Abstract
Using a two-regime threshold vector autoregressive model, this study investigates the nonlinear price transmission among tuna, salmon and hake during a food safety incident. The tuna fraud in Spain caused a histamine outbreak in 2017, which made 105 people fall ill. To evaluate the degree to which the food safety incident affected price transmission and reflected consumer awareness of the tuna fraud scandal, we have developed a communication index based on the number of Twitter posts and use its first difference to identify the increasing and decreasing regime of the development of the incident. There exists a greater reaction among prices in the increasing regime when communication strengthens on Twitter. Although the impacts of communication are not statistically significant, we find evidence that, in an increasing regime, a change in the communication index Granger causes the price of tuna and hake. The paper concludes with policy implications.
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