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Is Exchange Rate Pass‐Through in Pork Meat Export Prices Constrained by the Supply of Live Hogs?
Author(s) -
Gervais Jean-Philippe,
Khraief Naceur
Publication year - 2007
Publication title -
american journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.949
H-Index - 111
eISSN - 1467-8276
pISSN - 0002-9092
DOI - 10.1111/j.1467-8276.2007.01030.x
Subject(s) - cointegration , economics , exchange rate pass through , exchange rate , production (economics) , econometrics , estimator , unit root , agricultural economics , degree (music) , monetary economics , mathematics , macroeconomics , statistics , physics , acoustics
The impact of lags in the production and marketing of agricultural products on the degree of exchange rate pass‐through in export prices is investigated. The predictions of the theoretical model are tested by investigating Canadian pork export prices in the United States and Japan. The empirical methodology accounts for unit root and cointegration using the dynamic seemingly unrelated regression framework and a minimum distance estimator. Predetermined hog supplies have a statistically significant impact on export prices of two out of three Canadian provinces. The degree of misspecification involved with standard pass‐through models that do not account for production lags is also illustrated.