Price Transmission and Volatility in the Greek Broiler Sector: A Threshold Cointegration Analysis
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Anthony N Rezitis
This article investigates the non-linear adjustment and price volatility between consumer and producer prices in the Greek broiler sector, using a threshold error correction autoregressive model and two multivariate GARCH models, i.e. DVEC(1,1) and BEKK(1,1). The results reject the null hypothesis of linear cointegration in favor of a three-regime threshold cointegration model. A cointegrating relationship is expected either when the relative markup is squeezed more than 30.89%, i.e. the price system is found in the lower regime, or if it increases more than 39.10%, i.e. the system is found in the upper regime. In the first case, the consumer price has to increase, while in the latter case, the producer price has to increase. Both price changes tend to bring the price system into the middle regime where the average relative markup is about 35.90%. The volatility results obtained from the estimation of the two multivariate GARCH models indicate that producer and consumer broiler prices present a significant level of persistence and that producer price volatility shows higher persistence than consumer price volatility. The results also indicate that consumer price volatility is higher in the first regime than in the middle regime, while producer price volatility is higher in the third regime than in the middle regime. Finally, the results suggest that the broiler price system is moving from the first to the middle regime via an increase in both the consumer price level and the consumer price volatility, while the price system is moving from the third to the middle regime via an increase in both the producer price level and the producer price volatility.
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Articles in the same Issue
- Article
- Tax Incidence When Quality Matters: Evidence from the Beer Market
- Market Efficiency in the Non-Genetically Modified Soybean Futures Market
- Do Taxes Produce Better Wine?
- Economic Effects of Purity Standards in Biotech Labeling Laws
- Does the Prevalence of Contract Hog Production Influence the Price Received by Independent Hog Producers?
- Impact of Country-of-Origin Labeling on Bovine Meat Trade
- Geographical Indications and The Trade Related Intellectual Property Rights Agreement (TRIPS): A Case Study of Basmati Rice Exports
- Measuring Consumers' Attachment to Geographical Indications
- Willingness to Pay for Fair Trade Coffee: A Conjoint Analysis Experiment with Italian Consumers
- Pressure Group Competition and GMO Regulations in Sub-Saharan Africa - Insights from the Becker Model
- Price Transmission and Volatility in the Greek Broiler Sector: A Threshold Cointegration Analysis
- Livestock Mandatory Price Reporting: A Literature Review and Synthesis of Related Market Information Research
