A Markov regime-switching event response model: beef price spread response to processing capacity shocks

Eunchun Park (), Christopher N. Boyer and Clinton L. Neill
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Eunchun Park: University of Arkansas
Christopher N. Boyer: University of Tennessee
Clinton L. Neill: Cornell University

Empirical Economics, 2025, vol. 68, issue 3, No 3, 1039-1071

Abstract: Abstract This research introduces a new method for event studies in time-series analysis named the Markov regime-switching event response model (MS-ERM). The MS-ERM is a comprehensive approach that integrates two different event study approaches: 1) measuring the impact of an event through structural shift and 2) measuring the impact via additional distributional components. As an empirical application, the study measures the impact of beef-packing plant closures on the weekly live-to-cutout beef price spread. The results indicate that the MS-ERM is a promising tool for event studies, particularly when an empirical dataset has both groups of events that cause and do not cause structural changes.

Keywords: Cattle market; Events study; Markov regime-switching model (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s00181-024-02677-x

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