Price discovery: The case of millet in Bamako, Mali
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Monthly time series data on millet prices from 12 markets in Bamako, Mali are studied in an error correction model. Contemporaneous correlation among innovations from this model are examined using directed acyclic graphs. Results suggest that price information is discovered in the Niarela and Ouolofobougou markets and translated to other local markets via the largest central market, Medine. A 5 CFA franks/kg differential between price in Niarela and price in the other eleven markets is persistent over time and not well-explained. In the long run Niarela is the dominant market, accounting for about two-thirds (66%) of the variation in price in all other markets. Ouolofobougou is important in all markets except Niarela, in the very short run, accounting for almost 50% of the price variation in several markets in contemporaneous time. Its importance shrinks to less than 10% in these markets at the longer horizon.
