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Asymmetric Price Volatility Transmission in the Spanish Fresh Wild Fish Supply Chain

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  • Hugo Ferrer-Pérez
  • Pilar Gracia-de-Rentería

Abstract

This article analyzes price volatility transmission over time along the fresh wild hake supply chain in Spain using weekly prices at three levels of the fresh hake supply chain (auction, wholesale, and retail). The approach taken involves both an asymmetric multivariate Generalized Autoregressive Conditional Heteroscedasticity model (GARCH) and a Vector Autoregressive Model (VAR) to explore the relationships of price volatility between chain levels. The findings reveal the dynamic structure of price linkages and confirm the presence of overall spillovers, as well as asymmetric volatility spillovers across certain chain levels. Retail prices are found to be the least volatile of the three, implying the volatility at auction and wholesale levels is not passed on to consumers.

Suggested Citation

  • Hugo Ferrer-Pérez & Pilar Gracia-de-Rentería, 2020. "Asymmetric Price Volatility Transmission in the Spanish Fresh Wild Fish Supply Chain," Marine Resource Economics, University of Chicago Press, vol. 35(1), pages 65-81.
    • Handle: RePEc:ucp:mresec:doi:10.1086/707786
    DOI: 10.1086/707786
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    Cited by:

    1. Hugo Ferrer-Pérez & Fadi Abdelradi & José M. Gil, 2020. "Geographical Indications and Price Volatility Dynamics of Lamb Prices in Spain," Sustainability, MDPI, vol. 12(7), pages 1-17, April.
    2. Dan, Bin & Lei, Ting & Zhang, Xumei & Liu, Molin & Ma, Songxuan, 2023. "Modeling of the subsidy policy in fresh produce wholesale markets under yield uncertainty," Economic Modelling, Elsevier, vol. 126(C).

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