Price Transmission, Threshold Behavior and Asymmetric Adjustment in Iranian Poultry Market
الموضوعات :م. کاوسی کلاشمی 1 , پ. خلیق خیاوی 2 , خلیق خیاوی 3
1 - Department of Agricultural Economics, Faculty of Agricultural Science, University of Guilan, Rasht, Iran
2 - Department of Agricultural Management, Rasht Branch, Islamic Azad University, Rasht, Iran
3 - Department of Agricultural Management, Rasht Branch, Islamic Azad University, Rasht, Iran
الکلمات المفتاحية: asymmetric price transmission, poultry markets, spatial price transmission, threshold vector error correction model,
ملخص المقالة :
The Iranian poultry sector has experienced many significant structural changes in recent years. Such changes may have influenced price dynamics and transmission of shocks through marketing channels especially on retail markets. This paper investigate price transmission, threshold behavior and asymmetric adjustment in poultry sector of Ardebil (AR), east Azerbaijan (EA) and west Azerbaijan (WA) provinces using weekly price data for the period covering 1998 through 2012. Our analysis uses a threshold cointegration model that permits asymmetric adjustment to positive and negative price shocks. R software is used for data analyzing. Main findings reveal existence of asymmetry in price transmission for all markets. Based on minimizing of the sum of squared error (SSR) criterion the estimated threshold for EA-AR, WA-AR and EA-WA markets are (0.38, 1.217), (1.61, 0.211), (0.38, 1.95), respectively. As another try the thresholds are estimated using TVECM methodology and the same results are found.
Aguiar D.R.D. and Santana J.A. (2002). Asymmetry in farm to retail price transmission. Evid. Br. Agrib. 18, 37-48.
Balke N.S. and Fomby T.B. (1997). Threshold cointegration. Int. Econ. Rev. 38, 627-645.
Bernard J.C. and Willett L.S. (1996). Asymmetry price relationships in the U.S. broiler industry. J. Agric. Appl. Econ. 28, 279-289.
Capps Jr. and Sherwell P. (2005). Spatial Asymmetry in Farm Retail Price Transmission Associated with Fluid Milk Products. American Agricultural Economics Association Annual Meeting. Providence, Rhod Islnad.
Cramon-Taubadel S. and Meyer j. (2000). Asymmetry price transmission: survey. J. Agric. Econ. 50, 581-611.
Enders W. (2004). Applied Econometric Time Series. Wiley, Hoboken.
Engle R.E. and Granger C.W.J. (1987). Cointegrationand error correction: representation, estimation and testing. Econometrics. 55, 251-276.
Girapunthong N., Vansickle J. and Renwick A. (2003). Price asymmetry in the United States fresh tomato market. J. Food Dist. Res. 34, 51-59.
Goodwin B.K. and Holt M.T. (1999). Asymmetric adjustmentand pricetransmission in the U.S.beef sector. Am. J. Agric.Econ. 81, 630-637.
Goodwin B.K. and Harper D.C. (2000). Price transmission, threshold behavior and asymmetric adjustment in the U.S. pork sector. J. Agric. Appl. Econ. 32, 543-553.
Goulven K.L. (2001). Institutions and price transmission in the vietnamese hog market. Int. Food Agrib. Manag. Rev. 2, 375-390.
Hansen B.E. and Seo B. (2002). Testing for two-regime threshold cointegration in vector error-correction models.J. Econ. 110, 293-318.
Houck J.P. (1997). An approach to specifying and estimating nonreversible functions. Am. J. Agric. Econ. 59, 750-572.
Kinnucan H.W. and Foker O.D. (1987). Asymmetry in farm-retail price transmission for major dairy products. Am. J. Agric. Econ. 69, 285-292.
Krishnakumar J. and Neto D. (2009). Estimation and Testing for the Cointegration Rank in a Threshold Cointegrated System. Department of Econometrics, University of Geneva, Switzerland.
Kwiatkowski D., Phillips P.C.B., Schmidt P. and Shin Y.(1992). Testing the null hypothesis of stationary against the alternative of a unit root.J. Econ. 54, 159-178.
Obstfeld M. and Taylor A.M. (1997). Nonlinear aspectsof goods-market arbitrage and adjustment;Heckscher’s commodity points revisited.J. Japanese Int.Econ. 11, 441-479.
Statistics of Jihad-e-AgricultureOrganization of Ardebil. (2012). Statistics ofJihad-e-AgricultureOrganization of East Azarbaijan, Iran.
Ward R.W. (1982). Asymmetry in retail. Wholesale and shipping point pricing for fresh vegetables. Am. J. Agric. Econ. 62, 205-212.
Wolffram R. (1971). Positive measures of aggregate supply elasticities: some new approaches-some critical notes. Am. J. Agric. Econ. 53, 356-359.
