A new econometric test for asymmetric price adjustment by cointegration vector restrictions with an application to the U.S. and Dutch pork chains

W. Erno Kuiper, Joost Pennings () and Frans J.H.M. Verhees

No 114685, 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland from European Association of Agricultural Economists

Abstract: A new test of asymmetric price adjustment is proposed on the basis of the super-consistent cointegrating vector estimator in the Johansen (1995) cointegrating procedure. The super-consistency makes the test robust to misspecifications in the short-run model. Application of the test to the price spreads in the Dutch and U.S. pork chains reveals that in the Netherlands wholesalers might obtain extra price margin as a consequence of asymmetric price adjustment vis-à-vis the farmers.

Keywords: Agribusiness; Livestock Production/Industries (search for similar items in EconPapers)
Pages: 8
Date: 2011-09-02
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:eaae11:114685

DOI: 10.22004/ag.econ.114685

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