The aim of this article is to analyse the price transmission between German and Hungarian wheat producer prices using weekly prices. Markov-Switching Vector Error Correction Model (MS-VECM) with three regimes seems to appropriately capture the dynamics in the price relationship.

Analysis of price transmission in transition countries is often complicated by unstable policy environments. We use a Markov-switching vector error-correction model (MSVECM) to model multiple regime shifts in the relationship between wheat and wheat flour prices in Ukraine from June 2000 to...