemon, Jeffrey P.; 

Date: 2011

Source: American Journal of Agricultural Economics 93(4):993-1014 

Publication Series: Scientific Journal (JRNL)

Description: Price dynamics for North American oriented strand board markets are examined. The role of transactions costs are explored vis-à-vis the law of one price. Nonlinearities induced by unobservable transactions costs are modeled by estimating time-varying smooth transition autoregressions (TV-STARs). Results indicate that nonlinearity and structural change are important features of these markets; price parity relationships implied by economic theory are generally supported by the estimated models. Implications for the efficiency of spatial market linkages and the dynamics associated with price adjustments are also examined.

Keywords: market integration, smooth transition, transactions costs, wood products

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Goodwin, Barry K.; Holt, Matthew T.; Prestemon, Jeffrey P. 2011. North American oriented strand board markets, arbitrage activity, and market price dynamics: a smooth transition approach. American Journal of Agricultural Economics 93 (4):993-1014. 22 p.   doi: 10.1093/ajae/aar024

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