Does asymmetry in price transmission exist in the rice market in Sri Lanka?

P. M. Korale Gedara, S. Ratnasiri and J. S. Bandara

Applied Economics, 2016, vol. 48, issue 27, 2491-2505

Abstract: This study analyses asymmetry in price transmission between wholesale and retail rice markets in Sri Lanka, using the threshold autoregressive model. We found that the wholesale and the retail rice markets in Sri Lanka are integrated, with price changes moving from the wholesale to the retail market. However, the price transmission process is asymmetric. In particular, price increases at the wholesale market transmit immediately to the retail market while price decreases transmit more slowly. Parameter stability test and follow-up analysis indicated that the price transmission process is asymmetric only during periods of price surges, suggesting that the rice market is not efficient during these periods.

Date: 2016
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DOI: 10.1080/00036846.2015.1125427

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