Modelos de Cointegracao com um ou dois Limiares: uma Aplicacao para o Preco do Frango lnteiro Resfriado em Mercados Atacadistas no Brasil¹

Leonardo Bornacki de Mattos, Joao Eustaquio de Lima, Viviani Silva Lirio and Antonio Carvalho Campos

Revista de Economia e Sociologia Rural (RESR), 2010, vol. 48, issue 4

Abstract: Most studies about market integration that use threshold cointegration do not usually test the number of regimes of price adjustment. In this study, we use a testing procedure to determine the number of statistically significant regimes for regional markets of poultry in Brazil in the period of January 1998 to June 2007. Results show that, for some markets, two regimes are adequate, whereas for others, the model should have three regimes. We also conclude that there are important barriers to price transmission among the markets which may come from the existence of high transaction costs regarding trades involving poultry.

Keywords: Agribusiness; Agricultural Finance (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ags:revi24:341679

DOI: 10.22004/ag.econ.341679

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