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Abstract

At this study we analyze horizontal cross-commodity price transmission and integration of the EU livestock market of pork and beef. The study seeks to investigate whether or not there are long-term and short-term relationships between pork and beef prices in the EU. Our focus is on cross-commodity price transmission which provides valuable insights into market integration and efficiency. We utilize recently developed panel time-series techniques. Our data consists of monthly data on pork and beef prices in the EU member states during the period from February 1995 to June 2014. The estimation results reveal that there exists bi-directional relationship between pork and beef prices in the EU in long run. Cross-commodity price transmission between pork and beef has increased remarkably during the past ten years in the EU15 member states. Also the convergence to the equilibrium has sped up. In short run, we found evidence only for price transmission from pork prices to beef prices, not vice versa. Overall, short-run dynamics is significantly different in the EU livestock market compared to long run dynamics.

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