Modeling price transmission between farm and retail prices: a soft switches approach
扩展了阈值向量误差修正模型，引入平滑转换自回归特征，允许价格传导机制在均衡状态附近发生渐进式软转换，并以奶酪和牛奶价格为例进行实证分析。
Abstract Vector error correction models (VECM) are used to model price transmission when farm and retail prices are cointegrated. To allow for nonlinearity in the cointegration process, researchers may specify thresholds to break the error correction process into regimes according to whether the retail price is above, below, or close to its equilibrium value given farm prices. However, because the coefficients in a VECM can change when there is movement from one regime to another, the model can be discontinuous. This implies sudden, “hard” regime changes. In this study, we extend the threshold VECM to include features of smooth transition autoregression (STAR) models. Our approach allows for gradual, soft regime changes. An empirical application to retail cheese and farm milk prices is presented.