Price asymmetry in the US fibre markets

Abstract

In this article, price linkages between cotton and polyester markets are investigated. After determining that the causality is present in both the directions, the nature of the price linkages was studied. The results suggest that polyester price responds asymmetrically to cotton price changes, whereas asymmetric response from cotton price to changes in polyester price is found to be weak. The results also did not support the hypothesis of contemporaneous effects between the polyester and cotton prices.