| The threshold autoregressive (TAR) model by Enders and Granger (1998) and Enders and Siklos (2001) is a popular econometric model that estimates asymmetric price transmission (APT) with non-stationary time series data. However, empirical studies have not considered much the arbitrariness of sample period selection and possible temporal variation of parameters or asymmetry. The purpose of this study is to estimate the APT from the U.S. domestic soybean prices to the export prices using the TAR model, and to trace the changes of APT using rolling woindow methodology of TAR. Another purpose is to analyze the relation between the APT and the market structure in the world soybean trade. The hypothesis is that the APT was positive, which means that the U.S.... |
