Analysis of meat price volatility in China
AbstractPurpose – In recent years, frequent volatility is deeply influencing meat industry, household lives and macroeconomics. The main purpose of this paper is to analyze the volatility of Chinese meat price, and provide suggestions on stabilizing the meat market. Design/methodology/approach – This paper uses (G) ARCH, (G) ARCH-M, TARCH and EGARCH models to analyze volatility and its asymmetry of Chinese meat price. Findings – Estimation result of (G) ARCH model shows volatility clustering of meat price. Estimation result of (G) ARCH-M model shows high risk and low return in beef market. ARCH and EGARCH models estimation results show non-symmetry of volatility of beef, mutton and chicken price, and volatility caused by falling price is smaller than that caused by rising price. Originality/value – This paper shows that volatility of meat price can be predicted and Chinese meat market is not perfect, and special attention to the factors causing rise in meat price is necessary. JEL classification: Q11, C22, C53
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Bibliographic InfoArticle provided by Emerald Group Publishing in its journal China Agricultural Economic Review.
Volume (Year): 3 (2011)
Issue (Month): 3 (September)
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Find related papers by JEL classification:
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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