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

12 Pages Posted: 24 Mar 2020

See all articles by Marvin Hayenga

Marvin Hayenga

Iowa State University - Department of Economics

Date Written: August 2001

Abstract

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.

Keywords: asymmetric price transmission, band spectrum regression, pork margins, Q110

Suggested Citation

Hayenga, Marvin, Price Cycles and Asymmetric Price Transmission in the U.S. Pork Market (August 2001). American Journal of Agricultural Economics, Vol. 83, Issue 3, pp. 551-562, 2001, Available at SSRN: https://ssrn.com/abstract=3558575 or http://dx.doi.org/10.1111/0002-9092.00177

Marvin Hayenga

Iowa State University - Department of Economics ( email )

260 Heady Hall
Ames, IA 50011
United States

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