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
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: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
News and Volatility of Food Prices
By Yuqing Zheng, Henry W. Kinnucan, ...
-
Supply Response and Price Volatility in the Greek Broiler Market
-
Modeling Pork Supply Response and Price Volatility: The Case of Greece
-
Modeling Sheep Supply Response Under Asymmetric Price Volatility and Cap Reforms
-
Modeling Beef Supply Response and Price Volatility Under CAP Reforms: The Case of Greece
-
Supply Response and Price Volatility in the Greek Pork Industry
-
Wholesale Spreads and the Dynamics of Retail Price Volatility
By Raghbendra Jha and Hari K. Nagarajan
-
Consumer Demand for Quality: Major Determinant for Agricultural and Food Trade in the Future?
By Julie A. Caswell and Joseph Siny