Asymmetric Price Transmission and Non-linear Adjustment in the Iranian Mutton Market

Azadeh Falsafian, Saeed Yazdani and Reza Moghaddasi

No 114363, 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland from European Association of Agricultural Economists

Abstract: This paper analyses the asymmetric price transmission and non-linear adjustment at the farm and retail levels in the Iran’s mutton market. We applied a multivariate threshold error correction mechanism for monthly price data. We tested the non-linear adjustment using sup-LR, sup-LM and sup-Wald tests. The results confirm the presence of non-linear cointegration relationship between the retail and farm prices. In short-run, the price transmission behavior reveals that reactions of both the retail and farm prices to positive and negative deviations from the long-run price spread are asymmetric. More specially, the retailers show more strong responses to the both positive and negative shocks imposed to the farmers.

Keywords: Livestock; Production/Industries (search for similar items in EconPapers)
Pages: 8
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:ags:eaae11:114363

DOI: 10.22004/ag.econ.114363

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