Modeling asymmetric price transmission in the European food market

Anthony Rezitis and Mike Tsionas

Economic Modelling, 2019, vol. 76, issue C, 216-230

Abstract: In this study, we employ a multivariate panel error correction model (PVECM) to investigate asymmetric price transmission among the farm, processor, and retail segments of the European food supply chain for the 2005–2016 period. The results indicate that, in both the long- and short-run, retail prices respond more strongly to processor price increases than decreases and the same occurs for processor prices due to farm price changes. Thus, the findings demonstrate the presence of positive asymmetric price transmission in the European food supply chain. Finally, the results of the present study indicate that the food price pass-through varies greatly across product category and across countries, and that the pass-through to producer prices is greater than that to consumer prices.

Keywords: Multivariate panel vector error correction models; Asymmetric price transmission; European food supply chain (search for similar items in EconPapers)
JEL-codes: C13 C50 Q11 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:76:y:2019:i:c:p:216-230

DOI: 10.1016/j.econmod.2018.08.004

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