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Vertical Price Transmission in the US Pork Industry: Evidence from Copula Models

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  • Emmanoulides, Christos
  • Fousekis, Panos

Abstract

This paper investigates vertical price transmission in the US pork industry using the statistical tool of copulas and monthly data from 1970 to 2012. The empirical results indicate that the degree and the structure of price dependence differs across markets and time periods. In the first half of the sample, there was a relatively high degree of co-movement with symmetric tail dependence for the pair of markets farm-wholesale and asymmetric for the pair wholesale-retail. In the second half of the sample, tail dependence disappeared for both markets pairs and the association between price changes at the wholesale and the retail became very weak.

Suggested Citation

  • Emmanoulides, Christos & Fousekis, Panos, 2014. "Vertical Price Transmission in the US Pork Industry: Evidence from Copula Models," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 15(01), pages 1-12.
    • Handle: RePEc:ags:aergaa:253678
    DOI: 10.22004/ag.econ.253678
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    References listed on IDEAS

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    Cited by:

    1. Barry K. Goodwin & Giorgia Rivieccio & Giovanni De Luca & Fabian Capitanio, 2024. "Computing impulse response functions from a copula-based vector autoregressive model: evidence from the italian agri-food value chain," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(2), pages 1779-1797, April.
    2. Panos Fousekis & Dimitra Tzaferi, 2022. "Tail price risk spillovers along the US beef and pork supply chains," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(2), pages 383-399, April.
    3. Rachel Rose & Dimitrios Paparas, 2023. "Price Transmission: The Case of the UK Dairy Market," Commodities, MDPI, vol. 2(1), pages 1-21, March.
    4. Fousekis, Panos & Tzaferi, Dimitra, 2022. "Tail price risk spillovers along the US beef and pork supply chains," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(02), January.
    5. Zhu, Drew, 2016. "The Mechanism of Giffen Behaviour," MPRA Paper 75707, University Library of Munich, Germany.
    6. Panagiotou, Dimitrios, 2021. "Asymmetric price responses of the US pork retail prices to farm and wholesale price shocks: A nonlinear ARDL approach," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).

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