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Abstract
Interdependence between first and second moments of producer and consumer wheat prices
in Slovenia is assessed. A joint estimation of a threshold vector error and MGARCH models
with exogenous variables in the conditional mean and conditional covariance equations are
applied for such purpose. Results indicate that price-level adjustments mainly favor retailers
by increasing their marketing margins. Important second-moment interactions are also
identified. Increases in international wheat stocks reduce producer prices, while higher
interest rates increase their instability.