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A1884
Title: Who pays the piper calls the tune: Networks and transaction costs in commodity markets Authors:  Christoph Sulewski - WWU Münster (Germany) [presenting]
Pierre Siklos - Wilfrid Laurier University (Canada)
Alexander Puetz - Westfälische Wilhelms-Universität Münster (Germany)
Abstract: A new dataset of weekly wheat prices during the 1898 - 1914 is generated. Using variance decompositions from vector autoregressive models, a network of 9 wheat markets during the sample period is constructed and information spillovers between these markets are analyzed. Our results indicate that transaction costs are a significant determinant of the relative importance of market places in the continental European wheat trade.