A Heteroskedastic Multivariate Tobit Analysis of Price Dynamics in the Presence of Price Floors

Jean-Paul Chavas () and Kwansoo Kim

American Journal of Agricultural Economics, 2004, vol. 86, issue 3, pages 576-593

Abstract: This article presents an econometric analysis of the effects of price floors on price dynamics and price volatility in a multimarket context. We investigate the implications of a government price-support program providing a censoring mechanism to the price determination process. The analysis uses a dynamic multivariate Tobit model under time-varying volatility. The model is applied to the U.S. dairy markets with a special focus on the effects of government price-support programs in a period of market liberalization. The econometric analysis provides useful information on the multimarket effects of price supports on price dynamics and price volatility. Copyright 2004 American Agricultural Economics Association.

Date: 2004
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