Econometric Analysis of Asymmetric Price Transmission Using Threshold Cointegration Approach: A Case Study of Morocco’s Apple Markets

Ouahiba Elalaoui; Abdelouafi Ibrahimy; Aziz Fadlaoui; Redouane Arrach

doi:doi:10.11648/j.ijae.20180305.11

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Econometric Analysis of Asymmetric Price Transmission Using Threshold Cointegration Approach: A Case Study of Morocco’s Apple Markets

Ouahiba Elalaoui, Abdelouafi Ibrahimy, Aziz Fadlaoui, Redouane Arrach

Published in International Journal of Agricultural Economics (Volume 3, Issue 5)

Received: 21 August 2018 Accepted: 14 September 2018 Published: 22 October 2018

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Abstract

The level of market integration between deficit and surplus markets is a key determinant of price stability and food security. Thus, market integration can be regarded as a way of assessing efficiency of agricultural markets. The current study intends to investigate the domestic market integration and explore the potential presence of asymmetric price adjustments between spatially separated markets. The paper employs threshold cointegration approach using monthly data of wholesale apples prices over the period from September 1993 to June 2017 in five major wholesale markets in Morocco. Study findings suggest that wholesale apples markets are significantly cointegrated, implying the presence of the long-run equilibrium relationships between the examined markets pairs. Considering the evidence as a whole, for five out of eight market pairings, the results reveal that the nature of price transmission exhibits significant asymmetric adjustments. Nonetheless, the empirical analysis does not always support the research hypothesis, stipulating that deficit market prices adjust more swiftly to price increases than to price decreases in surplus market because of the market power of intermediaries in the food marketing chain. Based on these results, the domestic market integration shows some signs of weakness, which may affect the progress of the sector. In this respect, further efforts should be made to enhance market performance so as to ensure an even balance between the production and marketing segment.

Published in	International Journal of Agricultural Economics (Volume 3, Issue 5)
DOI	10.11648/j.ijae.20180305.11
Page(s)	94-102
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2018. Published by Science Publishing Group

Keywords

Threshold Cointegration, Apples, Asymmetric Adjustments, Intermediaries

References

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APA Style

Ouahiba Elalaoui, Abdelouafi Ibrahimy, Aziz Fadlaoui, Redouane Arrach. (2018). Econometric Analysis of Asymmetric Price Transmission Using Threshold Cointegration Approach: A Case Study of Morocco’s Apple Markets. International Journal of Agricultural Economics, 3(5), 94-102. https://doi.org/10.11648/j.ijae.20180305.11

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ACS Style

Ouahiba Elalaoui; Abdelouafi Ibrahimy; Aziz Fadlaoui; Redouane Arrach. Econometric Analysis of Asymmetric Price Transmission Using Threshold Cointegration Approach: A Case Study of Morocco’s Apple Markets. Int. J. Agric. Econ. 2018, 3(5), 94-102. doi: 10.11648/j.ijae.20180305.11

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AMA Style

Ouahiba Elalaoui, Abdelouafi Ibrahimy, Aziz Fadlaoui, Redouane Arrach. Econometric Analysis of Asymmetric Price Transmission Using Threshold Cointegration Approach: A Case Study of Morocco’s Apple Markets. Int J Agric Econ. 2018;3(5):94-102. doi: 10.11648/j.ijae.20180305.11

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@article{10.11648/j.ijae.20180305.11,
  author = {Ouahiba Elalaoui and Abdelouafi Ibrahimy and Aziz Fadlaoui and Redouane Arrach},
  title = {Econometric Analysis of Asymmetric Price Transmission Using Threshold Cointegration Approach: A Case Study of Morocco’s Apple Markets},
  journal = {International Journal of Agricultural Economics},
  volume = {3},
  number = {5},
  pages = {94-102},
  doi = {10.11648/j.ijae.20180305.11},
  url = {https://doi.org/10.11648/j.ijae.20180305.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijae.20180305.11},
  abstract = {The level of market integration between deficit and surplus markets is a key determinant of price stability and food security. Thus, market integration can be regarded as a way of assessing efficiency of agricultural markets. The current study intends to investigate the domestic market integration and explore the potential presence of asymmetric price adjustments between spatially separated markets. The paper employs threshold cointegration approach using monthly data of wholesale apples prices over the period from September 1993 to June 2017 in five major wholesale markets in Morocco. Study findings suggest that wholesale apples markets are significantly cointegrated, implying the presence of the long-run equilibrium relationships between the examined markets pairs. Considering the evidence as a whole, for five out of eight market pairings, the results reveal that the nature of price transmission exhibits significant asymmetric adjustments. Nonetheless, the empirical analysis does not always support the research hypothesis, stipulating that deficit market prices adjust more swiftly to price increases than to price decreases in surplus market because of the market power of intermediaries in the food marketing chain. Based on these results, the domestic market integration shows some signs of weakness, which may affect the progress of the sector. In this respect, further efforts should be made to enhance market performance so as to ensure an even balance between the production and marketing segment.},
 year = {2018}
}

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TY  - JOUR
T1  - Econometric Analysis of Asymmetric Price Transmission Using Threshold Cointegration Approach: A Case Study of Morocco’s Apple Markets
AU  - Ouahiba Elalaoui
AU  - Abdelouafi Ibrahimy
AU  - Aziz Fadlaoui
AU  - Redouane Arrach
Y1  - 2018/10/22
PY  - 2018
N1  - https://doi.org/10.11648/j.ijae.20180305.11
DO  - 10.11648/j.ijae.20180305.11
T2  - International Journal of Agricultural Economics
JF  - International Journal of Agricultural Economics
JO  - International Journal of Agricultural Economics
SP  - 94
EP  - 102
PB  - Science Publishing Group
SN  - 2575-3843
UR  - https://doi.org/10.11648/j.ijae.20180305.11
AB  - The level of market integration between deficit and surplus markets is a key determinant of price stability and food security. Thus, market integration can be regarded as a way of assessing efficiency of agricultural markets. The current study intends to investigate the domestic market integration and explore the potential presence of asymmetric price adjustments between spatially separated markets. The paper employs threshold cointegration approach using monthly data of wholesale apples prices over the period from September 1993 to June 2017 in five major wholesale markets in Morocco. Study findings suggest that wholesale apples markets are significantly cointegrated, implying the presence of the long-run equilibrium relationships between the examined markets pairs. Considering the evidence as a whole, for five out of eight market pairings, the results reveal that the nature of price transmission exhibits significant asymmetric adjustments. Nonetheless, the empirical analysis does not always support the research hypothesis, stipulating that deficit market prices adjust more swiftly to price increases than to price decreases in surplus market because of the market power of intermediaries in the food marketing chain. Based on these results, the domestic market integration shows some signs of weakness, which may affect the progress of the sector. In this respect, further efforts should be made to enhance market performance so as to ensure an even balance between the production and marketing segment.
VL  - 3
IS  - 5
ER  -

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Author Information

Ouahiba Elalaoui

Department of Rural Economy, National School of Agriculture, Meknes, Morocco
Abdelouafi Ibrahimy

Department of Rural Economy, National School of Agriculture, Meknes, Morocco
Aziz Fadlaoui

Regional Agricultural Research Center in Meknes, National Institute of Agricultural Research, Meknes, Morocco
Redouane Arrach

Strategy and Statistics Directorate, Ministry of Agriculture, Fisheries, Rural Development, Water and Forests, Rabat, Morocco

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Plain Text BibTeX RIS

APA Style

Ouahiba Elalaoui, Abdelouafi Ibrahimy, Aziz Fadlaoui, Redouane Arrach. (2018). Econometric Analysis of Asymmetric Price Transmission Using Threshold Cointegration Approach: A Case Study of Morocco’s Apple Markets. International Journal of Agricultural Economics, 3(5), 94-102. https://doi.org/10.11648/j.ijae.20180305.11

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ACS Style

Ouahiba Elalaoui; Abdelouafi Ibrahimy; Aziz Fadlaoui; Redouane Arrach. Econometric Analysis of Asymmetric Price Transmission Using Threshold Cointegration Approach: A Case Study of Morocco’s Apple Markets. Int. J. Agric. Econ. 2018, 3(5), 94-102. doi: 10.11648/j.ijae.20180305.11

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AMA Style

Ouahiba Elalaoui, Abdelouafi Ibrahimy, Aziz Fadlaoui, Redouane Arrach. Econometric Analysis of Asymmetric Price Transmission Using Threshold Cointegration Approach: A Case Study of Morocco’s Apple Markets. Int J Agric Econ. 2018;3(5):94-102. doi: 10.11648/j.ijae.20180305.11

Copy | Download

@article{10.11648/j.ijae.20180305.11,
  author = {Ouahiba Elalaoui and Abdelouafi Ibrahimy and Aziz Fadlaoui and Redouane Arrach},
  title = {Econometric Analysis of Asymmetric Price Transmission Using Threshold Cointegration Approach: A Case Study of Morocco’s Apple Markets},
  journal = {International Journal of Agricultural Economics},
  volume = {3},
  number = {5},
  pages = {94-102},
  doi = {10.11648/j.ijae.20180305.11},
  url = {https://doi.org/10.11648/j.ijae.20180305.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijae.20180305.11},
  abstract = {The level of market integration between deficit and surplus markets is a key determinant of price stability and food security. Thus, market integration can be regarded as a way of assessing efficiency of agricultural markets. The current study intends to investigate the domestic market integration and explore the potential presence of asymmetric price adjustments between spatially separated markets. The paper employs threshold cointegration approach using monthly data of wholesale apples prices over the period from September 1993 to June 2017 in five major wholesale markets in Morocco. Study findings suggest that wholesale apples markets are significantly cointegrated, implying the presence of the long-run equilibrium relationships between the examined markets pairs. Considering the evidence as a whole, for five out of eight market pairings, the results reveal that the nature of price transmission exhibits significant asymmetric adjustments. Nonetheless, the empirical analysis does not always support the research hypothesis, stipulating that deficit market prices adjust more swiftly to price increases than to price decreases in surplus market because of the market power of intermediaries in the food marketing chain. Based on these results, the domestic market integration shows some signs of weakness, which may affect the progress of the sector. In this respect, further efforts should be made to enhance market performance so as to ensure an even balance between the production and marketing segment.},
 year = {2018}
}

Copy | Download

TY  - JOUR
T1  - Econometric Analysis of Asymmetric Price Transmission Using Threshold Cointegration Approach: A Case Study of Morocco’s Apple Markets
AU  - Ouahiba Elalaoui
AU  - Abdelouafi Ibrahimy
AU  - Aziz Fadlaoui
AU  - Redouane Arrach
Y1  - 2018/10/22
PY  - 2018
N1  - https://doi.org/10.11648/j.ijae.20180305.11
DO  - 10.11648/j.ijae.20180305.11
T2  - International Journal of Agricultural Economics
JF  - International Journal of Agricultural Economics
JO  - International Journal of Agricultural Economics
SP  - 94
EP  - 102
PB  - Science Publishing Group
SN  - 2575-3843
UR  - https://doi.org/10.11648/j.ijae.20180305.11
AB  - The level of market integration between deficit and surplus markets is a key determinant of price stability and food security. Thus, market integration can be regarded as a way of assessing efficiency of agricultural markets. The current study intends to investigate the domestic market integration and explore the potential presence of asymmetric price adjustments between spatially separated markets. The paper employs threshold cointegration approach using monthly data of wholesale apples prices over the period from September 1993 to June 2017 in five major wholesale markets in Morocco. Study findings suggest that wholesale apples markets are significantly cointegrated, implying the presence of the long-run equilibrium relationships between the examined markets pairs. Considering the evidence as a whole, for five out of eight market pairings, the results reveal that the nature of price transmission exhibits significant asymmetric adjustments. Nonetheless, the empirical analysis does not always support the research hypothesis, stipulating that deficit market prices adjust more swiftly to price increases than to price decreases in surplus market because of the market power of intermediaries in the food marketing chain. Based on these results, the domestic market integration shows some signs of weakness, which may affect the progress of the sector. In this respect, further efforts should be made to enhance market performance so as to ensure an even balance between the production and marketing segment.
VL  - 3
IS  - 5
ER  -

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