Spatial Integration and Asymmetric Price Transmission in Selected Iranian Chicken Markets
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This study evaluates pattern of price adjustments in
selected spatially separated chicken markets in Iran using
weekly price data from 1998:17 to 2006:41 including 441
observations in total. The results of Tsay’s test suggest that
threshold behavior characterize spatial price linkages among
the selected markets that imply on using the threshold models.
We use the multi-dimensional (two and three regime)
threshold cointegration of TAR and M-TAR models. Our
results confirm the different speed of adjustment in response
to positive and negative shocks in every case. We also utilize
impulse response function to investigate dynamic patterns of
adjustments in response to shocks.