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Price Cycles and Asymmetric Price Transmission in the U.S. Pork Market

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  • Douglas J. Miller
  • Marvin L. Hayenga
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    Abstract

    Economists have proposed several plausible explanations for observed price transmission asymmetries in commodity markets. Unfortunately, the econometric methods commonly used in such studies cannot empirically distinguish pricing behavior under the competing theories. We argue that the theories may be classified by firm responses to high- and low-frequency price cycles and use Engle's band spectrum regression to test the symmetry of high- and low-frequency cycles in weekly pork prices. The findings indicate that changes in wholesale prices are asymmetrically transmitted to retail prices in relatively low-frequency cycles, which does not support search costs and other high-frequency explanations. Conversely, wholesale pork prices asymmetrically adjust to changes in farm prices at all frequencies. Copyright 2001, Oxford University Press.

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    Bibliographic Info

    Article provided by Agricultural and Applied Economics Association in its journal American Journal of Agricultural Economics.

    Volume (Year): 83 (2001)
    Issue (Month): 3 ()
    Pages: 551-562

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    Handle: RePEc:oup:ajagec:v:83:y:2001:i:3:p:551-562

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    Cited by:
    1. James Rude & Jean-Philippe Gervais, 2009. "Biases in Calculating Dumping Margins: The Case of Cyclical Products," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 31(1), pages 122-142.
    2. Octavio Fernández Amador & Josef Baumgartner & Jesús Crespo Cuaresma, . "Milking the Prices: The Role of Asymmetries in the Price Transmission Mechanism for Milk Products in Austria," WIFO Working Papers 378, WIFO.
    3. Pan, Suwen & Mohanty, Samarendu & Fadiga, Mohamadou L., 2003. "Price Relationships In The U.S. Fiber Markets: Its Implications For Cotton Industry," 2003 Annual meeting, July 27-30, Montreal, Canada 22138, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    4. Abdessalem Abbassi & Lota D. Tamini & Jean‐Philippe Gervais, 2012. "Do Inventories Have an Impact on Price Transmission? Evidence From the Canadian Chicken Industry," Agribusiness, John Wiley & Sons, Ltd., vol. 28(2), pages 173-186, 03.
    5. Xia, Tian & Li, Xianghong, 2009. "Asymmetric Price Transmission and Demand Characteristics," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49400, Agricultural and Applied Economics Association.
    6. Stephan von Cramon-Taubadel & Jens-Peter Loy & Jochen Meyer, 2006. "The impact of cross-sectional data aggregation on the measurement of vertical price transmission: An experiment with German food prices," Agribusiness, John Wiley & Sons, Ltd., vol. 22(4), pages 505-522.
    7. Lajos Zoltán Bakucs & Imre Fert�, 2005. "Marketing margins and price transmission on the Hungarian pork meat market," Agribusiness, John Wiley & Sons, Ltd., vol. 21(2), pages 273-286.
    8. Caceres-Hernandez, Jose Juan & Martin-Rodriguez, Gloria, 2006. "Heterogeneous Seasonal Patterns in Agricultural Data and Evolving Splines," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25261, International Association of Agricultural Economists.
    9. Teresa Serra & Barry Goodwin, 2003. "Price transmission and asymmetric adjustment in the Spanish dairy sector," Applied Economics, Taylor & Francis Journals, vol. 35(18), pages 1889-1899.
    10. Subervie, Julie, 2011. "Producer price adjustment to commodity price shocks: An application of threshold cointegration," Economic Modelling, Elsevier, vol. 28(5), pages 2239-2246, September.
    11. Serra, Teresa & Zilberman, David, 2013. "Biofuel-related price transmission literature: A review," Energy Economics, Elsevier, vol. 37(C), pages 141-151.
    12. Holst, Carsten & von Cramon-Taubadel, Stephan, 2013. "Trade, market integration and spatial price transmission on EU pork markets following Eastern enlargement," DARE Discussion Papers 1307, Georg-August University of Göttingen, Department of Agricultural Economics and Rural Development (DARE).
    13. Oral Capps & Pablo Sherwell, 2007. "Alternative approaches in detecting asymmetry in farm-retail price transmission of fluid milk," Agribusiness, John Wiley & Sons, Ltd., vol. 23(3), pages 313-331.
    14. Lloyd, Tim A. & Morgan, C. Wyn & McCorriston, Steve & Rayner, Anthony J., 2003. "The Impact Of Food Scares On Price Transmission In Inter-Related Markets," 2003 Annual Meeting, August 16-22, 2003, Durban, South Africa 25904, International Association of Agricultural Economists.
    15. Serra, Teresa, 2011. "Food scare crises and price volatility: The case of the BSE in Spain," Food Policy, Elsevier, vol. 36(2), pages 179-185, April.

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