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Price Transmission Analysis: the Case of Milk Products in Russia

S. Kharin

AGRIS on-line Papers in Economics and Informatics, 2018, vol. 10, issue 1

Abstract: This paper investigates vertical price transmission along the milk supply chain in the Russian market using a vector autoregression model. Monthly farm-gate and retail prices were used in the analysis. Using cointegration technique, we find no empirical evidence for cointegration between farm-gate and retail prices. We show that there is bidirectional Granger causality from farm to retail prices and vice versa. However, response of the farm-gate price to a change in retail price is greater and slightly longer than price response of the retail price to a change at the farm level. The results support the assumption that price changes are not transmitted efficiently from one level to another.

Keywords: Agricultural; Finance (search for similar items in EconPapers)
Date: 2018
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