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Asymmetric Price Transmission: A Case of Wheat in India.

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Title Asymmetric Price Transmission: A Case of Wheat in India.
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Creator Ranjit Kumar Paul
Tanmoy Karak
 
Subject cointegration
error correction model
asymmetric price transmission
cointegration
wheat
 
Description Not Available
: In the present paper, horizontal and vertical integration was carried out on the wholesale
and retail prices of wheat in the major markets of India. On confirming cointegration between the
wholesale and retail prices of wheat in all needs, the vector error correction model (VECM) was
applied to find the speed of adjustment in the corresponding price channel. The results revealed
that price signals are transmitted across regions, indicating that price changes in one market are
consistently related to price changes in markets and can influence the prices in other markets. In
addition to studying cointegration, threshold autoregressive (TAR) and Momentum TAR (MTAR)
models were applied to test for asymmetric cointegration. Hasen and Seo’s test was used to test
for the presence of threshold cointegration. It revealed a significant presence of asymmetric and
nonlinear cointegration in many markets. Accordingly, a threshold VECM (TVECM) model with two
regimes was applied. The results indicate that the retail price significantly responds to the deviations
from the long-run equilibrium compared to the wholesale price.
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Date 2022-08-02T16:13:51Z
2022-08-02T16:13:51Z
2022-03-15
 
Type Research Paper
 
Identifier Paul, R.K.; Karak, T. Asymmetric Price Transmission: A Case of Wheat in India. Agriculture 2022, 12, 410. https://doi.org/ 10.3390/agriculture12030410
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http://krishi.icar.gov.in/jspui/handle/123456789/73676
 
Language English
 
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Publisher Not Available