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

W.E. Kuiper; J.M.E. Pennings; F.J.H.M. Verhees

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

W.E. Kuiper, J.M.E. Pennings, F.J.H.M. Verhees

Research output: Contribution to conference › Conference paper › Academic › peer-review

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 language	English
Pages	1-8
Publication status	Published - 2011
Event	EAAE 2011 Congress - Zurich Duration: 30 Aug 2011 → 2 Sept 2011

Conference

Conference	EAAE 2011 Congress
City	Zurich
Period	30/08/11 → 2/09/11

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Cite this

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

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-{\`a}-vis the farmers",

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AU - Pennings, J.M.E.

AU - Verhees, F.J.H.M.

PY - 2011

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N2 - 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

AB - 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

M3 - Conference paper

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EP - 8

T2 - EAAE 2011 Congress

Y2 - 30 August 2011 through 2 September 2011

ER -

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

Abstract

Conference

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