This paper examines the long-run price relationships and regime shifts that govern the price transmission
mechanisms between the farm, domestic wholesale, imported, and retail levels of the Greek lamb market. The
examination is carried out using the vector error correction model (VECM), structural moving average model
(SMAM), and Markov-switching vector error correction model (MS-VECM) on monthly price data for the period
1993-2005. The results indicate the existence of three long-run price relationships between the producer, domestic
wholesale, imported, and consumer prices. Furthermore, the results suggest that the retail price is the driving force
of the price marketing chain and that a sudden shock in the retail price causes long-run imbalances in all other
prices, while an unexpected shock in one of the other prices (i.e. producer, domestic, and imported) causes only
short-term imbalances. Finally, the results of the MS-VECM show price instability during the years following the
Common Agricultural Policy (CAP) reforms which last until prices readjust to the new policy regime.
