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Price Transmission, Threshold Behavior, And Asymmetric Adjustment In The U.S. Pork Sector

Listed author(s):
  • Goodwin, Barry K.
  • Harper, Daniel C.

The US pork sector has experienced many significant structural changes in recent years. Such changes may have influenced price dynamics and transmission of shocks through marketing channels. We investigate linkages among farm, wholesale, and retail markets using weekly price data for the period covering 1987 through 1998. Our analysis uses a threshold cointegration model that permits asymmetric adjustment to positive and negative price shocks. Our results reveal important asymmetries. Our results are consistent with existing literature which has determined that price adjustment patterns are unidirectional and that information tends to flow from farm, to wholesale, to retail markets.

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File URL: http://purl.umn.edu/15308
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Article provided by Southern Agricultural Economics Association in its journal Journal of Agricultural and Applied Economics.

Volume (Year): 32 (2000)
Issue (Month): 03 (December)
Pages:

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Handle: RePEc:ags:joaaec:15308
Contact details of provider: Web page: http://www.saea.org/jaae/jaae.htm

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  1. von Cramon-Taubadel, Stephan, 1998. "Estimating Asymmetric Price Transmission with the Error Correction Representation: An application to the German Pork Market," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 25(1), pages 1-18.
  2. Balke, Nathan S & Fomby, Thomas B, 1997. "Threshold Cointegration," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-645, August.
  3. Obstfeld, Maurice & Taylor, Alan M., 1997. "Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited," Journal of the Japanese and International Economies, Elsevier, vol. 11(4), pages 441-479, December.
  4. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
  5. Bailey, DeeVon & Brorsen, B. Wade, 1989. "Price Asymmetry In Spatial Fed Cattle Markets," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 14(02), December.
  6. Hansen Bruce E., 1997. "Inference in TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(1), pages 1-16, April.
  7. Potter, Simon M, 1995. "A Nonlinear Approach to US GNP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 109-125, April-Jun.
  8. Milton S. Boyd & B. Wade Brorsen, 1988. "Price Asymmetry in the U.S. Pork Marketing Channel," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 10(1), pages 103-109.
  9. Milton S. Boyd & B. Wade Brorsen, 1985. "Dynamic Relationship of Weekly Prices In the United States Beef and Pork Marketing Channels," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 33(3), pages 331-342, November.
  10. Siklos, Pierre L. & Granger, Clive W.J., 1997. "Regime-Sensitive Cointegration With An Application To Interest-Rate Parity," Macroeconomic Dynamics, Cambridge University Press, vol. 1(03), pages 640-657, September.
  11. Ted C. Schroeder, 1988. "Price linkages between wholesale and retail pork cuts," Agribusiness, John Wiley & Sons, Ltd., vol. 4(4), pages 359-369.
  12. Goodwin, Barry K. & Grennes, Thomas J., 1998. "Tsarist Russia and the World Wheat Market," Explorations in Economic History, Elsevier, vol. 35(4), pages 405-430, October.
  13. Hahn, William F., 1990. "Price Transmission Asymmetry in Pork and Beef Markets," Journal of Agricultural Economics Research, United States Department of Agriculture, Economic Research Service, issue 4.
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