Estimating Pork Primal Price Relationships Using a Threshold Vector Autoregressive Analysis

In recent years, wholesale pork prices have experienced large price swings. While supply changes have likely contributed to these price swings, demand for pork bellies, which is the primal cut that is cured into bacon, has grown. We determine the impact of changes in belly prices on the dynamics of wholesale price interactions among pork primal cuts using a threshold VAR model. The results indicate that when pork belly prices are above and below the threshold, price relationships between cuts are different. This work builds upon previous identified pork relationships and has implications for models used in pork procurement and risk management