Price Transmission and Volatility in the Greek Broiler Sector: A Threshold Cointegration Analysis

Anthony Rezitis and Konstantinos Stavropoulos

Journal of Agricultural & Food Industrial Organization, 2011, vol. 9, issue 1, 37

Abstract: This article investigates the non-linear adjustment and price volatility between consumer and producer prices in the Greek broiler sector, using a threshold error correction autoregressive model and two multivariate GARCH models, i.e. DVEC(1,1) and BEKK(1,1). The results reject the null hypothesis of linear cointegration in favor of a three-regime threshold cointegration model. A cointegrating relationship is expected either when the relative markup is squeezed more than 30.89%, i.e. the price system is found in the lower regime, or if it increases more than 39.10%, i.e. the system is found in the upper regime. In the first case, the consumer price has to increase, while in the latter case, the producer price has to increase. Both price changes tend to bring the price system into the middle regime where the average relative markup is about 35.90%. The volatility results obtained from the estimation of the two multivariate GARCH models indicate that producer and consumer broiler prices present a significant level of persistence and that producer price volatility shows higher persistence than consumer price volatility. The results also indicate that consumer price volatility is higher in the first regime than in the middle regime, while producer price volatility is higher in the third regime than in the middle regime. Finally, the results suggest that the broiler price system is moving from the first to the middle regime via an increase in both the consumer price level and the consumer price volatility, while the price system is moving from the third to the middle regime via an increase in both the producer price level and the producer price volatility.

Keywords: price transmission; threshold vector error correction model; multivariate GARCH models; DVEK(1; 1); BEKK(1; 1); broiler sector (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://doi.org/10.2202/1542-0485.1340 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:bjafio:v:9:y:2011:i:1:n:8

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/jafio/html

DOI: 10.2202/1542-0485.1340

Access Statistics for this article

Journal of Agricultural & Food Industrial Organization is currently edited by Azzeddine Azzam

More articles in Journal of Agricultural & Food Industrial Organization from De Gruyter
Bibliographic data for series maintained by Peter Golla ().