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A new econometric test for asymmetric price adjustment by cointegration vector restrictions with an application to the U.S. and Dutch pork chains

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  • Kuiper, W. Erno
  • Pennings, Joost M.E.
  • Verhees, Frans J.H.M.

Abstract

A new test of asymmetric price adjustment is proposed on the basis of the super-consistent cointegrating vector estimator in the Johansen (1995) cointegrating procedure. The super-consistency makes the test robust to misspecifications in the short-run model. Application of the test to the price spreads in the Dutch and U.S. pork chains reveals that in the Netherlands wholesalers might obtain extra price margin as a consequence of asymmetric price adjustment vis-à-vis the farmers.

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Paper provided by European Association of Agricultural Economists in its series 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland with number 114685.

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Date of creation: 02 Sep 2011
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Handle: RePEc:ags:eaae11:114685

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Keywords: Agribusiness; Livestock Production/Industries;

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  1. Sam Peltzman, 2000. "Prices Rise Faster than They Fall," Journal of Political Economy, University of Chicago Press, vol. 108(3), pages 466-502, June.
  2. Matteo Manera & Giliola Frey, 2005. "Econometric Models of Asymmetric Price Transmission," Working Papers 2005.100, Fondazione Eni Enrico Mattei.
  3. Jochen Meyer & Stephan Cramon-Taubadel, 2004. "Asymmetric Price Transmission: A Survey," Journal of Agricultural Economics, Wiley Blackwell, vol. 55(3), pages 581-611.
  4. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, October.
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