Threshold Effects in Price Transmission: The Case of Brazilian Wheat, Maize, and Soya Prices
开发了一个广义阈值误差修正模型，用于检验价格传导中围绕均衡对称的阈值行为，并利用美国、阿根廷和巴西的小麦、玉米和大豆月度数据验证了模型，发现五对商品价格中有三对存在阈值效应。
Recent studies into price transmission have recognized the important role played by transport and transaction costs. Threshold models are one approach to accommodate such costs. We develop a generalized Threshold Error Correction Model to test for the presence and form of threshold behavior in price transmission that is symmetric around equilibrium. We use monthly wheat, maize, and soya prices from the United States, Argentina, and Brazil to demonstrate this model. Classical estimation of these generalized models can present challenges but Bayesian techniques avoid many of these problems. Evidence for thresholds is found in three of the five commodity price pairs investigated.