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Abstract
We examine the impact of the end of the coffee export quota system (EQS) on internationalto-
retail price transmission in France, Germany and the United States, taking into account
the existence of long-run threshold effects and short-run price transmission asymmetries
(PTAs). We find evidence of threshold effects in both periods (EQS and post-EQS) in the
three countries and the presence of short-run PTAs during the post-EQS period in the three
countries, but not during the EQS period. Our results indicate that the threshold values
become smaller and the long-run speed of adjustment decreases during the post-EQS period
in the three countries. In the short-run, retail prices in the three countries are more
responsive to positive than to negative changes in international prices during the post-EQS
period, providing evidence of short-run PTAs. However, changes in international prices are
passed on to retail prices to a greater extent in the United States than in the two European
countries. Nonlinear impulse response analyses indicate that a shock in international prices
tends to persist more during the EQS period than in the post-EQS period. This suggests that
price transmission increased in the post-EQS period, regardless of the direction of the
change in international prices. Our results suggest that accounting for thresholds and
asymmetries improves the accuracy of impact assessments of policy changes on price
transmission processes.