Food Economics - Acta Agriculturae Scandinavica Section C · 2006 · 34 citations · 26 references
AgricultureAgricultural EconomicsEconomicsCommodity MarketsEconometricsFood EconomicsAgricultural Commodity PricingCommodity Price DynamicsCommodity Price TransmissionFood Market StructureFood Marketing EconomicsStructural Break AnalysisBeef EconomicsCross-market Price TransmissionFarm Price SpreadsPrice Transmission Along Food Supply ChainsRetail Food PricesRetail Price SpreadsStructural Break ModelingStructural Break Tests
Abstract There is a wealth of literature on farm-retail price spread for different commodities and countries. However, research on price transmission and marketing margins in the transition economies is still limited. The paper analyses two specific aspects of transition: the larger probability of asymmetric price transmission and structural changes in the case of Hungarian beef chain. The article identifies the date of structural break applying the Gregory and Hansen procedure with recursively estimated breakpoints and ADF statistics. Exogeneity tests reveal the causality runs from producer to retail prices. Homogeneity is rejected, suggesting a mark-up pricing strategy. Price transmission analysis suggests that, despite the common belief, price transmission on the Hungarian beef meat market is symmetric on both long and short run.
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Statistical analysis of cointegration vectors
Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.8K citations
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