Identifikation asymmetrischer Preisanpassungsprozesse für integrierte Zeitreihen / The Identification of Asymmetrie Price Transmission Processes with Integrated Time Series

Many studies of symmetric price transmission between vertically or spatially linked markets make use of cointegration methods. When estimating asymmetric price transmission, however, a method developed by Wolffram in 1971 is still used. This method fails to consider the time series properties of integrated processes. We explore the relationship between asymmetric price transmission and cointegration and demonstrate that Wolffram’s approach is incompatible with cointegration between two price series. We then develop an alternative method for the estimation of asymmetric transmission between integrated time series. This method is applied to wheat price data from the world’s major exporters, data for which Mohanty, Peterson & Kruse (1995), using Wolffram’s approach, have recently presented evidence of asymmetric transmission.