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Analysis of meat price volatility in China

Analysis of meat price volatility in China Purpose – 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png China Agricultural Economic Review Emerald Publishing

Analysis of meat price volatility in China

China Agricultural Economic Review , Volume 3 (3): 10 – Sep 6, 2011

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Publisher
Emerald Publishing
Copyright
Copyright © 2011 Emerald Group Publishing Limited. All rights reserved.
ISSN
1756-137X
DOI
10.1108/17561371111165815
Publisher site
See Article on Publisher Site

Abstract

Purpose – 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.

Journal

China Agricultural Economic ReviewEmerald Publishing

Published: Sep 6, 2011

Keywords: China; Meat market; Volatility; ARCH class model; Clustering; Non‐symmetry

References