Unexpected events, such as financial crises, pandemics, or armed conflicts, generate shocks that disturb economic mechanisms. For the events to be appropriately described and empirically analyzed, econometric models capable of taking into account the presence of structural changes in data-generating processes are needed and, consequently, the development of the existing methodologies. The article proposes a generalization of the threshold cointegrated VAR (TCVAR) model and a strategy for estimating its parameters and testing the hypothesis of asymmetric adjustments. It also presents an application of a TCVAR in the modeling of pricing of food commodities. Three stages of the supply chain were considered: the market for raw produce, the food processing market, and the retail market. The study shows that the prices of production sold of the food industry asymmetrically adjust to prices paid to producers and import prices and that the main causes of the asymmetries is the strong market position of food producers and the oligopolies in many industries. In all long-run relationships defining the equilibrium prices at each of the three stages, a significant role was played by structural changes driven by domestic events and worldwide events.