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Title of Journal: Qual Quant

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Abbravation: Quality & Quantity

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Springer Netherlands

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1573-7845

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Cointegration causality and the transmission of s

Authors: Mushtaq Ahmad Klasra
Publish Date: 2007/06/01
Volume: 43, Issue: 2, Pages: 305-315
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Abstract

This paper uses quarterly price data and examines the transmission of shocks across different spatially separated locations besides identifying causality among these locations Johansen and Juselius’s Econ Stat 52 160–210 1990 multivariate cointegration procedure identified two cointegrating vectors among these locations Following Toda and Yamamoto J Econom 66 225–250 1995 causality tests showed only one bidirectional causality and it was between Peshawar and Hyderabad locations Faisalabad and Sargodha appeared independent ie exogenous market locations in price discovery process Peshawar market showed maximum ie 5 number of significant links The generalized impulse response functions though suggested similar cyclical pattern of responses across the markets but their time profile which provides insight into the system’s speed of convergence to long run equilibrium path varied with different level of extent and persistency Responses to shock originating in consumption markets ie Karachi Peshawar and Lahore remained short lived whereas the shocks stemming from surplus wheat producing locations ie Multan Sargodha and Faisalabad produced long and more persistent responses

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