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Asymmetric price responses of the US pork retail prices to farm and wholesale price shocks: A nonlinear ARDL approach

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  • Panagiotou, Dimitrios

Abstract

The objective of this study is to assess asymmetric price transmission in magnitude and asymmetric price transmission in speed, between the farm-retail and wholesale-retail levels of the US pork supply chain. In doing so, it employs the recently developed Non-Linear Auto-Regressive Distributed Lag (NARDL) model. Data utilized are monthly observations for farm, wholesale and retail prices of the US pork supply chain for the period 1990–2018. The empirical findings indicate the presence of asymmetry in magnitude for the wholesale-retail pair and the presence of both asymmetry in speed and asymmetry in magnitude for the farm-retail pair. In the long-run, positive shocks in the farm prices and in the wholesale prices are transmitted to the retail level with greater intensity as compared to negative ones.

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  • Panagiotou, Dimitrios, 2021. "Asymmetric price responses of the US pork retail prices to farm and wholesale price shocks: A nonlinear ARDL approach," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).
    • Handle: RePEc:eee:joecas:v:23:y:2021:i:c:s1703494920300323
    DOI: 10.1016/j.jeca.2020.e00185
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    7. Panos Fousekis & Dimitra Tzaferi, 2022. "Tail price risk spillovers along the US beef and pork supply chains," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(2), pages 383-399, April.
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    More about this item

    Keywords

    Pork; NARDL model; Price transmission; Asymmetries;
    All these keywords.

    JEL classification:

    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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