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A Markov regime-switching event response model: beef price spread response to processing capacity shocks

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Listed:
  • Eunchun Park

    (University of Arkansas)

  • Christopher N. Boyer

    (University of Tennessee)

  • Clinton L. Neill

    (Cornell University)

Abstract

This research introduces a new method for event studies in time-series analysis named the Markov regime-switching event response model (MS-ERM). The MS-ERM is a comprehensive approach that integrates two different event study approaches: 1) measuring the impact of an event through structural shift and 2) measuring the impact via additional distributional components. As an empirical application, the study measures the impact of beef-packing plant closures on the weekly live-to-cutout beef price spread. The results indicate that the MS-ERM is a promising tool for event studies, particularly when an empirical dataset has both groups of events that cause and do not cause structural changes.

Suggested Citation

  • Eunchun Park & Christopher N. Boyer & Clinton L. Neill, 2025. "A Markov regime-switching event response model: beef price spread response to processing capacity shocks," Empirical Economics, Springer, vol. 68(3), pages 1039-1071, March.
    • Handle: RePEc:spr:empeco:v:68:y:2025:i:3:d:10.1007_s00181-024-02677-x
    DOI: 10.1007/s00181-024-02677-x
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    References listed on IDEAS

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