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Title: Price transmission in the international skim milk powder markets
Authors: Fousekis, Panos
Trachanas, Emmanouil
Type: Article
Subjects: FRASCATI::Social sciences::Economics and Business::Economics
Keywords: Skim milk powder
asymmetric price transmission
law of one price
nonlinear ARDL model
Issue Date: 2016
Source: Applied Economics
Volume: 48
Issue: 54
First Page: 5233
Last Page: 5245
Abstract: This article investigates the strength and the pattern of spatial price linkages in skimmed milk powder markets using monthly wholesale price data from three major producers and exporters (the U.S.A., the E.U., and Oceania) and the nonlinear autoregressive distributed lag model. The results suggest that prices in the three regions considered are linked with stable long-run relationships. The law of one price, however, does not hold. The dominant pattern of transmission in the long run is asymmetric involving positive price stocks to be transmitted with higher intensity compared to negative prices shocks; asymmetries in price transmission exist in the short run as well.
ISSN: 0003-6846
Other Identifiers: 10.1080/00036846.2016.1173183
Appears in Collections:Department of Accounting & Finance

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