Price shock transmission: evidence from the wheat‐bread market value chain in Ethiopia

This study assesses the degree of vertical price transmission along the wheat‐bread value chain in Ethiopia. This is pursued by applying a vector error correction model and an impulse response analysis using monthly price data for the period 2000–2015. Our analysis considers transmission of price shocks across different market levels, including from the international and domestic wheat grain markets at the upstream to the domestic wheat bread market at the downstream of the value chain. The empirical findings indicate that significant cointegration exists across prices of the different market stages. There is a transmission from international prices to domestic prices at downstream markets, in particular to flour and bread prices. Prices at upstream markets are largely influenced by the domestic wholesale market. In general, the speed of adjustment is quite slow with a half‐life of about one year for restoring the equilibrium price relationship. As price margins between the different market stages in the value chain have substantially decreased in the last 15 years, higher transmission, and thus exposure to international market shocks, can be expected in the future. The results also show that causal relationships exist between prices at different market stages—with the wholesale market identified as the key market level where prices and price expectations are formed.     

Drivers of food price in China: A heterogeneous panel SVAR approach

In this paper, we examine the effects of shocks in agricultural output, production material price and production price on China's food price using panel data of 26 provinces for the period 2004 Q1–2015 Q4. Employing a heterogeneous panel structural vector autoregressive (SVAR) model, we identify the causal flows between the endogenous variables via directed acyclic graphs method. The empirical results from impulse response functions and variance decompositions suggest sizeable cross‐province variations. The main driving force of food price is the price inertia shock, rather than the agricultural output or the vertical chain of price transmission shocks. The findings support the view that price expectation is the key shifter of food price. Moreover, the shocks in the vertical chain of price transmission are only weakly linked to food price. Our findings are robust to an alternative panel SVAR model identified via Cholesky decomposition.     

我国鸡蛋价格波动传导的影响因素分析——基于非对称的研究视角

[目的]文章采用鸡蛋价格的周度批发和零售数据,从成本、替代品两个维度探讨鸡蛋价格波动的影响因素和非对称传导特征。[方法]通过滚动回归的方式探讨非对称传导特征的动态变化,并进一步探讨了鸡蛋批零价格之间的相互影响和非对称传导特点。[结果]成本、替代品价格变动对与鸡蛋批零价格具有正向影响和非对称特征,但在静态的线性回归模型中并不明显。鸡蛋批发价格受成本价格变动的影响更大,而零售价格受替代品价格变动的影响更大。在动态的滚动回归模型下,成本、替代品价格对鸡蛋价格波动具有十分明显的时变非对称特征,但这种非对称传导特征并不一致。鸡蛋批发价格早期对零售价格具有正向的非对称传导,但近年来趋向于对称传导。鸡蛋零售价格对批发价格总体具有负向的非对称传导特征,零售价格下降对批发价格的影响更大。[结论]需要建立蛋鸡产业成本—价格监测预警系统,充分发挥产业技术平台、行业协会、学会等研究机构在生产决策中的指导作用。不断完善鸡蛋供应链建设,增强调控与监管政策的灵活性与创新性。     

Price and Volatility Transmission and Market Power in the German Fresh Pork Supply Chain

We investigate the relationship between the transmission of price volatility and market power in the German fresh pork supply chain. We use a theoretical model underpinning this relationship followed by an empirical application that uses monthly farm, slaughterhouse and retail pork price data for the period 2000–2011. We examine both the relationships of market power with price level transmission and price volatility transmission in the chain. We use a vector error correction model and least squares regressions to analyse price transmission and price volatility transmissions, respectively. Results show that retail market power limited both types of transmissions. Competition inducing policy measures coupled with measures that support price risk management initiatives of chain actors are suggested.     

Does Market Structure Influence Price Transmission in the Agro‐food Sector? A Meta‐analysis Perspective

There exists a large literature on price transmission in agro‐food sectors. However, a great majority of empirical studies focus on the existence of asymmetry and, by and large, do not investigate the reason for its presence or absence. This is in sharp contrast to the theoretical literature that provides a number of explanations of why we should expect (a)symmetry. In response, this paper investigates the reasons for asymmetric price transmission in the agro‐food chain, using meta‐analysis of existing studies. Our focus is on the organizational and institutional characteristics of the agro‐food supply chain. Our findings suggest that asymmetric price transmission in farm–retail relationships is more likely to occur in sectors/countries with more fragmented farm structure, higher governmental support and more restrictive regulations on price controls in the retail sector. On the other hand, more restrictive regulations on entry barriers in the retail sector and the relative importance of the sector tend to promote symmetric farm–retail price transmission. The latter is also more likely in the presence of a strong processing industry.     

Marketing margins and price transmission on the Hungarian beef market

There is a wealth of literature on farm-retail price spread for different commodities and countries. However, research on price transmission and marketing margins in the transition economies is still limited. The paper analyses two specific aspects of transition: the larger probability of asymmetric price transmission and structural changes in the case of Hungarian beef chain. The article identifies the date of structural break applying the Gregory and Hansen procedure with recursively estimated breakpoints and ADF statistics. Exogeneity tests reveal the causality runs from producer to retail prices. Homogeneity is rejected, suggesting a mark-up pricing strategy. Price transmission analysis suggests that, despite the common belief, price transmission on the Hungarian beef meat market is symmetric on both long and short run.     

Decomposing changes in agricultural price gaps: an application to Russia

The article develops a method for decomposing changes in agricultural price gaps, defined as the difference between a commodity's domestic producer and border prices. We use OECD's procedure for decomposing changes in the market price support part of producer support estimates as the starting point for our decomposition method, and our method provides a basis for critiquing OECD's decomposition approach. The transmission of changes in border prices (world prices and the exchange rate) to domestic prices is a key element in the decomposition. The method is demonstrated using Russian agricultural price gaps. The results support the argument that for Russian agriculture during the transition period, the main cause of changes in price gaps has been incomplete transmission of changes in the exchange rate to domestic prices, and where the weak transmission results mainly not from policy intervention, but rather from deficient market conditions, in particular poor market infrastructure. The policy implication is that underdeveloped infrastructure has strongly limited the benefits to the Russian economy from agricultural trade liberalization.     

A STUDY OF BANANA SUPPLY AND PRICE PATTERNS ON THE SYDNEY WHOLESALE MARKET: AN APPLICATION OF SPECTRAL ANALYSIS*

Spectral analysis is applied to weekly supply and price series for bananas traded on the Sydney wholesale market. Many interesting features are revealed such as the pronounced seasonal component and the two week lag structure between the supply and price series. These results are discussed in relation to the known behaviour of the market and some implications for marketing decisions are tentatively drawn.     

The political economy of quality measurement: a case study of the USA slaughter cattle market

As agricultural products move from being economic commodities to quality–differentiated goods, price dispersion within specific markets increases and implicit subsidies from high quality producers to low quality producers are removed. The present paper examines how these distributional effects can influence patterns of support and opposition to changes in marketing arrangements. The simple model developed is calibrated using data from the USA slaughter cattle market. Estimates of the impact on prices of measuring quality more accurately are found to be similar in size to previous estimates of market power price suppression in the market.     

Asymmetric transmission between factory and wholesale prices in fiberboard market in Korea

This paper extends the estimation of price relationships in wood processing and empirical assessment of asymmetric price transmission by incorporating time lags in both explanatory and dependent variables. Each of the models developed and estimated in this article reveals the existence of asymmetric price transmission between factory and wholesale prices of fiberboard in Korea. Estimation results indicate that wholesalers earn additional profits by exploiting price fluctuations in the markets. The empirical findings in this study suggest the potential for lower wholesale prices of fiberboard with more competition in wholesale marketing.     

The impacts of animal disease crises on the Korean meat market

Employing the error correction method and historical decomposition with direct acyclic graphs, we quantify the impacts of domestic and overseas animal disease crises on the Korean meat market. We have the following findings: (a) the market partially recovered 16 months after the domestic foot‐and‐mouth outbreak (FMD) in 2000, and 13 months after the domestic avian influenza (AI) incidents and the U.S. bovine spongiform encephalopathy (BSE) discovery in 2003; (b) animal disease outbreaks had differentiated impacts by disease type and at different levels of meat supply chain. Retail price margin increased relative to the farm and wholesale levels; and (c) disease outbreaks caused changes of dynamic interdependence between prices by meat type at different levels of meat supply chain.     

Spatial and Seasonal Price Differences for Sorghum and Sesame in Sudan

Spatial and seasonal price differences for sorghum and sesame in the Sudan are investigated. A conceptual model of competitive market behavior in time and space dimensions is adopted to test the spatial and the seasonal price differences as compared to transportation and storage costs, respectively. The large differences in sorghum prices among regions indicate a lack of market integration between producing and consuming regions. Monthly price changes for sorghum and sesame compared to storage costs indicate an opportunity to capture above normal returns to storage. Causes of these large price differences are inadequate transportation and marketing infrastructure and government policy.     

Price Cycles and Asymmetric Price Transmission in the U.S. Pork Market

Economists have proposed several plausible explanations for observed price transmission asymmetries in commodity markets. Unfortunately, the econometric methods commonly used in such studies cannot empirically distinguish pricing behavior under the competing theories. We argue that the theories may be classified by firm responses to high- and low-frequency price cycles and use Engle's band spectrum regression to test the symmetry of high- and low-frequency cycles in weekly pork prices. The findings indicate that changes in wholesale prices are asymmetrically transmitted to retail prices in relatively low-frequency cycles, which does not support search costs and other high-frequency explanations. Conversely, wholesale pork prices asymmetrically adjust to changes in farm prices at all frequencies.     

Processing Technology,Market Power and Price Transmission

This paper focuses on the extent to which price changes occurring at the farm-level are transmitted to the retail sector. A price transmission elasticity is derived which is shown to depend on the degree of market power in the food industry and the nature of the food industry's processing technology. The offsetting role of the processing technology and market power in determining the extent of price transmission are highlighted. A case-study reports values for the price transmission elasticity for the US beef and pork sectors.     

基于核心企业的水产品供应链管理

由于批发市场对信息链、资金链的阻断,以批发市场为核心的水产品流通体制下的水产品供应链是一条低效率的断裂链或局部短链。笔者认为,解决这一问题最有效的办法是培育核心企业,替代目前批发市场的核心地位。基于核心企业的水产品供应链管理,能以最小的成本为顾客提供最大的价值,并获得共赢的效果。     

Testing vertical price transmission for Vietnam's Robusta coffee

Vietnam has undergone market reforms over the last three decades; and as a consequence, the coffee sector has become increasingly market‐driven. The success of the government's liberalisation policies in terms of market efficiency is investigated by examining the transmission of both positive and negative price changes for Robusta coffee between export and farmgate prices. We used a threshold vector error correction model and high‐frequency daily data. The primary result here is that of a symmetric price transmission between export and farm‐level prices. This result holds when tested with weekly price data, derived from the daily data. Farmgate prices respond faster to decreases than increases in export prices when the long‐run deviation exceeds a certain threshold. These price changes are transmitted within several days. This research also confirms the importance of transaction costs, and other price frictions mostly ignored in prior analyses for coffee.     

Price anomalies and effectiveness of macro control policies: Evidence from Chinese housing markets

Since the housing market reform in 1998, China has experienced a rapid growth. Continuous surges in housing prices have been criticized by the public. In light of deviation of the price from its intrinsic value, the central government implements a series of policies to intervene the housing market, but makes little difference. Little vigorous academic work on the price anomaly and impact of macro-control measures has been conducted for housing markets in urban China. This research employs econometric methodologies to investigate the interactions between housing price and market fundamentals, in order to identify the existence of price anomaly in the housing markets of Beijing and Shanghai during 1998–2012. In addition, we conduct asymmetry analysis based on an advanced econometric model to investigate the impact of macro-control measures on price and volume. Our findings suggest that the market inefficiency is indicated by lack of interaction between housing supply and demand in Beijing and Shanghai. The opposite directions of impulse responses of price to income in the two cities are mainly attributed to the different market structures. While price anomalies are found occasionally, the housing prices are considered reasonable in Beijing and Shanghai for most of the time. Furthermore, the analysis on the role of macro-control policies in Chinese housing markets reveals that government interventions regulate the market ineffectively at the current stage.     

食品安全丑闻报道与产销价格传导——基于中国猪肉市场的经验研究

本文利用主流媒体对猪肉质量安全事件的新闻报道构造食品安全丑闻报道指数,首次从媒体报道视角分析食品安全丑闻对中国猪肉供应链产销价格传导的影响。平滑转换误差修正模型检验结果表明:(1)食品安全丑闻报道是决定产销价格传导关系的门槛变量,当食品安全丑闻报道指数处于门槛值以内时,产销价格传导表现为线性关系,超出门槛值以后,则表现为非线性关系,但更多时候表现为非线性关系;(2)食品安全丑闻报道对产销价格具有非对称冲击效应,生猪价格比猪肉价格对冲击的反应程度更大、持续时间更长。这种非对称冲击效应不仅会打破产销价格波动的固有规律,也会加剧供应链上福利分配不均衡,处于弱势地位的养殖户更容易遭受福利损失。进一步采用向量自回归模型进行脉冲响应分析,结果仍然支持上述结论。     

Vertical price transmission in timber and lumber markets

Timber and lumber markets are linked and integrated through prices at several stages along timber supply chain. In this study, the degree of vertical integration and the presence of asymmetric price transmission are investigated for sawtimber and lumber products in the southern and western United States. The data utilized are quarterly stumpage price, delivered timber price, and lumber price of softwood between 1977 and 2011. Linear and threshold cointegration models are used for long-term price analyses, and symmetric and asymmetric error correction models are used for short-term price analyses. The integration in the early stage (i.e., stumpage/delivered timber price pair) is found to be stronger than that in the latter stage (i.e., delivered/lumber price pair). The South shows slightly stronger market cointegration than the West. Asymmetric price transmission is found along the timber supply chain. In the long term, prices are more responsive when the price margin is increased than decreased.