Progowy skointegrowany model VAR ze zmianą strukturalną. Zastosowanie do analizy procesów cenotwórczych dóbr żywnościowych
Threshold cointegrated VAR model with structural change. The application to the analysis of the foodstuff prices

Summary/Abstract: Unexpected events, such as financial crises, pandemics, or armed conflicts, gener-ate shocks that disturb economic mechanisms. For the events to be appropriatelydescribed and empirically analyzed, econometric models capable of consideringthe presence of structural changes in data-generating processes are needed, as isthe continued development of existing methodologies. This article proposes a generalization of the threshold cointegrated VAR (TCVAR)model, along with a strategy for estimating its parameters and testing the hypoth-esis of asymmetric adjustments. It also presents an application of the TCVAR inthe modeling of pricing of food commodities. Three stages of the supply chainwere considered: the market for raw produce, the food processing market, andthe retail market. The study shows that the prices of production sold of the foodindustry adjust asymmetrically to prices paid to producers and import prices. Themain causes of these asymmetries are the strong market position of food produc-ers and the oligopolies in many industries. Across all long-run relationships thatdefine the equilibrium prices at each of the three stages, structural changes drivenby both domestic and global events play a significant role.

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