DYNAMICS AND PRICE VOLATILITY IN FARM-RETAIL LIVESTOCK PRICE RELATIONSHIPS

T. Kesavan, Satheesh V. Aradhyula and Stanley R. Johnson

Journal of Agricultural and Resource Economics, 1992, vol. 17, issue 2, 14

Abstract: 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.

Keywords: Demand and Price Analysis; Livestock Production/Industries (search for similar items in EconPapers)
Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:ags:jlaare:30952

DOI: 10.22004/ag.econ.30952

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