Across Border Integration of Agricultural Food Commodity – An Analysisfrom the ARDL Bound Test and the Toda and Yamamoto approach

Volume 20 No 16 (2022)

Swaty

DOI: 10.48047/NQ.2022.20.16.NQ880246

Abstract

This paper tries to identify the connection between emerging commodity markets like India and Developed commodity market of United States. The analysis utilizes various econometric models like ARDL Bound test and Toda Yamamoto approach of Granger causality test which are administered separately on fourteen year monthly data of Indian wheat market and United States wheat market. Findings indicate the absence of co-integration among Indian market and United States wheat market. Toda Yamamoto approach confirms unidirectional causality among these markets.

Keywords

Agriculture commodity, ARLD Bound, Toda Yamamoto test, causal relationship

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