Analysis of Price Transmission using a Nonparametric Error Correction Model with Time-Varying Cointegration

Francisco Rosales and Stephan von-Cramon

No 230227, 2015 Conference, August 9-14, 2015, Milan, Italy from International Association of Agricultural Economists

Abstract: Several authors have proposed using non-parametric methods to estimate price transmission rather than the currently popular piecewise linear or regimedependent methods. However, so far only the error correction mechanism has been estimated non-parametrically using local polynomial techniques. We propose a new method for estimating price transmission relationships that combines a nonparametric error correction model with time-varying cointegration. Two applications, to wheat price transmission between Ukraine and France, and to vertical transmission between piglet and slaughter pig prices, are presented to demonstrate the complex behaviour and insights that the proposed method can reveal.

Keywords: Marketing; Production Economics (search for similar items in EconPapers)
Pages: 22
Date: 2015-08
New Economics Papers: this item is included in nep-pr~
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:iaae15:230227

DOI: 10.22004/ag.econ.230227

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