Table 1 Results of the vector autoregression models for consumer prices at a weekly frequency

\(\mu_{k}^{C}\)

 –

0.03 (0.02)

0.01 (0.01)

0.04 (0.03)

\(\rho_{lk}^{C}\)

 EV

∆C_Beef,t−l

∆C_{Poultry, t−l}

∆C_{Pork, t−l}

 l = 1

0.45 (0.05) ***

0.34 (0.06) ***

0.62 (0.06) ***

 l = 2

0.20 (0.06) **

0.27 (0.06) ***

0.20 (0.07) **

 l = 3

0.05 (0.06)

0.02 (0.06)

 − 0.16 (0.07) *

 l = 4

0.11 (0.05) *

0.19 (0.05) ***

 − 0.02 (0.05)

\(\beta_{jm1}^{C}\)

 EV

∆C_{Poultry,t−j}

∆C_Beef,t−j

∆C_Beef,t−j

 j = 1

 − 0.04 (0.05)

0.10 (0.06)

 − 0.01 (0.08)

 j = 2

 − 0.05 (0.05)

 − 0.10 (0.06)

0.07 (0.08)

 j = 3

0.11 (0.05) *

 − 0.10 (0.06)

 − 0.22 (0.08) **

 j = 4

 − 0.1 (0.05) *

 − 0.005 (0.05)

0.16 (0.07) *

\(\beta_{jm2}^{C}\)

 EV

∆C_Pork,t−j

∆C_Pork,t−j

∆C_{Poultry,t−j}

 j = 1

0.01 (0.04)

0.02 (0.04)

 − 0.04 (0.07)

 j = 2

0.11 (0.05) *

0.17 (0.05) ***

0.03 (0.07)

 j = 3

 − 0.04 (0.05)

 − 0.04 (0.05)

0.04 (0.07)

 j = 4

 − 0.06 (0.04)

0.03 (0.04)

0.02 (0.07)

\(\alpha_{jk}^{C}\)

 EV

∆P_Beef,t−j

∆P_{Poultry,t−j}

∆P_Pork,t−j

 j = 1

0.01 (0.01)

 − 0.001 (0.007)

0.02 (0.01) ***

 j = 2

0.01 (0.01) *

0.007 (0.007)

0.02 (0.01) ***

 j = 3

0.01 (0.01)

0.007 (0.007)

0.01 (0.007)

 j = 4

0.01 (0.01)

 − 0.012 (0.007).

0.01 (0.007)

\(\theta_{jk}^{C}\)

 EV

∆(I_Beef,t−j × ER_t−j)

∆(I_{Poultry,t−j} × ER_t−j)

∆(I_Pork,t−j × ER_t−j)

 j = 1

0.004 (0.004)

 − 0.001 (0.003)

 − 0.005 (0.004)

 j = 2

0.0005 (0.003)

0.001 (0.003)

0.000 (0.004)

 j = 3

0.01 (0.004) **

0.004 (0.002)

0.01 (0.004) *

 j = 4

0.008 (0.004) *

0.003 (0.002)

0.01 (0.004) **

Portmanteau test (p value)

0.14

0.10

0

ARCH test (p value)

1

1

1

Normality test (p value)

0

0

0

Stability test

Passed

Passed

Passed

Granger test °°

0

0

0

Number of observations

358

358

358

Adjusted R-squared

0.64

0.79

0.67