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Price Transmission Analysis: the Case of Milk Products in Russia
Agris on-line Papers in Economics and Informatics, No 1 /2018, March
Kharin, S. (2018) “Price Transmission Analysis: the Case of Milk Products in Russia", AGRIS on-line Papers in Economics and Informatics, Vol. 10, No. 1, pp. 15-23. ISSN 1804-1930.DOI 10.7160/aol.2018.100102.
This paper investigates vertical price transmission along the milk supply chain in the Russian market using a vector autoregression model. Monthly farm-gate and retail prices were used in the analysis. Using cointegration technique, we find no empirical evidence for cointegration between farm-gate and retail prices. We show that there is bidirectional Granger causality from farm to retail prices and vice versa. However, response of the farm-gate price to a change in retail price is greater and slightly longer than price response of the retail price to a change at the farm level. The results support the assumption that price changes are not transmitted efficiently from one level to another.
Vertical price transmission, market power, cointegration, vector autoregression model, dairy prices, Russia.
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