Estimation des transmissions de prix asymétriques avec des prix intégrés

Stéphane Von Cramon-Taubadel and Jens Loy

Économie rurale, 1998, vol. 243

Abstract: The method of estimating asymmetric price transmission developed by Wolffram (1971) is still widely used. However, this method fails to consider the time series properties of integrated process. We explore the relationship between asymmetric price transmission and cointégration and demonstrate that Wolffram's approach is incompatible with cointégration between two price series. We then develop an alternative method for the estimation of asymmetric transmission between cointegrated prices. This method is applied to wheat price data from world's major exporters, data for which Mohanty, Peterson and Kruse (1996), using Wolffram's approach, have recently presented evidence of asymmetric transmission.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:ags:ersfer:354402

DOI: 10.22004/ag.econ.354402

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