Modelos de cointegração com um ou dois limiares: Uma aplicação para o preço do frango inteiro resfriado em mercados atacadistas no Brasil1

Abstract

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 signiíicant 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.