DYNAMICS AND PRICE VOLATILITY IN FARM-RETAIL LIVESTOCK PRICE RELATIONSHIPS
By: Kesavan, T.; Aradhyula, Satheesh V.; Johnson, Stanley R.
Kesavan, T.; Aradhyula, Satheesh V.; Johnson, Stanley R., DYNAMICS AND PRICE VOLATILITY IN FARM-RETAIL LIVESTOCK PRICE RELATIONSHIPS, Journal of Agricultural and Resource Economics, Volume 17, Issue 2, December 1992, Pages 348-361
This study uses an error correction model (ECM) to investigate dynamics in farm-retail price relationships. The ECM is a more general method of incorporating dynamics and the long-run, steady-state relationships between farm and retail prices than has been used to data. Monthly data for beef and pork are used to test the time-series properties for the ECM specification. The model is extended to study price volatility through the generalized autoregressive conditional heteroskedasticity (GARCH) process. Accommodation of the GARCH process provides a useful way of analyzing both mean and variance effects of policy or market structure changes.