PRICE DYNAMICS IN A VERTICAL SECTOR: THE CASE OF BUTTER

We develop a reduced-form model of price transmission in a vertical sector, allowing for refined asymetric, contemporaneous and lagged, own and cross price effects. The model is used to analyze wholesale-retail price dynamics in the US butter market. The analysis provides strong evidence of asymmetric price transmissions. It documents the complex nature of nonlinear price dynamics in a vertical sector and its implications for the distribution of future prices. It finds evidence that the asymmetric response to shocks is stronger in the sort run for retail prices, and in the longer run for wholesale prices.


Issue Date:
2002
Publication Type:
Working or Discussion Paper
PURL Identifier:
http://purl.umn.edu/12676
Total Pages:
31
Series Statement:
Staff Paper Series No. 452




 Record created 2017-04-01, last modified 2017-08-22

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