Dynamics of Price Volatility in the China-U.S. Hog Industries

This paper examines hog price linkages between the U.S. and China during the period June 1996 to December 2013. Volatility and spillover effects are modeled through a MGARCH-BEKK model. It is found that volatility in Chinese hog prices is explained by own-price volatility and past unexpected events (shocks); American hog price volatility, however, is mostly explained by its own past shocks (events in the U.S. market). One common aggregate linkage between the two markets is unidirectional volatility spillover effects from China to U.S. hog prices, paralleling the flow of hog-pork exports from the U.S. to China.


Issue Date:
Feb 02 2015
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/196820
Total Pages:
25
JEL Codes:
Q1




 Record created 2017-04-01, last modified 2018-01-22

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