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La robustesse des tests de transmission asymétrique des prix en présence de changements structurels

  • Stephan von Cramon-Taubadel
  • Jochen Meyer

[eng] The robustness of asymmetric price transmission tests in the presence of structural breaks - Asymmetric price transmission, especially between vertically separated markets, has been a subject of considerable attention in agricultural economics. Asymmetric price transmission is not only important because it may point to gaps in economic theory, but also because its presence is often considered for policy purposes to be evidence of market failure. . The focus of this paper is on the empirical methods used to determine whether price transmission is asymmetric or symmetric. Specifically, we analyse the behaviour of the common tests for asymmetry in the presence of structural breaks in the underlying data, and we test whether such breaks lead to overrejection of the null hypothesis of symmetric transmission. Hence we test the robustness of such tests. The results of Monte-Carlo experiments demonstrate that in the presence of structural breaks in symmetrically linked price data, tests will tend to reject the null hypothesis of symmetric transmission at the 5% level of significance in considerably more than 5% of a large number of repetitions. In other words, in the presence of structural breaks, the true size of tests for asymmetric price transmission is considerably larger than the chosen significance level. Our results are important for many empirical studies on asymmetric price transmission, because the results emphasise the necessity of test for structural breaks. Otherwise, in the case of undetected structural breaks, the results of asymmetry tests might be missleading. [fre] La transmission asymétrique des prix a fait l'objet d'une attention particulière en économie agricole, particulièrement en ce qui concerne les marchés séparés verticalement. La transmission asymétrique des prix permet, non seulement, d'identifier certaines lacunes de la théorie économique, mais sa présence peut être considérée comme un signe révélateur de l'échec du marché en politique économique. Le but de cette étude est de présenter les méthodes empiriques utilisées pour déterminer si la transmission des prix est symétrique ou asymétrique. Plus précisément, nous allons analyser le comportement des tests communs pour l'asymétrie en présence de ruptures structurelles dans nos données. Nous étudierons si ces ruptures conduisent à une sur-rejection de l'hypothèse nulle de transmission symétrique, testant donc la robustesse de ces tests. Les résultats des simulations de Monte-Carlo montrent qu'en présence de ruptures structurelles dans une base de données avec des prix reliés symétriquement, les tests ont tendance à rejeter l'hypothèse nulle de transmission symétrique au seuil de signification de 5 % dans plus de 5 % des cas dans un grand nombre de répétitions. Autrement dit, en présence de ruptures structurelles, la vraie taille des tests de transmission des prix est considérablement plus large que le niveau de signification choisi. Nos résultats sont importants pour un certain nombre d'études empiriques sur la transmission asymétrique des prix car ils montrent la nécessité des tests pour les ruptures structurelles. Sinon, dans le cas de ruptures structurelles non détectées, les résultats des tests d'asymétrie seront trompeurs.

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Article provided by Programme National Persée in its journal Économie rurale.

Volume (Year): 283 (2004)
Issue (Month): 1 ()
Pages: 10-26

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Handle: RePEc:prs:recoru:ecoru_0013-0559_2004_num_283_1_5503
Note: DOI:10.3406/ecoru.2004.5503
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