Do Hazelnut Prices Adjust Asymmetrically? Regime-Specific Evidence from Türkiye

Türkiye produces roughly 70% of the world's hazelnuts, yet little is known about how price changes pass from producers to consumers in this market. This paper asks whether retail prices respond differently to rises and falls in producer prices, and whether that response changed once the state returned to the market. Using monthly producer and retail prices and a threshold cointegration approach, a first period (2005–2017), during most of which price-support purchases were suspended, is compared with a later period of renewed intervention through the Turkish Grain Board (2016–2021). In the first period, retail prices adjust asymmetrically. They correct faster when margins are squeezed than when they widen, a pattern consistent with downstream market power. In the later period the long-run link between producer and retail prices weakens, and no clear asymmetry appears. The results indicate that market structure and the regulatory setting both shape how price gains and losses move along the hazelnut supply chain.