Price Transmission Analysis: the Case of Milk Products in Russia

This paper investigates vertical price transmission along the milk supply chain in the Russian market using a vector autoregression model. Monthly farm-gate and retail prices were used in the analysis. Using cointegration technique, we find no empirical evidence for cointegration between farm-gate a...

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Bibliographic Details
Published in:AGRIS on-line Papers in Economics and Informatics 2018, Vol.10 (1), p.15-23
Main Author: Kharin, S
Format: Article
Language:English
Subjects:
Agricultural Finance
cointegration
dairy prices
market power
Russia
vector autoregression model
Vertical price transmission
Online Access:Get full text
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Summary:This paper investigates vertical price transmission along the milk supply chain in the Russian market using a vector autoregression model. Monthly farm-gate and retail prices were used in the analysis. Using cointegration technique, we find no empirical evidence for cointegration between farm-gate and retail prices. We show that there is bidirectional Granger causality from farm to retail prices and vice versa. However, response of the farm-gate price to a change in retail price is greater and slightly longer than price response of the retail price to a change at the farm level. The results support the assumption that price changes are not transmitted efficiently from one level to another.
ISSN:1804-1930
1804-1930
DOI:10.22004/ag.econ.276092