Price Volatility Spillover Effects in Beef Market of Tehran Province

مجله اقتصاد و توسعه کشاورزی

Article 3, Volume 26, Issue 1, April 2012   

Document Type: Research Article

DOI: 10.22067/jead2.v1391i1.14100

Authors

M. Ghahremanzadeh^{* 1}; A. Falsafian²

¹Agricultural Economics, Faculty of Agriculture, University of Tabriz

²Agricultural Economics, Department of Agricultural Education and Extension, Tabriz Branch, Islamic Azad University, Tarbriz

Abstract

The price volatility spillover effect indicates that price volatility in different markets can be mutually affected. The objective of the study is to analyze volatility price spillover effects on the vertical levels including input, wholesale and retail sale levels in the Tehran beef supply chain. The multivariate generalized autoregressive conditional heteroskedastic (MVGARCH) model was used by monthly price series over the period between the first month 1376 and the first month 1378. The results show that there are strong volatility spillover effects from both the feed inputs and the beef retail markets on the wholesale live cattle (producer) market. The estimated magnitude of the volatility spillover coefficients indicate that the volatility of live cattle prices is more sensitive to volatility changes in the beef retail prices than to volatility changes in the input prices.

Keywords

Spillover Effect; Price Volatility; Beef Supply Chain; MVGARCH Model