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Estimation des transmissions de prix asymétriques avec des prix intégrés

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  • Von Cramon-Taubadel, Stéphane
  • Loy, Jens

Abstract

The method of estimating asymmetric price transmission developed by Wolffram (1971) is still widely used. However, this method fails to consider the time series properties of integrated process. We explore the relationship between asymmetric price transmission and cointégration and demonstrate that Wolffram's approach is incompatible with cointégration between two price series. We then develop an alternative method for the estimation of asymmetric transmission between cointegrated prices. This method is applied to wheat price data from world's major exporters, data for which Mohanty, Peterson and Kruse (1996), using Wolffram's approach, have recently presented evidence of asymmetric transmission.

Suggested Citation

  • Von Cramon-Taubadel, Stéphane & Loy, Jens, 1998. "Estimation des transmissions de prix asymétriques avec des prix intégrés," Économie rurale, French Society of Rural Economics (SFER Société Française d'Economie Rurale), vol. 243.
    • Handle: RePEc:ags:ersfer:354402
    DOI: 10.22004/ag.econ.354402
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    References listed on IDEAS

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