Testing for the LOP under nonlinearity: an application to four major EU pork markets

被引：22

作者：

Emmanouilides, Christos J. ^{[1
]}

Fousekis, Panos ^{[1
]}

机构：

[1] Aristotle Univ Thessaloniki, Dept Econ, Thessaloniki 54124, Greece

来源：

AGRICULTURAL ECONOMICS | 2012年 / 43卷 / 06期

关键词：

Nonlinearity; Stationarity; LOP; WORLD SALMON MARKETS; REAL EXCHANGE-RATES; PRODUCT AGGREGATION; PRICE TRANSMISSION; INTEGRATION; CONVERGENCE; ADJUSTMENT;

D O I：

10.1111/j.1574-0862.2012.00614.x

中图分类号：

F3 [农业经济];

学科分类号：

0202 ; 020205 ; 1203 ;

摘要：

This article develops an econometric procedure to test the validity of the Law of One Price (LOP) under nonlinearity and to distinguish between its strong and its weak version. The procedure is applied to four major EU pork markets using weekly prices from 1991 to 2008. The empirical results suggest that the markets are well integrated, with deviations from the steady-state price differentials corrected nonlinearly. The LOP is valid for all market pairs and for the pair GermanySpain it holds in its strong version.

引用

页码：715 / 723

页数：9

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