Threshold effects in price transmission: the case of Brazilian wheat, maize, and soya prices.

Argentina Wheat/Brazil 0 versus 1 21.75**

versus United 1 versus 2 3.70

States Maize/Brazil 0 versus 1 21.38**

versus 1 versus 2 9.91

Argentina Maize/Brazil 0 versus 1 17.67*

versus United 1 versus 2 5.549

States Soya/Brazil versus 0 versus 1 29.54**

United States 1 versus 2 4.62

Critical 19.22

Value 10%

5% 12.39 Note: * and ** denote significance at 10% and 5% levels, respectively. Table 3. Probability Values for Which Classical Tests for Noncausality between Commodity Price Pairs Can Be Rejected

Argentina Brazil United Brazil

to to States to to United Commodity Brazil Argentina Brazil States Wheat 0.002 0.307 0.0006 0.966 Maize 0.001 0.827 0.009 0.007 Soya 5 x [10.sup.-5] 0.471 Table 4. Cointegrating Vectors from Maximum Likelihood and Bayesian Threshold Estimation Procedures

Explanatory Threshold Commodity Variable ML Bayes Wheat Argentine price ([beta]) -0.724 -0.777

(0.159) (0.149)

Time 0.0005 0.0009

(0.0006) (0.0008) Wheat U.S. price ([beta]) -0.799 -1.015

(0.156) (0.24)

Time -0.0014 -0.002

(0.0007) (0.001) Maize Argentine price ([beta]) -1.22 -1.131

(0.379) (0.285)

Time 0.0005 0.0006

(0.0007) (0.0007) Maize U.S. price ([beta]) -0.957 -0.929

(0.257) (0.139)

Time 0.0003 0.0006

(0.0007) (0.0005) Soya U.S. price ([beta]) -1.21 -1.21

(0.108) (0.113)

Time -0.0014 -0.0014

(0.0003) (0.0004) Note: Figures in parenthesis are standard errors for ML estimates and standard deviations of the posterior distributions for the Bayes estimates. ML estimation of threshold models does not deliver standard errors. Table 5. Threshold Parameters and Tests for Thresholds between U.S. and Argentinean Prices, and Brazilian Markets for Wheat, Maize, and Soya

Threshold

Parameters Commodity/Country Estimator [lambda] [theta] Wheat ML -- -- Brazil-Argentina

Bayes 0.15 0.73

(0.04) (0.23) Wheat ML -- -- Brazil-United States

Bayes 0.15 0.68 Maize ML (0.05) (0.24) Brazil-Argentina

Bayes 0.19 0.71

(0.06) (0.24) Maize ML -- -- Brazil-United States

Bayes 0.20 0.81

(0.05) (0.19) Soya ML -- -- Brazil-United States

Bayes 0.11 0.86

(0.02) (0.13)

Dependent Variable

Brazilian Price Commodity/Country [[pi].sub.u] [[pi].sub.l] Wheat -0.18 -- Brazil-Argentina (0.04)

-0.36 -0.09

(0.14) (0.06) Wheat -0.20 -- Brazil-United States (0.04)

(0.08) -0.18 Maize (0.12) (0.08) Brazil-Argentina (0.03)

-0.22 -0.11

(0.09) (0.06) Maize -0.13 -- Brazil-United States (0.03)

-0.36 -0.13

(0.18) (0.06) Soya -0.29 -- Brazil-United States (0.06)

-0.70 -0.24

(0.20) (0.11)

Dependent Variable

Other Price Commodity/Country [[pi].sub.u] [[pi].sub.l] Wheat 0.05 -- Brazil-Argentina (0.04)

0.12 0.06

(0.06) (0.04) Wheat 0.02 -- Brazil-United States (0.03)

0.08 0.04 Maize (0.04) (0.03) Brazil-Argentina (0.025)

0.10 0.05

(0.05) (0.03) Maize 0.04 -- Brazil-United States (0.023)

0.17 0.03

(0.10) (0.02) Soya 0.07 -- Brazil-United States (0.04)

0.19 0.08

(0.09) (0.05) Note: Numbers in parenthesis represent either standard deviations of Bayesian posterior distributions or standard errors of classical parameter estimates.