DYNAMICS AND PRICE VOLATILITY IN FARM-RETAIL LIVESTOCK PRICE RELATIONSHIPS

This study uses an error correction model (ECM) to investigate dynamics in farm-retail price relationships. The ECM is a more general method of incorporating dynamics and the long-run, steady-state relationships between farm and retail prices than has been used to data. Monthly data for beef and pork are used to test the time-series properties for the ECM specification. The model is extended to study price volatility through the generalized autoregressive conditional heteroskedasticity (GARCH) process. Accommodation of the GARCH process provides a useful way of analyzing both mean and variance effects of policy or market structure changes.


Issue Date:
1992-12
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/30952
Published in:
Journal of Agricultural and Resource Economics, Volume 17, Number 2
Page range:
348-361
Total Pages:
14




 Record created 2017-04-01, last modified 2017-11-21

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