How Integrated is the Indian Wheat Market?
运用M-TAR模型分析印度四个邦不同市场中心的小麦价格关系，发现价格调整存在非对称性，表明市场信息传播不畅和交易成本高影响了价格信号传导。
Abstract Applying the momentum-threshold autoregressive (M-TAR) model due to Enders and Granger (Enders, W. and Granger, C.W.J. (1998) Unit root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business and Economic Statistics, 16(3), pp. 304–311), this article examines the relationship between the various prices of wheat quoted at different market centres in four Indian states. We find evidence of M-TAR asymmetric adjustments of wheat prices, indicating that price signals within states are transmitted over time in an asymmetric manner. This type of price adjusting behaviour is consistent as to how price differentials may respond to poor dissemination of knowledge regarding market conditions and high transactions costs. The results offer important policy implications.