Threshold cointegration and spatial price transmission when expectations matter

A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis

Cointegration and Threshold Adjustment

Cointegration among interest rates for instruments with different maturities has been widely tested with mixed results. This paper proposes an extension to the Engle-Granger testing strategy by permitting asymmetry in the adjustment toward equilibrium in two different ways. We demonstrate that our test has good power and size properties over the Engle-Granger test when there are asymmetric depa...

Procurement when Price and Quality Matter∗

A buyer seeks to procure a good characterized by its price and its quality from suppliers who have private information about their cost structure (fixed cost and marginal cost of providing quality). We characterize the buyer’s optimal buying mechanism. We then use the optimal mechanism as a theoretical and numerical benchmark to study simpler buying procedures such as scoring auctions and barga...

Price Transmission, Threshold Behavior and Asymmetric Adjustment in Iranian Poultry Market

The Iranian poultry sector has experienced many significant structural changes in recent years. Such changes may have influenced price dynamics and transmission of shocks through marketing channels especially on retail markets. This paper investigate price transmission, threshold behavior and asymmetric adjustment in poultry sector of Ardebil (AR), east Azerbaijan (EA) and west Azerbaijan (WA) ...

ADL tests for threshold cointegration

In this paper, we propose new tests for threshold cointegration in the autoregressive distributed lag (ADL) model. The indicators in the threshold model are based on either a nonstationary or stationary threshold variable. The cointegrating vector in this paper is not pre-specified. We adopt a supremum Wald type test to account for the so-called Davies problem. The asymptotic null distributions...