Price transmission in the Spanish bovine sector: the BSE effect
使用体制转换向量误差修正模型分析西班牙牛肉市场，发现疯牛病恐慌对生产者价格有显著影响，而对消费者价格影响不大。
Abstract A regime‐switching vector error correction model is applied to monthly price data to assess the impact of Bovine Spongiform Encephalopathy (BSE) outbreaks on price relationships and patterns of transmission among farm and retail markets for bovines in Spain. To evaluate the degree to which price transmission is affected by BSE food scares, a BSE food scare index is developed and used to determine regime switching. Results suggest that BSE scares affect beef producers and retailers differently. Consumer prices are found to be weakly exogenous and not found to react to BSE scares, while producer prices are conversely adjusted. The magnitude of the adjustment is found to depend on the magnitude of the BSE scare.