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Authors: Menezes, Rui
Dionísio, Andreia
Keywords: Asymmetric price transmission, threshold adjustment, cointegration
Issue Date: 2008
Abstract: This paper uses a threshold adjustment methodology to find out whether price transmission over the cod value chain between Norway and Portugal is asymmetric. The basic setting relies on price theory and the relationship between prices in the fish market. Empirical tests of price transmission use a cointegration framework similar to many other non-stationary time series analyses. However, it appears that testing for asymmetric price transmission has not been done so often in the fish market, despite the recent availability of non-linear time series techniques designed to this end. TAR and M-TAR adjustment models can be used in this context. Our results show that while the three price series used in the cod value chain between Norway and Portugal are cointegrated, there is no evidence of asymmetric price adjustment in this market.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

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