Tag: cointegration

Market events have significantly impacted the European meat industry over the past few decades, potentially altering the underlying dynamics and interrelationships of price movements. Notably, the pig market has experienced drastic changes, primarily due to disease outbreaks and a significant increase in production costs. This study examines both cointegration (CI) and partial cointegration (PCI) between Hungary and major European pig markets from 2010 to 2023. Cointegration (CI) refers to the long-run equilibrium of prices, whereas partial cointegration (PCI) represents a less restrictive framework that allows the cointegrating relationship to be decomposed into a mean-reverting component and a stochastic random walk component. Our findings indicated time-varying price co-movement with Germany, the Netherlands, and Austria, which gradually weakened in the second half of the sample period. The price relationship between Hungary and Germany has changed significantly, with evidence of cointegration disappearing in the second half of the sample period. Standard tests for Austria similarly indicated no evidence of linear cointegration. Instead, a statistically and economically significant PCI relationship appears to have developed. These results imply that important price relationships may have diminished or that their nature has shifted. The findings indicate that price relationships in the European pig market are much more ...

Many studies have analysed vertical price transmission using time-series econometric methods but vertical price transmission in the milk market in Russia has not been investigated. This paper studies vertical price transmission along the whole milk supply chain in the Russian market using the autoregressive distributed lags model. Monthly farm-gate and retail prices in Voronezh Oblast, a historically large agrarian region located to the south of Moscow, covering the period from 2002 to 2014 were used in the analysis. When estimating the vertical price transmission in the dairy market, seasonality should be taken into account. Using a cointegration technique, no empirical evidence is found for cointegration between farm-gate and retail prices. There is unidirectional Granger causality from retail to farm prices and not vice versa. The results support the assumption that price changes are not transmitted efficiently from one level to another and support the view that Russian retailers have more market power than farmers.