Asymmetric Price Volatility Transmission in Agricultural Supply Chains: Evidence from the Chinese Pork Market

Xiangrong Wan, Cuixia Li and Zaoli Yang

Mathematical Problems in Engineering, 2022, vol. 2022, 1-11

Abstract: The asymmetric price volatility transmission issue in agricultural supply chains has been ignored in the previous literature. This paper applies an asymmetrical MGARCH-BEKK model to investigate the asymmetric price volatility transmission in agricultural supply chains with an application to the Chinese pork market. Additionally, we use the Zivot–Andrews unit root test with a structural break to examine whether the piglet, hog, and pork prices have structural breaks. The results show that pork’s market prices have a structural breakpoint in 2007M03 and support the existence of the asymmetric volatility transmission in Chinese pork supply chains. Furthermore, the volatility spillover effects are different before and after 2007M03.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:4801898

DOI: 10.1155/2022/4801898

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