Market integration and price transmission analysis of foreign and Ghanaian beef and mutton markets; the effect of crude oil price and exchange rate fluctuations

Abstract

This study explored the average price series of two meat products (beef and mutton) sold at retail markets in five countries worldwide using monthly data from 2016 to 2020. The study applied the standard TAR and its extensions (CTAR and CMTAR) models to assess the speed of price movement and nature of market integration of foreign and domestic beef and mutton markets in Ghana. Due to evidence of asymmetries in the cointegration analysis among these beef and mutton market pairs, the asymmetric error correction framework was used to analyse the short-run price adjustment process. All the markets are exhibiting asymmetry processes to indicate that price movements in the foreign markets are quickly transferred to the domestic markets at different levels. The beef market pair of South Africa and Ghana exhibited threshold and asymmetric adjustment, and therefore, price change in the reference market (South Africa) must exceed the threshold price before an adjustment could occur in the Ghanaian beef market. However, there is no evidence to conclude that instability or volatility of the exogenous variables such as oil prices and exchange rates has any significant impact on the price transmission process, especially beef and mutton prices in the country. For symmetric price transmission across these markets, which indicates market efficiency, a properly functioning agricultural market information system is recommended, especially for foreign markets and domestic markets, to promote price information flow to market agents across these markets.