Vertical Price Transmission in the US Pork Industry: Evidence from Copula Models

This paper investigates vertical price transmission in the US pork industry using the statistical tool of copulas and monthly data from 1970 to 2012. The empirical results indicate that the degree and the structure of price dependence differs across markets and time periods. In the first half of the sample, there was a relatively high degree of co-movement with symmetric tail dependence for the pair of markets farm-wholesale and asymmetric for the pair wholesale-retail. In the second half of the sample, tail dependence disappeared for both markets pairs and the association between price changes at the wholesale and the retail became very weak.