Asymmetric price responses of the US pork retail prices to farm and wholesale price shocks: A nonlinear ARDL approach

Dimitrios Panagiotou

The Journal of Economic Asymmetries, 2021, vol. 23, issue C

Abstract: The objective of this study is to assess asymmetric price transmission in magnitude and asymmetric price transmission in speed, between the farm-retail and wholesale-retail levels of the US pork supply chain. In doing so, it employs the recently developed Non-Linear Auto-Regressive Distributed Lag (NARDL) model. Data utilized are monthly observations for farm, wholesale and retail prices of the US pork supply chain for the period 1990–2018. The empirical findings indicate the presence of asymmetry in magnitude for the wholesale-retail pair and the presence of both asymmetry in speed and asymmetry in magnitude for the farm-retail pair. In the long-run, positive shocks in the farm prices and in the wholesale prices are transmitted to the retail level with greater intensity as compared to negative ones.

Keywords: Pork; NARDL model; Price transmission; Asymmetries (search for similar items in EconPapers)
JEL-codes: C13 Q11 Q13 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:23:y:2021:i:c:s1703494920300323

DOI: 10.1016/j.jeca.2020.e00185

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