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Analysis of Price Transmission using a Nonparametric Error Correction Model with Time-Varying Cointegration

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  • Rosales, Francisco
  • von-Cramon, Stephan

Abstract

Several authors have proposed using non-parametric methods to estimate price transmission rather than the currently popular piecewise linear or regimedependent methods. However, so far only the error correction mechanism has been estimated non-parametrically using local polynomial techniques. We propose a new method for estimating price transmission relationships that combines a nonparametric error correction model with time-varying cointegration. Two applications, to wheat price transmission between Ukraine and France, and to vertical transmission between piglet and slaughter pig prices, are presented to demonstrate the complex behaviour and insights that the proposed method can reveal.

Suggested Citation

  • Rosales, Francisco & von-Cramon, Stephan, 2015. "Analysis of Price Transmission using a Nonparametric Error Correction Model with Time-Varying Cointegration," 2015 Conference, August 9-14, 2015, Milan, Italy 230227, International Association of Agricultural Economists.
    • Handle: RePEc:ags:iaae15:230227
    DOI: 10.22004/ag.econ.230227
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