Price Transmission in the Market of Chicken Meat: Autoregressive Switching Markov Models (MSAR)

The purpose of this study is to examine how the transfer price of chicken meat in Iran. For this purpose, weekly prices statistics for chicken slaughter chickens at a fast and soy meal prices in 2007-2012 have been used. Note that the time series variables are non-linear, linear models cannot be used to test the transfer price. Therefore, nonlinear models such as Markov switching models or threshold models utilize. Due to the flexibility of the Markov switching model and that, the regimes transition is determined probability by exogenous, Markov switching model have been used in this study. Results of model selection (MSMAH (3)-AR (2)) with three regimes (lower prices, light lower prices and higher prices) and two interrupt indicates that all variables are significant. Price transmission is Asymmetric and rising in the prices of production inputs faster than reduce in the prices of production inputs being transmitted to the price of poultry meat. Chicken meat prices are likely to be reduced by 46%, probably 71% of the price of chicken increases, and the prevailing economic regime is light lower regime that prices probably will decreases slowly 90% in the price of chicken.