Mathematics in Education, Research and Applications (MERAA), 2017(3), 2
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Published online 2017-12-31
DOI:http://dx.doi.org/10.15414/meraa.2017.03.02.57-65
Mathematical and econometric methods in price transmission analysis
Lucia Vargova, Miroslava Rajcaniova
Slovak university of Agriculture in Nitra, Nitra, Slovak Republic
Article Fulltext (PDF), pp. 57–65
- Price transmission analysis has gained a lot of attention in recent years. As the research in this area evolved, authors came with newer and
newer methods and models with the aim to properly quantify the price transmission mechanism. Generally prices can be transmitted horizontally, across
different locations, or vertically, along the vertical supply chain. In our paper, we focus on horizontal price transmission analysis. The aim of this
paper is to bring a brief overview of methods applied in horizontal price transmission. By applying different methods we try to answer the question, which
of the methods would be more appropriate to analyze horizontal price transmission in case of Slovak milk market. We apply the time series analysis,
particularly the Engle - Granger methodology, Johansen cointegration test and threshold cointegration. Monthly data for producer prices of raw milk are used,
covering the period from January 2005 to June 2017. Our results confirm that the asymmetric threshold cointegration model describes our data better than
the other two models.
- Keywords: cointegration analysis, error correction models, economics, mathematics
- JEL Classification: C13, C32, Q11