The transmission of world maize price to South African maize market: a threshold cointegration approach
研究了南非国内玉米价格与世界玉米价格的关系，发现价格传导存在非线性，由前期价差触发三种状态，对理解撒哈拉以南非洲的价格联动有参考价值。
Abstract This article seeks to provide an explanation for the relationship between domestic maize price in South Africa and world maize prices in order to evaluate comovement and transmission of world prices to domestic prices in sub‐Sahara African countries. This is done by comparing nested and nonnested models that capture different forms of nonlinearity in the price spread. Adopting a Bayesian approach that allows for comparison of models using Bayes factor, we found that the relationship between South African price and world price for maize indicates the presence of nonlinearity in price transmission with three regimes that is triggered by the price spread in previous period.