Greek Meat Supply Response and Price Volatility in a Rational Expectations Framework: A Multivariate GARCH Approach

European Review of Agricultural Economics, Forthcoming

31 Pages Posted: 4 Apr 2011

See all articles by Anthony N. Rezitis

Anthony N. Rezitis

Agricultural University of Athens - Department of Agricultural Economics and Rural Development

Konstantinos S. Stavropoulos

affiliation not provided to SSRN

Date Written: March, 19 2011

Abstract

This paper examines supply response models in a rational expectations framework for each one of the four major Greek meat markets, i.e. beef, broiler, lamb and pork. A multivariate GARCH model with Cholesky decomposition is used to incorporate price volatility into the rational expectations supply response model for each meat category and as a result the conditional covariance matrix remains positive definite without imposing any restrictions on the parameters. The empirical results confirm the existence of rational behavior by meat producers in the four examined markets and indicate that price volatility is a major risk factor in Greek meat production while feed prices and veterinarian medicine prices are both important cost factors. Furthermore, the last Common Agricultural Policy reform is found to have a negative impact on the beef and lamb production in Greece.

Keywords: meat supply, price volatility, rational expectations, MGARCH

JEL Classification: Q11, C51, D20

Suggested Citation

Rezitis, Anthony N. and Stavropoulos, Konstantinos S., Greek Meat Supply Response and Price Volatility in a Rational Expectations Framework: A Multivariate GARCH Approach (March, 19 2011). European Review of Agricultural Economics, Forthcoming , Available at SSRN: https://ssrn.com/abstract=1790327

Anthony N. Rezitis (Contact Author)

Agricultural University of Athens - Department of Agricultural Economics and Rural Development ( email )

Athens
Greece

Konstantinos S. Stavropoulos

affiliation not provided to SSRN ( email )

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
59
Abstract Views
928
Rank
648,767
PlumX Metrics