A Heteroskedastic Multivariate Tobit Analysis of Price Dynamics in the Presence of Price Floors |
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Authors: | Jean-Paul Chavas Kwansoo Kim |
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Abstract: | This article presents an econometric analysis of the effects of price floors on price dynamics and price volatility in a multimarket context. We investigate the implications of a government price-support program providing a censoring mechanism to the price determination process. The analysis uses a dynamic multivariate Tobit model under time-varying volatility. The model is applied to the U.S. dairy markets with a special focus on the effects of government price-support programs in a period of market liberalization. The econometric analysis provides useful information on the multimarket effects of price supports on price dynamics and price volatility. |
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Keywords: | heteroskedastic multivariate Tobit market liberalization price dynamics price volatility |
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