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Structural breaks, cointegration and the farm-retail price spread for lamb

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Abstract:

This paper examines the farm-retail price spread for lamb from monthly UK data for 1979-1993. Using cointegration, it examines seasonal patterns in producer and retail prices and seeks to identify a long-run relationship between them. Results show that a long-run relationship exists, and that the direction of Granger-causality is from retail to producer prices. Lamb prices are therefore set in the retail market. Results also show that there is a structural break in the relationship in January 1990 when the price increases; this coincides exactly with a change in policy.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/000368400404434

Publication date: August 15, 2000

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