Structural Breaks in Farm and Retail Prices of Beef Meat in Poland

• Autorzy: Mariusz Hamulczuk
• Języki publikacji: EN

Abstrakty

EN

The aim of this study was to analyze the dynamics of monthly prices in the beef marketing chain in Poland in the years 1997-2012. The study showed that in the time series of farm and retail prices of beef meat in Poland structural break points occurred. They are mainly associated with appearance of BSE disease and the Polish accession to the European Union. The farm and retail price series are non-stationary and farm prices Granger-cause retail prices. The estimates of the long-run parameters depend on the assumptions about deterministic variables existence in the Engel-Granger cointegration equation, including structural breaks among them. (original abstract)

Słowa kluczowe

EN

Beef meat; Prices; Cointegration; Food sale

PL

Mięso wołowe; Ceny; Kointegracja; Obrót żywnością

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2013
• Tom: 14(XIV)
• Numer: nr 1
• Strony: 160--169

Twórcy

autor

Mariusz Hamulczuk

• Szkoła Główna Gospodarstwa Wiejskiego w Warszawie

Bibliografia

• Abbott P.C., Hurt C., Tyner W.E. (2011) What's Driving Food Prices in 2011? Oak Brook, IL: Farm Foundation Issue Report.
• Carraro A., Stefani G. (2010) Vertical price transmission in Italian agri-food chains: does the transmission elasticity change always or sometimes? Paper prepared for presentation at the XLVII Conference SIDEA Campobasso, Italy, 22-25 September.
• Carrion-i-Sylvestre J.L., Sansó-i-Rosselló A.S. (2006) Testing the null hypothesis of cointegration with structural breaks. Oxford Bulletin of Economics and Statistics, 68: pp. 623-646.
• Enders W. (2010) Applied Econometric Time Series, Willey, New York.
• Engle R.F., Granger C.W.J. (1987) Cointegration and Error Correction: Representation. Estimation and Testing. Econometrica 55. pp. 251-276.
• Frey G., Manera M. (2007) Econometric Models of Asymmetric Price Transmission. Journal of Economic Surveys 21, pp. 259-325.
• Gomez V., Maravall A. (2001) Seasonal Adjustment and Signal Extraction in Economic Time Series, [in:] Tsay R.S. (ed.) A Course in Time Series Analysis, J. Wiley and Son, New York.
• Gregory A.W., Hansen B.E. (1996) Residual-based tests for cointegration in models with regime shifts. J Econometrics 70, pp. 99-126
• Hansen B.E. (2001) The New Econometrics of Structural Change: Dating Breaks in U.S. Labor Productivity, Journal of Economic Perspectives, Volume 15, Number 4-Fall-pp. 117-128.
• Kuosmanen T., Niemi J. (2009) What explains the widening gap between the retail and producer prices of food? Agricultural and Food Science Vol. 18 (2009), pp. 317-331.
• Lloyd T.A., McCorriston S., Morgan C.W., Rayner A.J. (2006) Food Scares, Market Power and Price Transmission: The UK BSE Crisis. European Review of Agricultural Economics 33(2), pp. 119-147.
• Maravall A. (2008) Notes on Programs TRAMO and SEATS: TRAMO part, http://www.bde.es/webbde/es/secciones/servicio/software/tramo/Part_II_Tramo.pdf.
• McCorriston S. (2002) Why should imperfect competition matter to agricultural economists?, European Review of Agricultural Economics, Vol. 29(3), pp. 349-371.
• Meyer J., von Cramon-Taubadel S. (2004) Asymmetric Price Transmission: A Survey, Journal of Agricultural Economics, vol. 55, Number 3, pp. 581-611.
• Perron P. (2005) Dealing with Structural Breaks, Mimeo forthcoming in the Vol. 1 Handbook of Econometrics: Econometric Theory.
• Prakash A. (2011) Safeguarding food security in volatile global markets, Food and Agriculture Organization of the United Nations, Rome, pp. 3-23.
• Roache S.K. (2010) What Explains the Rise in Food Price Volatility, IMF Working Paper.
• Seremak-Bulge J. (2012) Zmiany cen i marż cenowych na poszczególnych poziomach podstawowych rynków żywnościowych. Zeszyty Naukowe SGGW Ekonomika i Organizacja Gospodarki Żywnościowej, nr 100, pp. 5-23.
• Wang D., Tomek W.G. (2007) Commodity Prices and Unit Root Tests. American Journal of Agricultural Economics, 89, pp. 873-889.
• von Cramon-Taubadel S., Meyer J. (2001) Asymmetric Price Transmission: Fact or Artefact?, University Göttingen, Paper prepared for the 71th EAAE Seminar "The food consumer in the early 21st century" in Zaragoza, Spain, 19-20 April.
• Zeileis A., Kleiber C., Krämer W., Hornik K. (2003) Testing and Dating of Structural Changes in Practice, Computational Statistics and Data Analysis, 44, pp. 109-123.