Dynamics of Price Volatility in the China-U.S. Hog Industries

Rong Chen and Hector O. Zapata

No 196820, 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia from Southern Agricultural Economics Association

Abstract: This paper examines hog price linkages between the U.S. and China during the period June 1996 to December 2013. Volatility and spillover effects are modeled through a MGARCH-BEKK model. It is found that volatility in Chinese hog prices is explained by own-price volatility and past unexpected events (shocks); American hog price volatility, however, is mostly explained by its own past shocks (events in the U.S. market). One common aggregate linkage between the two markets is unidirectional volatility spillover effects from China to U.S. hog prices, paralleling the flow of hog-pork exports from the U.S. to China.

Keywords: Livestock Production/Industries; Marketing (search for similar items in EconPapers)
Pages: 25
Date: 2015-02-02
New Economics Papers: this item is included in nep-cna and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:ags:saea15:196820

DOI: 10.22004/ag.econ.196820

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