Threshold cointegration in the greek milk market

Journal of International Food and Agribusiness Marketing

Volumn 23, Issue 3, 2011, Pages 231-246

  Rezitis, Anthony N ^a   Reziti, Ioanna ^b  

^a University of Western Greece   (Greece)

^b Centre of Planning and Economic Research   (Greece)

Author keywords

Milk sector; Price transmission; Threshold vector error correction model

Indexed keywords

EID: 79960504498     PISSN: 08974438     EISSN: 15286983     Source Type: Journal    
DOI: 10.1080/08974438.2011.586916     Document Type: Article

References (37)

1. Abdulai, A. (2002). Using threshold cointegration to estimate asymmetric price transmission in the Swiss pork market. Applied Economics, 34, 679-687.
2. Ananiadis, Y., Notta, O., & Oustapassidis, K. (2003). Cooperative competitiveness and capital structure in the Greek dairy industry. Journal of Rural Cooperation, 31(2), 95-109.
3. Bailey, D., & Brorsen, B. W. (1989). Price asymmetry in spatial fed cattle markets. Western Journal of Agricultural Economics, 14, 246-252.
4. Bakucs, L. Z., & Ferto, I. (2008, August). Price transmission on the Hungarian milk market. Paper presented at the 12th European Association of Agricultural Economics (EAAE) Congress, Ghent, Belgium.
5. Balke, N. S., & Fomby, T. B. (1997). Threshold cointegration. International Economic Review, 38, 627-646.
6. Ben-Kaabia, M., & Gil, J. M. (2007). Asymmetric price transmission in the Spanish lamb sector. European Review of Agricultural Economics, 34, 53-80.
7. Ben-Kaabia, M., Gil, J. M., & Ameur, M. (2005). Vertical integration and non-linear price adjustments: The Spanish poultry sector. Agribusiness, 21, 253-271.
8. Benson, B. L., & Faminow, M. D. (1985). An alternative view of pricing in retail food markets. American Journal of Agricultural Economics, 67, 296-305.
9. Capps, O., & Sherwell, P. (2007). Alternative approaches in detecting asymmetry in farm-retail price transmission of fluid milk. Agribusiness, 23, 313-331.
10. Carman, H. F. (1998). California milk marketing margins. Journal of Food Distribution Research Society, 29(3), 1-6.
11. Dennis, J. G. (2006). CATS in RATS: Cointegration analysis of time series (Version 2). Evanston, IL: Estima.
12. Fernandez-Amador, O., Baumgartner, J., & Crespo-Cuaresma, J. (2010). Milking the prices: The role of asymmetries in the price transmission mechanism for milk products in Austria. Working Paper No. 378, Austrian Institute of Economic Research (WIFO).
13. Frey, G., & Manera, M. (2007). Econometric models of asymmetric price transmission. Journal of Economic Surveys, 21, 349-415.
14. Fotopoulos, C. V. (1995). Consumer market research on milk in the rural Greek population. Journal of International Food and Agribusiness Marketing, 7(4), 77-99.
15. Goodwin, B. K., & Harper, D. C. (2000). Price transmission, threshold behaviour, and asymmetric adjustment in the U.S. pork sector. Journal of Agricultural and Applied Economics, 32, 543-553.
16. Goodwin, B. K., & Holt, M. T. (1999). Price transmission and asymmetric adjustment in the U.S. beef sector. American Journal of Agricultural Economics, 81, 630-637.
17. Gregory, A. W., & Hansen, B. E. (1996). Residual-based for cointegration in models with regime shifts. Journal of Econometrics, 70, 99-126.
18. Hansen, B. E., & Seo, B. (2002). Testing for two-regime threshold cointegration in vector error-correction models. Journal of Econometrics, 110, 293-318.
19. Houk, J. P. (1977). An approach to specifying and estimating nonreversible functions. American Journal of Agricultural Economics, 59, 570-572.
20. Johansen, S., & Juselius, K. (1990). Maximum likelihood estimator and inference on cointegration with applications to the demand of money. Oxford Bulletin of Economics and Statistics, 52, 162-210.
21. Kinnucan, H. W., & Forker, O. D. (1987). Asymmetry in farm-retail price transmission for major dairy products. American Journal of Agricultural Economics, 69, 285-292.
22. Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54, 159-178.
23. Lass, D. A. (2005). Asymmetric response of retail milk prices in the northeast revised. Agribusiness, 21, 493-508.
24. Levy, D., Bergen, M., Dutta, S., & Venable, R. (1997). The magnitude of menu costs: Direct evidence from large U.S. supermarket chains. Quarterly Journal of Economics, 112, 791-825.
25. McCorriston, S., Morgan, C. W., & Rayner, A. J. (2001). Price transmission: The interaction between market power and returns to scale. European Review of Agricultural Economics, 28, 143-159.
26. Meyer, J., & von Cramon-Taubadel, S. (2004). Asymmetric price transmission: A survey. Journal of Agricultural Economics, 55, 581-611.
27. Peltzman, S. (2000). Prices rise faster than they fall. Journal of Political Economy, 108, 466-502.
28. Phillips, P. C. B., & Perron, P. (1988). Testing for unit root in time series regression. Biometrica, 75, 335-346.
29. Said, S. E., & Dickey, D. (1984). Testing for roots in autoregressive moving-average with unknown order. Biometrica, 71, 599-607.
30. Serra, T., & Goodwin, B. K. (2003). Price transmission and asymmetric adjustment in the Spanish dairy sector. Applied Economics, 35, 1889-1899.
31. Stigler, M. (2010). Threshold cointegration: Overview and implementation in R. Retrieved from http://cran.r-project.org/package=tsDyn
32. Tekguc, H. (2010, April). Oligopoly and price transmission in Turkey's fluid milk market. Paper presented at the 114th European Association of Agricultural Economics (EAAE) Seminar, Berlin, Germany.
33. Tsakistara, D., Sdrolias, L., Polyzos, S., & Kakkos, N. (2008, July). Analysis of Greek milk market. Quo vadis? Proceedings: Management of International Business and Economic Systems (MIBES), Oral Papers, Larissa, Greece, 457-471.
34. Vakrou, A., Fotopoulos, C., & Mattas, K. (1997, June). Location effects in the production and marketing of traditional Greek cheeses. Paper presented atthe 52nd European Association of Agricultural Economics (EAAE) Seminar, Parma, Italy.
35. von Cramon-Taubadel, S. (1998). Estimating asymmetric price transmission with the error correction representation: An application to the German pork market. European Review of Agricultural Economics, 25, 1-18.
36. von Cramon-Taubadel, S., & Loy, J. P. (1999). The identification of asymmetric price transmission process with integrated time series. Jahrbucher for Nationalokonomic und Statistik, 218, 85-106.
37. Ward, R. W. (1982). Asymmetry in retail, wholesale and shipping point pricing for fresh vegetables. American Journal of Agricultural Economics, 62, 205-212.