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Threshold Cointegration In The Greek Milk Market

Anthony N. Rezitis, Ioanna Reziti
Published 2011 · Economics
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This article investigates the non-linear adjustment between consumer and producer prices in the Greek milk sector, using a threshold error correction autoregressive model. The results reject the null hypothesis of linear cointegration in favor of a two-regime threshold cointegration model. A cointegrating relationship is expected only when equilibrium consumer price is decreased more than 24.12% or the equilibrium relative mark-up is squeezed more than 62.74%. In this case consumer prices have to increase faster than producer prices to restore the long-run equilibrium between consumer-producer milk prices.
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