Table 1 Summary of literature on price transmission

Poland and Hungary

Bakucs et al. [20]

Monthly, January 1995 to July 2007: Vector Error Correction Model (VECM) and the Johansen cointegration (JC)

Milk: Vertical transmission between farm and retail prices

Short and long-term asymmetries in Polish milk prices. No asymmetries in the Hungarian prices

Nigeria

Ojiako et al. [21]

Weekly, week 37 of 2004 to week 28 of 2006: JC and VECM

Gari (Cassava product): Spatial transmission between urban and rural markets

Cointegration between prices in urban and rural markets. Unidirectional Granger causal relationship from the rural to urban markets

Panama

Acosta et al. [22]

Monthly, January 2000 to December 2011: Asymmetric VECM (AVECM)

Milk: Spatial transmission between global and domestic producer (farm gate) prices

Long-run equilibrium and cointegration relationship between global and domestic producer prices. Price changes in global markets are transmitted to domestic markets with a lower magnitude. Asymmetric Price Transmission (APT) in global and domestic milk prices, i.e., increases in global prices are transmitted faster to producers than decreases

Niger

Zakari et al. [23]

Monthly, January 2006 to March 2012: Cointegration and VECM

Millet, sorghum, maize, and rice: Spatial transmission between domestic, international, and regional market prices

Domestic prices respond to negative and positive shocks in regional and international markets differently. Maize and rice prices have a high speed of adjustment to world prices compared to millet and sorghum prices

Dutch

Verreth et al. [24]

Weekly, January 2005 to December 2008: Houck approach and Error Correction Model (ECM)

Onion and red pepper: vertical transmission between producer, retail, wholesale, export, and import prices

Red pepper prices return to their long-term equilibria relatively more quickly than onion prices. APT in producer-wholesale and international-producer onion prices. APT between producer and retail prices for red pepper

Ethiopia

Wondemu [25]

Monthly, 2008 to 2012: Threshold VECM (TVECM)

White teff, red teff, and maize: Spatial transmission between Addis Ababa, Mekelle, and Dire Dawa markets

APT for teff, prices adjust more quickly to positive shocks than to negative shocks. No APT for maize

United States (US)

Fousekis et al. [6]

Monthly, January 1990 to January 2014: Nonlinear Autoregressive Distributed Lag (NARDL)

Beef: Vertical transmission between farm, wholesale, and retail prices

Presence of asymmetry in magnitude for the pair farm-wholesale and the presence of both asymmetry in speed and asymmetry in magnitude for the pair wholesale-retail

India

Shrinivas and Gómez [26]

Monthly, October 2002 to September 2012: VECM and Threshold ECM (TECM)

Cotton: vertical price transmission between international and domestic prices, and transmission from domestic to farm gate prices

Indian markets are well integrated with international markets. APT between domestic and farm gate prices. In the short run, farm gate prices respond faster to changes in domestic prices when domestic prices decrease than when they increase. The loss in revenue from a decrease in domestic price is larger than the gains from an increase in domestic price of the same magnitude

Afghanistan

Hassanzoy et al. [4]

Monthly, March 2004 to June 2015: Consistent Momentum Threshold Autoregressive (MTAR) and VECM

Wheat and wheat flour: Spatial transmission between domestic prices with supplier countries and global markets

Cointegration between domestic wheat and flour markets with global, Kazakh, and Pakistani markets

Oceania (OC), European Union (EU), and the US

Zhang et al. [27]

Monthly, January 2006 to December 2015: VECM

Whole milk powder: Spatial transmission between OC, EU, and US

Cointegration between whole milk powder prices in OC, EU, and US in the long run. A causal relationship between OC and EU prices and quick adjustment to deviations. No correlation between OC and US, Unidirectional causal relationship from the EU to the US

Poland, Czech Republic, Slovakia, and Hungary

Vargova and Rajcaniova [28]

Monthly, January 2005 to June 2017: Cointegration tests and VECM

Milk: Spatial transmission across the four countries

Cointegration in milk prices in the examined countries

Mozambique and Malawi

Helder and Rafael [29]

Monthly, 2000 to 2016: JC, Granger causality test, and ECM

White maize grain: Spatial transmission between two deficit markets (Maputo in Mozambique and Blantyre in Malawi) and two surplus markets (Chimoio and Nampula in Mozambique)

Causal relationships between market pairs, i.e., Joint long-run relationship between Chimoio with Maputo, Nampula, and Blantyre markets. Bidirectional causality between Maputo and Chimoio; Maputo and Nampula; and Chimoio and Nampula pairs

Turkey

Ozturk [8]

Monthly, January 2005 to March 2015: ECM

Wheat, barley, maize, soybean, and rice: Spatial transmission between producer prices and the world market prices

No cointegration between domestic rice prices and world prices. Weak cointegration of the other commodity prices with the world prices

Indonesia

Kamaruddin et al. [30]

1980 to 2018: NARDL

Coffee: Spatial transmission between domestic producer prices and global prices

Cointegration between domestic and global markets. The existence of both APT in speed and magnitude. Domestic coffee producer prices respond faster to decreases in world prices than to their increases

US

Panagiotou [7]

Monthly, 1990 to 2018: NARDL

Pork: Vertical transmission between the farm retail and wholesale-retail pairs

APT in magnitude for the wholesale-retail pair and both APT in speed and magnitude for the farm-retail pair. In the long run, retail prices respond to positive shocks in the farm and wholesale prices faster than negative ones

EU, New Zealand, the US, and the Rest of the World (RoW)

Xue et al. [31]

Monthly, January 2010 to December 2019: Global Vector Autoregressive (GVAR), Global VECM, Generalized impulse response functions

Butter: Spatial transmission across the EU, New Zealand, US, and the RoW, and vertical transmission along the supply chain. Transmission of price shocks between butter export prices of the different exporting countries and changes in factors such as crude oil, palm oil, farm gate raw milk prices, exchange rates, and consumer price index (CPI)

Decreases in farm gate raw milk prices are swiftly transmitted to butter export prices of both the home country and the foreign countries. Butter export markets are not well integrated however, butter export prices in New Zealand and the US are highly integrated. Palm oil and crude oil prices only affect global butter export prices. The US dollar depreciation against the Euro caused a decline in US butter export prices

China

Liu et al. [32]

Monthly, November 2009 to October 2021: NARDL and Asymmetric autoregressive conditional heteroskedasticity model

Carp: vertical transmission between wholesale and retail prices

There is a nonlinear cointegration between wholesale and retail prices and APT in speed and magnitude

India

Sendhil et al. [9]

Monthly, July 2000 to June 2022: Bai Perron’s test for structural breaks, JC, Granger causality test, and impulse response function

Rice and wheat: spatial transmission between wholesale and retail prices across domestic markets, i.e., Chennai, Delhi, Mumbai, and Patna

Existence of spatial and temporal variation price dynamics in the selected markets. Cointegration between wholesale and retail prices across markets after accounting for structural breaks

Kenya, Tanzania, and Uganda

Waiswa [33]

Monthly, January 2015 to September 2022: NARDL

Maize Grain: Spatial transmission across markets in Kenya, Tanzania, and Uganda

No statistically significant relationship between prices in Uganda and those in Tanzania. There exists a statistically significant relationship between prices in Uganda and Tanzania with those in Kenya