Time series properties and their influence on the results of price transmission ? case study of the Czech pork market

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F12%3A56813" target="_blank" >RIV/60460709:41110/12:56813 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Time series properties and their influence on the results of price transmission ? case study of the Czech pork market

Original language description

This paper deals with an examination of the selected time series and an examination of price transmission in the selected agri-food chain. The analysis is connected with the working question of whether the selection of time series influences the resultsof price transmission. The analysis is focused on the pork agri-food chain in the Czech Republic; the time series of farm-gate price, wholesale price and consumer price is examined. First of all, the main properties of the selected time series are examined; subsequently, price transmissions based on time series of different frequency and in different periods are analyzed. The price transmission analysis is based on multivariate time series analysis; to be precise, the Vector error correction model and co-integration analysis are employed. The analysis shows that the choice of time series of different frequency should not significantly influence the results of price transmission, whereas the choice of time period might be crucial.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

GA - Agricultural economics

OECD FORD branch

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Project

<a href="/en/project/GPP402%2F11%2FP591" target="_blank" >GPP402/11/P591: Modelling of Price Transmission Asymmetry in Agri-Food Chain - Theoretical-Empirical Implications</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2012

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

AGRIS on-line Papers in Economics and Informatics

ISSN

1804-1930

e-ISSN

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Volume of the periodical

IV

Issue of the periodical within the volume

4-Special

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

13

Pages from-to

81-93

UT code for WoS article

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EID of the result in the Scopus database

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