A new econometric test for asymmetric price adjustment by cointegration vector restrictions with an application to the U.S. and Dutch pork chains
A new test of asymmetric price adjustment is proposed on the basis of the super-consistent cointegrating vector estimator in the Johansen (1995) cointegrating procedure. The super-consistency makes the test robust to misspecifications in the short-run model. Application of the test to the price spreads in the Dutch and U.S. pork chains reveals that in the Netherlands wholesalers might obtain extra price margin as a consequence of asymmetric price adjustment vis-à-vis the farmers.
|Date of creation:||02 Sep 2011|
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