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Asymmetric Price Transmission in Food Supply Chains: Impulse Response Analysis by Local Projections

Author

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  • Kuiper, Erno
  • Bunte, Frank H.J.

Abstract

In this paper we set out Jorda’s (2005) method of local projections by which nonlinear impulse responses can be computed without the need to specify and estimate the underlying nonlinear dynamic system. The method is used to compute price reaction functions that show how the prices of the different stages in the supply chain dynamically respond to one another and whether or not these responses reveal any asymmetric patterns. Empirical applications for the US pork-meat and broiler composite chains illustrate the convenience of the method.

Suggested Citation

  • Kuiper, Erno & Bunte, Frank H.J., 2011. "Asymmetric Price Transmission in Food Supply Chains: Impulse Response Analysis by Local Projections," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114679, European Association of Agricultural Economists.
    • Handle: RePEc:ags:eaae11:114679
    DOI: 10.22004/ag.econ.114679
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    References listed on IDEAS

    as
    1. Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March.
    2. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
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