Chavas, Jean-Paul; Mehta, Aashish - 2015
We develop a reduced-form model of price transmission in a vertical sector, allowing for refined asymmetric …, contemporaneous and lagged, own and cross-price effects under time-varying volatility. The model is used to investigate the wholesale …-retail price dynamics in the U.S. butter market. The analysis documents the nature of nonlinear price dynamics in a vertical sector …