Ihle, Rico; von Cramon-Taubadel, Stephan - Department of Agricultural and Consumer Economics, … - 2008
We compare two regime-dependent econometric models for price transmission analysis, namely the threshold vector error …-switching mechanisms are fundamentally different so that each model is suitable for a certain type of nonlinear price transmission … simulated data. We find that both models are adequate for studying price transmission since their characteristics match the …