Multiple-regime price transmission between wheat and wheat flour prices in Korea

Jung Hun Han, Byeong-il Ahn

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

In order to derive the evidence of the asymmetric price transmission, we employed the threshold estimation for the price relationship between the imported wheat and the wheat flour prices. We estimated the exact level of threshold points of the imported wheat price that have different impacts on the Korean wheat flour price. Our empirical estimations proved the main hypothesis of this study, namely, that the impact of input price on output price is stronger at higher levels of the input price. In the sub-sample, which includes data from January 1993 to January 2008, the price transmission effect from the imported wheat to the domestic wheat flour in the Regime 3, in which wheat prices are the highest among our three regimes, is larger than that in the Regime 2. In the whole sample, which includes data from January 1993 to March 2014, the price transmission effect in the Regime 3 is larger than that in the Regime 2, and that of the Regime 2 is larger than that of the Regime 1.

Original languageEnglish
Pages (from-to)552-563
Number of pages12
JournalAgricultural Economics (Czech Republic)
Volume61
Issue number12
DOIs
Publication statusPublished - 2015

Keywords

  • Asymmetric price transmission
  • Price equation
  • Reduced form
  • Threshold estimation

ASJC Scopus subject areas

  • Agricultural and Biological Sciences (miscellaneous)
  • Economics, Econometrics and Finance(all)

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