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Combining market structure and econometric methods for price transmission analysis

Food Security, August 2019, Volume 11, Issue 4, pp 941–951









Acosta, A., Ihle, R. & von Cramon-Taubadel, S. 2019. Food Security 11: 941.


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    The paper is aimed at providing evidence on price transmission in a number of agricultural markets, both per se and in support of analytical efforts in the area of agricultural trade policy analysis. Work is based on a price database collected from various sources in sixteen countries Argentina, Brazil, Chile, Costa Rica, Egypt, Ethiopia, Ghana, India, Indonesia, Mexico, Pakistan, Senegal, Thailand, Turkey, Uganda, and Uruguay primarily for basic food commodities. Both spatial and vertical p rice relations are considered, as the database includes prices at the producer, wholesale and retail levels. These are supplemented with information from FAOSTAT. Data are analyzed with an econometric framework based on the estimation of Autoregressive Distributed Lag models, and of the corresponding Error Correction specification. Tests for Granger causality and for asymmetric transmission are also performed. Results indicate that the African markets included in the sample are characterized by more incomplete transmission compared to Latin American and Asian markets.
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    Understanding to what extent and speed agricultural commodity price changes on international markets are transmitted to consumers is key in assessing the vulnerability of households to price shocks. The importance of these transmission measures is compounded, in developing countries, by the fact that consumers tend to spend a higher proportion of their income on food items. Regional estimates of food inflation transmission can also be used to predict consumer-level impacts of international price shocks, contributing to improve the information basis on which to base policy mitigation actions and to focus on the areas likely to suffer the most. The aim of this paper is to provide measures of the transmission of price changes from international commodity markets to consumers in different regions of the world, using monthly data from FAO’s Food Price Indices and Regional Food Consumer Price Indices. This econometric analysis, which uses impulse response functions from error-correction mode ls, is useful in establishing typologies of regions with respect to the extent and speed of price transmission processes.

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