This paper builds on the work of Deaton and Laroque (2003) by formulating a nonlinear model of commodity prices. The paper makes three distinct contributions. First, a nonlinear model is constructed that explains long-run dynamics of commodity price behavior; secondly, more recent data is...

This paper attempts to model the price relationship between the major exporters of wheat. The motivation of such research is to reveal whether prices are integrated and whether potential nonlinearities in price adjustment exist. Given the perception that transactions costs may be highly variable...

Using the ARDL bounds testing approach to cointegration this paper provides evidence of a stable long run relationship between the exchange rate and stock prices for the UK, Japan and Swiss currencies with respect to the US dollar. The resultant error correction models suggest a positive...