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International Journal of Agricultural Research
  Year: 2011 | Volume: 6 | Issue: 4 | Page No.: 368-376
DOI: 10.3923/ijar.2011.368.376
Asymmetric Price Transmission in the U.S. Soybean Exports
T. Nakajima

Abstract:
The purpose of this study was to estimate asymmetric price transmission in the U.S. soybean exports and establish an indicator of the asymmetric price transmission that will make it possible to analyze its movement. The asymmetric price transmission from U.S. domestic soybean prices to export prices is estimated using repeated threshold autoregressive model which takes into consideration possible changes in asymmetric price transmission or changes in the parameters of the threshold autoregressive model. Asymmetric price transmission can be positive or negative: Positive (negative) asymmetry indicates that the squeezed margin between domestic and export prices are restored more quickly (slowly) than the stretched margin. According to the estimation results, the conclusion is that the price transmission was positively asymmetric from 1967 to 1977 and then became neutral or negative and remained so until 1988. Then the asymmetry transitioned back to positive until the latter half of the 1990s and became negative again afterwards. The U.S. has lost long-term excess profits from the export of soybeans through asymmetric price transmission, possibly due to the emergence of Brazil and Argentina as major soybean exporters. The contributions of this study include that it estimates repeated threshold autoregressive model using U.S. soybean prices with various numbers of subsamples and that it establishes an indicator of asymmetric price transmission by accumulating the repeated threshold autoregressive estimation results.
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How to cite this article:

T. Nakajima , 2011. Asymmetric Price Transmission in the U.S. Soybean Exports. International Journal of Agricultural Research, 6: 368-376.

DOI: 10.3923/ijar.2011.368.376

URL: http://scialert.net/abstract/?doi=ijar.2011.368.376

 
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