Using threshold cointegration to estimate asymmetric price transmission in the Swiss pork market
- 1 March 2002
- journal article
- research article
- Published by Informa UK Limited in Applied Economics
- Vol. 34 (6), 679-687
- https://doi.org/10.1080/00036840110054035
Abstract
This paper employs threshold cointegration tests that allow for asymmetric adjustment towards a long-run equilibrium relationship to examine the relationship between producer and retail pork prices in Switzerland. The short-run adjustments are also examined with asymmetric error correction models that are compared to the conventional symmetric error correction models. The results indicate that price transmission between the producer and retail levels is asymmetric, in the sense that increases in producer prices that lead to declines in marketing margins are passed on more quickly to retail prices than decreases in producer prices that result in increases in the marketing margins.Keywords
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