000239842 001__ 239842
000239842 005__ 20170829080859.0
000239842 037__ $$a333-2016-14221
000239842 041__ $$aen_US
000239842 245__ $$aModelling Market Linkages along the Vertical Supply Chain: Price Transmission and Volatility Spillovers in the U.S. Pork Industry
000239842 260__ $$c2016-06-28
000239842 269__ $$a2016-06-28
000239842 270__ $$myanan1@ualberta.ca$$pZheng,   Yanan, Jr.
000239842 300__ $$a36
000239842 336__ $$aConference Paper/ Presentation
000239842 520__ $$aThis paper assesses the linkages among farm, wholesale and retail markets along the
U.S. pork supply chain by analyzing their price transmissions and volatility spillovers.
Data used in the analysis include monthly farm, wholesale and retail price for pork,
covering the period of January 2000 through December 2014. Engle and Grager’s
cointegration technique was adopted to examine long run price relationships for each
pair of markets, while an asymmetric VAR-BEKK-GARCH model was followed to
investigate whether asymmetry plays a role in short-run price adjustments and
volatility spillovers.
Key findings of this study include: (1) the presence of long-run relationship in all
three pairs of markets; (2) asymmetric short-run price adjustments in retail and farm
markets; (3) asymmetry in wholesale price volatility, wholesale price will be more
volatile when confront with positive shocks; (4) bi-directional volatility spillovers in
all three pairs of markets; and (5) asymmetric spillover effects to wholesale and farm
markets, with price instabilities being more sensitive to the joint shocks that move in
different directions.
000239842 542__ $$fLicense granted by Yanan Zheng (yanan1@ualberta.ca) on 2016-06-28T19:05:21Z (GMT):

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000239842 650__ $$aAgribusiness
000239842 650__ $$aAgricultural and Food Policy
000239842 6531_ $$aasymmetry
000239842 6531_ $$aprice transmission
000239842 6531_ $$avertical supply chain
000239842 6531_ $$aasymmetric
000239842 700__ $$aZheng, Yanan, Jr.
000239842 773__ $$d2016
000239842 8564_ $$s706222$$uhttp://ageconsearch.umn.edu/record/239842/files/Modelling%20Price%20Linkages%20along%20the%20Vertical%20Supply%20Chain-%20Price%20Transmission%20and%20Volatility%20Spillovers%20in%20the%20U.S.%20Pork%20Industry.pdf
000239842 887__ $$ahttp://purl.umn.edu/239842
000239842 909CO $$ooai:ageconsearch.umn.edu:239842$$qGLOBAL_SET
000239842 912__ $$nSubmitted by Yanan Zheng (yanan1@ualberta.ca) on 2016-06-28T19:51:01Z
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  Previous issue date: 2016-06-28
000239842 982__ $$gAgricultural and Applied Economics Association>2016 Annual Meeting, July 31-August 2, Boston, Massachusetts
000239842 980__ $$a333