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Price transmission analysis: a flexible methodological approach applied to European pork and lamb markets

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Abstract

The study of spatial price relationships helps to explain market performance and their degree of integration. Applying only one method of analysis may not be flexible enough to account for the complex interactions of prices in separated markets. This paper complements usual cointegration tests with a description of dynamic features and patterns of causality among price series. The method proposed is applied to study spatial pork and lamb prices relationships within the EU in the period 1988-1995. The results indicate that European markets for both commodities are integrated, not only in the long run but in the short run as well, although the price transmission process is more efficient in the porkmeat industry.

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  • Ana Sanjuan & Jose Gil, 2001. "Price transmission analysis: a flexible methodological approach applied to European pork and lamb markets," Applied Economics, Taylor & Francis Journals, vol. 33(1), pages 123-131.
    • Handle: RePEc:taf:applec:v:33:y:2001:i:1:p:123-131
    DOI: 10.1080/00036840122171
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    1. Fackler, Paul L., 1996. "Spatial Price Analysis: A Methodological Review," 1981-1999 Conference Archive 285657, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
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    1. J. M. Gil & B. Dhehibi & M. Ben Kaabia & A. M. Angulo, 2004. "Non-stationarity and the import demand for virgin olive oil in the European Union," Applied Economics, Taylor & Francis Journals, vol. 36(16), pages 1859-1869.

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