Asymmetric price transmission has been the subject of considerable attention in agricultural economics. It is not only important because it may point to gaps in economic theory, but also because its presence is often considered for policy purposes to be evidence of market failure. In this paper we survey the literature on asymmetric price transmission. A wide variety of often conflicting theories of, and empirical tests for, asymmetry co-exist in this literature. We classify the different types and causes of asymmetric price transmission and describe the econometric techniques used to quantify it. We also briefly review the results of empirical applications. Outstanding methodological problems and suggestions for future research are discussed. Our main conclusion is that the existing literature is far from being unified or conclusive, and that it has often been largely method-driven, with little attention devoted to theoretical underpinnings and the plausible interpretation of results. Hence, much interesting theoretical and empirical work remains to be done.

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Asymmetric Price Transmission: A Survey

In this paper we review the existing empirical literature on price asymmetries in commodities, providing a way to classify and compare different studies which are highly heterogeneous in terms of econometric models, type of asymmetries and empirical findings. Relative to the previous literature, this paper is novel in several respects. First, it presents a detailed and updated survey of the existing empirical contributions on the existence of price asymmetries in the transmission mechanism linking input prices to output prices. Second, this paper presents an extension of the traditional distinction between long-run and short-run asymmetries to new categories of asymmetries, such as: contemporaneous impact, distributed lag effect, cumulated impact, reaction time, equilibrium and momentum equilibrium adjustment path, regime effect, regime equilibrium adjustment path. Third, each empirical study is critically discussed in the light of this new classification of asymmetries. Fourth, this paper evaluates the relative merits of the most popular econometric models for price asymmetries, namely autoregressive distributed lags, partial adjustments, error correction models, regime switching and vector autoregressive models.

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Econometric Models of Asymmetric Price Transmission

Biofuel-related price transmission literature: A review

The interest in marketing margins and price transmission has recently gained remarkable
momentum and the amount of studies on this subject is rapidly growing. There is a myriad of questions about prices and margins investigated by these studies, yet new questions are surfacing as markets and business practices change with an impressive speed. Wohlgenant (2001), in his survey on
marketing margins, identifies some of the questions puzzling researchers and policy makers alike. For example: Are marketing margins too large? Why are margins different among products? How have...

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Analysis of Price Transmission Along the Food Chain

The threshold autoregressive (TAR) model developed by Howell Tong has been enormously influential in economics. A simple illustration of the depth of this influence is to examine the recent edition of the graduate text Applied Econometric Time Series by Walter Enders [25] and observe that 60 pages of the text are devoted to nonlinear time series models, with the bulk devoted to TAR models. My goal in this paper is to document the influence of Howell Tong’s TAR model in the fields of econometrics and economics. I do so by reviewing 75 papers published in the econometrics and economics literatures which either contribute to the theory of TAR estimation and inference, or report a substantive application of a TAR model to economics. Many of these papers are themselves highly cited. This literature is enormous, and the papers reviewed here are not an exhaustive list of all applications of the TAR model. I focus on the more substantial and influential papers. Closely related to the TAR model is the smoothtransition autoregressive (STAR) model which has been equally influential in economics. To keep the attention focused, I do not review this literature here. Extensive reviews on the STAR model in economics can be found in the monographs by Granger and Terasvirta [38] and Franses and van Dijk [31], and the review paper by van Dijk, Terasvirta and Franses [23]. In Section 2 I review the literature on the econometric theory of TAR estimation and inference. In Section 3 I review empirical applications of the TAR model.

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Threshold autoregression in economics

https://ecsocman.hse.ru/data/265/660/1219/091.pdf

Measuring market integration in the presence of transaction costs—a threshold vector error correction approach

Applied econometric analyses of market integration based on price data alone have been criticised, because they neglect the role of transaction costs. To meet this objection threshold vector error correction models are used. Threshold models can account for the effects of transaction costs in price transmission without directly relying upon information about these costs, which are often unavailable. Results from threshold models that are based on two thresholds provide results that are economically more intuitive than those obtained from one threshold models. However there is no adequate econometric test for threshold significance in a two-threshold model available so far; such tests are only available for the one threshold model. In this paper a restricted two-threshold model is developed in which the significance of the thresholds can be tested. This model is therefore amenable to economic interpretation and statistical inference. This model is used to estimate market integration on the European pig market.

Measuring Market Integration In The Presence Of Transaction Costs - A Threshold Vector Error Correction Approach

The impact of cross-sectional aggregation over individual retail stores on the estimation and testing of vertical price transmission between the wholesale and retail levels is investigated using a unique data set of individual retail prices in Germany. Systematic differences between the results of estimations using aggregated data on the one hand, and disaggregated data on the other, are discussed theoretically and confirmed empirically. The results suggest that estimation with aggregated data can generate misleading conclusions about price transmission behavior at the level of the individual units (i.e., retail stores) that underlie these aggregates. [JEL classifications: C22, L11, D40] © 2006 Wiley Periodicals, Inc. Agribusiness 22: 505–522, 2006.

Jochen Meyer

Papers

Asymmetric Price Transmission: A Survey

Measuring market integration in the presence of transaction costs—a threshold vector error correction approach

Measuring Market Integration In The Presence Of Transaction Costs - A Threshold Vector Error Correction Approach

The impact of cross‐sectional data aggregation on the measurement of vertical price transmission: An experiment with German food prices

Asymmetric price transmission: fact or artefact?