Modeling Pork Supply Response and Price Volatility: The Case of Greece
AbstractThis 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 producersâ€™ 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, producersâ€™ price, and price volatility.
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Bibliographic InfoArticle provided by Southern Agricultural Economics Association in its journal Journal of Agricultural and Applied Economics.
Volume (Year): 41 (2009)
Issue (Month): 01 (April)
asymmetry; GARCH; pork supply; price volatility; Agribusiness; Demand and Price Analysis; International Development; Risk and Uncertainty; C510; D200; Q110;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- D20 - Microeconomics - - Production and Organizations - - - General
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
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