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Estimation des transmissions de prix asymétriques avec des prix intégrés [Une application au marché mondial du blé]

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  • Stéphane Von Cramon-Taubadel
  • Jens-Peter Loy

Abstract

[fre] La méthode de Wolffram (1971) pour estimer les transmissions asymétriques de prix est très utilisée. Or, celle-ci ne prend pas en compte les propriétés des processus temporels intégrés. Nous démontrons que l'approche de Wolffram n'est pas compatible avec la cointégration entre deux séries de prix. Nous développons une méthode d'estimation alternative des transmissions asymétriques de prix entre prix coin- tégrés. Cette méthode est appliquée à l'analyse de la transmission des prix mondiaux du blé, sur des données à partir desquelles Mohanty, Peterson et Kruse (1996) ont récemment mis en évidence des transmissions asymétriques avec la méthode de Wolffram. [eng] Estimation of asymmetric transmission with integrated prices : an application to the world wheat market . The method of estimating asymmetric price transmission developed by Wolffram (1971) is still widely used. However, this method fails to consider the time series properties of integrated process. We explore the relationship between asymmetric price transmission and cointégration and demonstrate that Wolffram's approach is incompatible with cointégration between two price series. We then develop an alternative method for the estimation of asymmetric transmission between cointegrated prices. This method is applied to wheat price data from world's major exporters, data for which Mohanty, Peterson and Kruse (1996), using Wolffram's approach, have recently presented evidence of asymmetric transmission.

Suggested Citation

  • Stéphane Von Cramon-Taubadel & Jens-Peter Loy, 1998. "Estimation des transmissions de prix asymétriques avec des prix intégrés [Une application au marché mondial du blé]," Économie rurale, Programme National Persée, vol. 243(1), pages 30-39.
    • Handle: RePEc:prs:recoru:ecoru_0013-0559_1998_num_243_1_4990
    DOI: 10.3406/ecoru.1998.4990
    Note: DOI:10.3406/ecoru.1998.4990
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    References listed on IDEAS

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