Price transmission analysis: A flexible methodological approach applied to European hog markets
The study of spatial price relationships contributes to explain markets performance, their degree of integration or isolation, and the speed at which information is transmitted. A great deal of methods have been used to analyze this issue, being the most important: causality tests, impulse- response functions and cointegration. Normally, these techniques have been individually applied. However, a more rich knowledge of the functioning of markets can be extracted when they are jointly applied. In this paper, we try to conjugate these three techniques in a common econometric model. First, Johansen(1988) multivariate cointegration tests are used to determine the number of long-run equilibrium relationships. Cointegration is considered not only as informative about long-run price transmission but also as an essential step in the correct specification of a vector error correction model (VECM) used in the subsequent analysis. Second, Dolado and Lutkepohl(1996) causality tests are used to investigate the lead-lag behaviour among markets. Finally, impulse-response functions are calculated from the VECM estimated in the first stage for evaluating dynamic price linkages. The method exposed is applied to study spatial pork prices relationships among seven countries in the EU from 1988 to 1995. Weekly prices at farm level published by EUROSTAT: "Agricultural Markets" are used.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Christopher B. Barrett, 1996. "Market Analysis Methods: Are Our Enriched Toolkits Well Suited to Enlivened Markets?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(3), pages 825-829.
- Dolado, J.J. & Lutkepohl, H., 1994.
"Making Wald Tests Work for Cointegrated Var Systems,"
9424, Centro de Estudios Monetarios Y Financieros-.
- Juan J. DOLADO & Helmut LÜTKEPOHL, 1994. "Making Wald Tests Work for Cointegrated Var Systems," SFB 373 Discussion Papers 1994,44, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Toda, Hiro Y & Phillips, Peter C B, 1993.
"Vector Autoregressions and Causality,"
Econometric Society, vol. 61(6), pages 1367-1393, November.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
When requesting a correction, please mention this item's handle: RePEc:wiw:wiwrsa:ersa98p180. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gunther Maier)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.