Modelos de Cointegracao com um ou dois Limiares: uma Aplicacao para o Preco do Frango lnteiro Resfriado em Mercados Atacadistas no Brasil¹

Most studies about market integration that use threshold cointegration do not usually test the number of regimes of price adjustment. In this study, we use a testing procedure to determine the number of statistically significant regimes for regional markets of poultry in Brazil in the period of January 1998 to June 2007. Results show that, for some markets, two regimes are adequate, whereas for others, the model should have three regimes. We also conclude that there are important barriers to price transmission among the markets which may come from the existence of high transaction costs regarding trades involving poultry.

现有采用门槛协整（threshold cointegration）方法开展的市场整合（market integration）相关研究，通常未检验价格调整机制的数量。本研究针对1998年1月至2007年6月的巴西家禽区域市场，采用一套检验程序确定其统计显著的价格调整机制数量。结果显示，部分区域市场适配双机制模型，其余市场则需采用三机制模型。此外本研究还得出结论：各市场间存在显著的价格传递壁垒，该壁垒或源于家禽交易相关的高额交易成本。