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Table 3 Key parameters of linear VECM specification for cointegrated price pairs

From: Vertical price transmission in Swiss dairy and cheese value chains

Tested variable pair

 

Coint. vector

Adjustment parameters

Model fit

Asymmetry test

p1

p2

Lags

PT elast.

Const.

αp1

αp2

Adj. R2 p1-equ.

Adj. R2 p2-equ.

αp1+ = αp1-

αp2+ = αp2-

Dairy chain

 W_but

R_but

4

0.79

0.52

0.04*

0.19***

0.00

0.23

n.s.

n.s.

Cheese chain

 P_gru

R_gru

4

0.35

− 5.44

− 0.16***

0.02 (n.s.)

0.28

0.47

n.s.

n.s.

 E_gru

R_gru

4

1.94

− 8.37

− 0.10***

0.00 (n.s.)

0.24

0.51

n.s.

n.s.

Organic chain

 P_org

R_milk_org

2

− 1.48

− 3.53

− 0.03 (n.s.)

0.08***

0.68

0.09

n.s.

n.s.

 P_org

R_but_org

2

− 0.89

− 3.17

− 0.04 (n.s.)

0.12***

0.68

0.18

n.s.

n.s.

  1. Model with prices in logarithms, incl. 11 seasonal dummies, lag selection acc. to AIC. Split pos. and neg. ECT not listed here, as none of the differences proved significant (see Additional file 1)
  2. (n.s.) not significant at 10% level, ECT error correction term
  3. */**/*** represent 10/5/1% significance level