Integration And Price Transmission Between Corn And Chicken Markets In Brazil
AbstractThe objective of this paper is to evaluate the dynamics of price transmission between corn and poultry markets in Brazil from 2000 to 2010. The Dickey-Fuller Generalized Least Square (DF-GLS) unit root test, the Granger causality (1969), the Johansen cointegration test (1988), Vector Error Correction Model (VEC) and the weak exogenicity tests are applied. We can conclude that have a long run interaction between corn and poultry markets in Brazil (cointegration). The estimated elasticity price transmission shows that 40% of the variations in the corn prices are transmitted to the chicken prices. The exogenicity test indicated that price transmission between this markets are unidirectional, the corn price can considered weak exogenous.
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Bibliographic InfoArticle provided by University of Santiago de Compostela. Faculty of Economics and Business. in its journal Revista Galega de Economía.
Volume (Year): 22 (2013)
Issue (Month): 2 ()
Corn / Chicken / Vector error correction model (VEC) / Price transmission;
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