A Heteroskedastic Multivariate Tobit Analysis of Price Dynamics in the Presence of Price Floors

18 Pages Posted: 21 Apr 2020

See all articles by Jean‐Paul Chavas

Jean‐Paul Chavas

University of Maryland

Kwansoo Kim

Seoul National University

Date Written: August 2004

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.

Keywords: heteroskedastic multivariate Tobit, market liberalization, price dynamics, price volatility

Suggested Citation

Chavas, Jean‐Paul and Kim, Kwansoo, A Heteroskedastic Multivariate Tobit Analysis of Price Dynamics in the Presence of Price Floors (August 2004). American Journal of Agricultural Economics, Vol. 86, Issue 3, pp. 576-593, 2004, Available at SSRN: https://ssrn.com/abstract=3579577 or http://dx.doi.org/10.1111/j.0002-9092.2004.00602.x

Jean‐Paul Chavas (Contact Author)

University of Maryland

Kwansoo Kim

Seoul National University ( email )

Kwanak-gu
Seoul, 151-742
Korea, Republic of (South Korea)

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