scholarly journals Some pitfalls in testing the law of one price in commodity markets

2008 ◽  
Vol 27 (6) ◽  
pp. 915-925 ◽  
Author(s):  
John Pippenger ◽  
Llad Phillips
Keyword(s):  
Commodity Markets ◽  
Law Of One Price ◽  
The Law

Fractional Cointegration and the False Rejection of the Law of One Price in International Commodity Markets

1998 ◽  
Vol 30 (2) ◽  
pp. 267-276 ◽  
Author(s):  
Samarendu Mohanty ◽  
E. Wesley F. Peterson ◽  
Darnell B. Smith
Keyword(s):  
Commodity Prices ◽  
Commodity Markets ◽  
Cointegration Analysis ◽  
Law Of One Price ◽  
Fractional Cointegration ◽  
International Commodity ◽  
Price Series ◽  
Long Run ◽  
The Law ◽  
False Rejection

AbstractThis study examines the Law of One Price (LOP) in international commodity markets using fractional cointegration analysis. For proper evaluation of the LOP, fractional cointegration analysis seems to be appropriate because of its flexibility in capturing a wider range of mean reversion behavior than standard cointegration analysis. Out of nine pairs of price series examined, fractional cointegration supports the existence of the LOP in eight cases, as compared to three cases using standard cointegration procedures. Overall, these results suggest that there is a long-run tendency for the LOP to hold for commodity prices.

A proposition on short-run departures from the law-of-one-price

1982 ◽  
Vol 17 (1) ◽  
pp. 51-60 ◽  
Author(s):  
Mario I. Blejer ◽  
Arye L. Hillman
Keyword(s):  
Law Of One Price ◽  
Short Run ◽  
The Law

The Law of One Price Over 700 Years

2001 ◽  
Author(s):  
Kenneth S. Rogoff ◽  
Kenneth Froot
Keyword(s):  
Law Of One Price ◽  
The Law
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