The role of temperature for seasonal market integration: a case study of poultry in Iran*

Understanding market integration has greatly benefited from analysing and comparing variations in price transmissions. An important source of variation in agricultural markets is seasonal changes in production, consumption and transaction costs. A key factor driving seasonality in agricultural price is temperature, as supply and demand changes are triggered by seasonal temperature differences. In this paper, we study the seasonal variations in vertical price transmission focusing on the asymmetric price adjustment to analyse changes in the market interactions between the stages of the value chain. Our data reveal significant transitory effects of temperature on the price transmission process. Results of a panel threshold model suggest that the farm–wholesale price adjustments to deviations from the market equilibrium are more symmetric at higher temperatures. However, we do not find an effect of temperature on the wholesale–retail price relationship. Our findings can be rationalised with wholesalers making use of their market power to extend their margins in the upstream chain. Wholesaler market power is lower during warm periods, and price adjustment is more symmetric. Concerning the Iranian poultry value chain, our findings imply that temperature-related differences in market interactions should be considered in formulating policy interventions.     

Price Dynamics in a Vertical Sector: The Case of Butter

We develop a reduced-form model of price transmission in a vertical sector, allowing for refined asymmetric, contemporaneous and lagged, own and cross-price effects under time-varying volatility. The model is used to investigate the wholesale-retail price dynamics in the U.S. butter market. The analysis documents the nature of nonlinear price dynamics in a vertical sector. It finds strong evidence of asymmetric retail price responses, both in the short term and the longer term, but only weak evidence of asymmetric wholesale price responses. Asymmetric retail responses play a major role in generating a skewed distribution of butter prices. The empirical results indicate the presence of imperfect competition at the retail level.     

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。     

The role of retail market power and state regulations in the heterogeneity of farm‐retail price transmission of private label and branded products

Given the leading role of private label brands in the fluid milk market, it is of special interest to focus on possible differences in farm‐retail price transmission between private label and branded milk as well as the causes of heterogeneity. This article examines the heterogeneous effects of private label and branded products on price transmission in the fluid milk market using a panel threshold asymmetric error correction model. Results indicate that upward retail‐price adjustment is faster than the downward price adjustment for both private label and branded milk. The speed of adjustment of private label products is significantly faster than branded products in three different price regimes. We further investigate the reasons of heterogeneity in farm‐retail price transmission of private label milk. We find that both retailer market power and state pricing regulations contribute to the heterogeneity in asymmetric price transmission. Higher retailer market power causes retail prices of private label milk to rise faster and to fall slower. The existence of a state pricing regulation slows down the adjustment speed of retail prices of private labels back to the long‐run equilibrium, regardless of whether the retail price is low or high.     

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.     

The Canadian Beef and Pork Sectors: New Found Relevance of Live Market Information

The structure of price transmission both vertically (between links in the market channel) and horizontally (between market areas) for beef and pork in Canada is examined. The analysis of vertical price transmission indicates that farmgate prices lead retail prices. The hypothesized relationship between retail and farmgate prices is that the farmgate demand curve is shifted by wholesaler anticipation of the retail price changes. Such a situation would place greater importance on the live markets since prices determined in these markets would eventually be reflected in the retail market. The results have further implications for the determination of price margins and related policy issues.     

Food scares, market power and price transmission: the UK BSE crisis

This paper is concerned with the impact of food scares, principallythe BSE crisis in the UK, and focuses on price transmissionin vertically related markets. We show that if market powerhas an effect on the farm–retail margin, this determinesthe specification of the cointegrating relationship and thusprovides a test of market power. The results for the UK beefchain suggest that we cannot reject the importance of marketpower. The impact of the BSE crisis on farm prices is foundto be more than double that on retail prices, thus corroboratingpublic concerns regarding a differential impact of food scareson retailers and producers.     

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。     

Transaction Cost Thresholds in International Rice Markets

Recent episodes of high and volatile prices for grains such as rice have raised concerns about their implications for hunger and poverty. We model price relationships between international rice prices and 221 domestic prices in 47 developing countries that import rice. We use a threshold vector error correction model that accounts for transaction costs of trade in spatial price transmission, and an improved regularised Bayesian threshold estimator for threshold models. Our results show that threshold values are higher after 2008 than before, which suggests that transaction costs in international rice trade have increased in recent years. Threshold values are highest for Latin American countries followed by African and Asian countries, and higher for retail than for wholesale prices. Since 2008, price transmission is slower in countries that responded to high and volatile prices with domestic market‐based interventions such as price controls and faster in countries that responded by lowering tariffs and by implementing production support measures.     

Local polynomial fitting and spatial price relationships: price transmission in EU pork markets

We study price transmission processes within EU pork marketsafter the implementation of the EU single market in 1993. Wecompare results derived from non-parametric regressions withthose obtained using alternative non-linear threshold models.Both techniques support the hypothesis that prices are transmittedacross spatially separate EU pig markets and provide evidencefor asymmetric price adjustments. They also suggest the existenceof a range of price differentials where equilibrating priceadjustments are less intense. Non-parametric techniques oftensuggest a higher degree of price transmission than that impliedby threshold models.     

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.     

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.     

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.     

中加菜籽油期货市场波动溢出实证研究

利用误差修正模型、BEKK-GARCH模型和格兰杰因果关系实证研究了加拿大和中国菜籽油期货市场之间的信息传导、波动溢出和价格引导关系。实证结果显示：这两个市场之间存在一定的信息传导关系;加拿大菜籽油期货市场对中国菜籽油期货市场存在显著的波动溢出效应,而中国菜籽油期货市场对加拿大菜籽油期货市场的波动溢出不显著;短期内加拿大菜籽油期货市场对中国菜籽油期货市场的价格引导作用更强些,这与加拿大菜籽油期货市场是全球菜籽油定价中心的实际相吻合,而中国菜籽油期货市场的竞争力有待进一步提升。     

“农户+合作社+超市”模式下的农产品价格形成研究——以北京番茄市场为例

农超对接有效缩减了农产品流通环节,有利于建立农户与零售商之间稳定的购销关系,有利于稳定农产品价格,促进农产品市场健康发展。文章基于“农户+合作社+超市”模式,以蔬菜产品为例,分析农超对接模式中的农产品价格形成。研究发现:农户与蔬菜合作社之间的议价能力是决定农产品价格形成的关键;在农户对番茄收购价格议价能力大于合作社的情况下,以完全成本计算的番茄理论均衡收购价格最接近番茄实际收购价格;在合作社目标利润率为15%的情况下,番茄均衡零售价格最接近其实际零售价格。     

Market Power in the Philippine Retail and Processed Food Industry

Various models have been employed to analyze market power in the food industry but none has explored combining these models to reinforce their strengths and minimize their weaknesses. This article illustrates an application of these models in a multistage framework using the case of the Philippine retail and processed food industry. Price transmission is examined in the first stage of analysis using cointegration and price asymmetry models. Conjectural variation and bargaining models are employed in the second and third stages of analysis. Results indicate that market power exists in industries where price transmission is asymmetric.     

A time series analysis of Danish markets for pork, chicken, and beef

We offer a first-time empirical depiction of Danish dynamic meat price/quantity transmissions by formulating, estimating, and testing a VAR model of market-clearing quantities and prices of the Danish pork, chicken, and beef markets. The analysis illuminates how these markets dynamically handle shocks, and it is demonstrated that: (i) the three meats are close substitutes; (ii) chicken and pork market shocks have own-market and cross-market effects that occur rapidly and swiftly, while beef market shocks have more enduring impacts on pork and chicken markets; (iii) prices are in general more endogenous than quantities; and (iv) the price of chicken is much more endogenous than the prices of pork and beef.     

Food–oil volatility spillovers and the impact of distinct biofuel policies on price uncertainties on feedstock markets

Over recent decades, the link between crude oil and agricultural markets has been reinforced following the introduction of biofuels. We use timely measures of (co)variation spillovers to analyze the role of crude oil in shaping price uncertainties of agricultural commodities, which are largely used as biofuel feedstocks. Our sectoral- and market-specific measures distinguish tranquil (1995–2005) and crisis episodes (2006–2015), as well as periods during which either consumption mandates or tax credits were enacted to spur biofuels. During the crisis period, crude oil volatility transmissions account for 16% (20%) of price uncertainties in ethanol (biodiesel) feedstock markets on average. Moreover, we find evidence of enhanced volatility transmissions under tax credit regimes compared with consumption mandates. The results from pooled regressions confirm stronger volatility transmissions by about 12% under the enactment of tax credits.     

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.