An Application of the Two-Regime Threshold Vector Error Correction Model to Analyze Asymmetric Price Transmission of Milk in Zanjan Province of Iran -

Moharram Ainollahi, M. Ghahremanzadeh
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Abstract

In this paper asymmetric price transmission mechanism and nonlinear adjustment between producer and retail prices of milk were examined in Zanjan Province of Iran. For this purpose, a Two-Regime Threshold Vector Error Correction Model (TVECM) and a Sup-LM Test developed by Hansen and Seo (2002) were employed for checking presence of a threshold effect. Application of unit root tests indicated that both wholesale and retail prices are I (1), and Johansen test verified cointegration of the series in the long-run. Results of the Sup-LM test confirmed threshold adjustment of product price towards the long-run equilibrium. Furthermore, results obtained from TVECM revealed that the coefficient of ECT is significant only in the first regime of retailing equation implying that retailers significantly respond to the decreasing deviations from the long-run equilibrium. While adjustment coefficient is not significant for wholesale equation in both regimes to imply that there is not significant inclination to react to deviations from the long-run equilibrium among the wholesalers despite the retailers.
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两区阈值矢量误差修正模型在伊朗赞詹省牛奶价格不对称传导分析中的应用
本文研究了伊朗赞詹省牛奶生产者和零售价格之间的非对称价格传导机制和非线性调整。为此,采用Hansen和Seo(2002)开发的双域阈值矢量误差校正模型(TVECM)和supm - lm测试来检查阈值效应的存在。单位根检验表明,批发价格和零售价格都是I (1), Johansen检验在长期内验证了序列的协整性。supm检验的结果证实了产品价格对长期均衡的阈值调整。此外,从TVECM中获得的结果表明,ECT系数仅在零售方程的第一阶段是显著的,这意味着零售商对偏离长期均衡的减少有显著的反应。而调整系数对于批发方程在两种制度下都不显著,这意味着尽管有零售商,批发商之间对偏离长期均衡的反应没有显著的倾向。
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