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

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Abstract

A new test of asymmetric price adjustment is proposed on the basis of the super-consistent cointegrating vector estimator in the Johansen (1995) cointegration 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
Original languageEnglish
Pages1-8
Publication statusPublished - 2011
EventEAAE 2011 Congress - Zurich
Duration: 30 Aug 20112 Sep 2011

Conference

ConferenceEAAE 2011 Congress
CityZurich
Period30/08/112/09/11

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