Spillover Effects of Meat Prices Volatility in Iran

Document Type : Research Paper

Authors

• M. K
• P. KH

Abstract

This paper investigates spillover effects of volatility of lamb, beef and poultry prices using Generalized Autoregressive Conditional Heteroscedasitic (GARCH) model for period of 1997-2011. Findings of the study showed that the volatility of consumer meat prices had significant and positive spillover effects on the volatility of other prices. Moreover, the volatility of consumer prices had positive impact on its own volatility. The results of the study showed the presence of significant feedback among three meat prices under consideration indicating that each retail meat market used information from the other ones when forming their own price expectations. The presence of positive and significant price volatility spillover effects across various meat markets indicates that higher price volatility in one meat category increase price volatility in the others. This phenomenon causes market uncertainty and risk for consumers. On this basis, providing appropriate policy package in both demand and supply side of these commodities are recommended.

Keywords

• Consumer prices
• cointegration
• Volatility spillover
• GARCH model

20.1001.1.20086407.1394.7.26.2.9

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