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Ayalew, Addis Abera, 2018. Market integration and price transmission : analysis on Ethiopian sesame seed export. Second cycle, A2E. Uppsala: SLU, Dept. of Economics

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Abstract

This study investigates how the Ethiopian sesame seed export market is integrated to selected reference markets in China and the US. Cointegration and vector error-correction model (VECM) are employed using monthly data over the period 2010 to 2018. The empirical findings indicate that the Ethiopian sesame seed export market has a long-run equilibrium relationship with the Chinese sesame oil, the Chinese soybean import and the US soybean domestic markets. Market shocks with in the first two reference markets have permanent effects on the Ethiopian export price in the long run, while the latter has a transitory effect. Furthermore, the Ethiopian sesame seed export market has a price adjustment speed of 12% in the integration process implying that it takes less than nine months to restore to the long-run equilibrium after a shock. There is also a strong evidence of a short-run price transmission from the Ethiopian sesame seed export price to the Chinese sesame oil domestic price. Overall the empirical findings indicate the presence of market integration, but with asymmetric price transmissions across the markets.

Main title:Market integration and price transmission
Subtitle:analysis on Ethiopian sesame seed export
Authors:Ayalew, Addis Abera
Supervisor:Surry, Yves
Examiner:Hart, Robert
Series:Examensarbete / SLU, Institutionen för ekonomi
Volume/Sequential designation:1186
Year of Publication:2018
Level and depth descriptor:Second cycle, A2E
Student's programme affiliation:NM002 Agricultural Economics and Management - Master's Programme 120 HEC
Supervising department:(NL, NJ) > Dept. of Economics
Keywords:commodity market, market integration, price transmission, cointegration, VECM
URN:NBN:urn:nbn:se:slu:epsilon-s-10059
Permanent URL:
http://urn.kb.se/resolve?urn=urn:nbn:se:slu:epsilon-s-10059
Subjects:Economics and management
Language:English
Deposited On:09 Jan 2019 14:32
Metadata Last Modified:25 Feb 2019 13:23

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