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Please use this identifier to cite or link to this item: http://purl.umn.edu/48764

Title: Modeling Pork Supply Response and Price Volatility: The Case of Greece
Authors: Rezitis, Anthony N.
Stavropoulos, Konstantinos S.
Keywords: asymmetry
GARCH
pork supply
price volatility
JEL Codes: C510
D200
Q110
Issue Date: 2009-04
Abstract: This paper examines the supply response of the Greek pork market. A GARCH process is used to estimate expected price and price volatility, while price and supply equations are estimated jointly. In addition to the standard GARCH model, several different symmetric, asymmetric, and nonlinear GARCH models are estimated. The empirical results indicate that among the estimated GARCH models, the quadratic NAGARCH model seems to better describe producers’ price volatility, which was found to be an important risk factor of the supply response function of the Greek pork market. Furthermore, the empirical findings show that feed price is an important cost factor of the supply response function and that high uncertainty restricts the expansion of the Greek pork sector. Finally, the model provides forecasts for quantity supplied, producers’ price, and price volatility.
URI: http://purl.umn.edu/48764
Institution/Association: Journal of Agricultural and Applied Economics>Volume 41, Number 01, April 2009
Total Pages: 18
From Page: 145
To Page: 162
Collections:Volume 41, Number 01, April 2009

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