Measuring Asymmetric Price Transmission in the U.S. Hog/Pork Markets

Feng Qiu and Barry K. Goodwin

No 285797, 2013 Conference, April 22-23, 2013, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: This paper introduces the application of copula models to the empirical study of price transmission, with an empirical application to the U.S. hog/pork markets. Our copula approach corrects the potential bias in estimation that results from ignoring the volatility by modeling the marginal distribution of price changes through GARCH models. We also develop and apply a flexible time-varying copula framework to estimate dynamic transmission coefficients /elasticities. The model results confirm the existence of time-varying and asymmetric behaviour in price co-movements between the farm and retail markets. Positive upper and zero lower tail dependences provide evidence that big increases in farm prices are matched at the retail level whereas negative shocks at the farm level are less likely to be passed on to consumers. The application of copula techniques provides multiple, useful extension and generalizations of conventional approaches for modeling asymmetric transmissions processes on the degree of market integration and its response to price shocks under the extreme market conditions.

Keywords: Marketing (search for similar items in EconPapers)
Date: 2013-04
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/285797/files/Qiu_Goodwin_NCCC-134_2013.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:n13413:285797

DOI: 10.22004/ag.econ.285797

Access Statistics for this paper

More papers in 2013 Conference, April 22-23, 2013, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management
Bibliographic data for series maintained by AgEcon Search ().