Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets

Cumhur Buguk, Darren Hudson and Terrill R. Hanson

Journal of Agricultural and Resource Economics, 2003, vol. 28, issue 01, 14

Abstract: Price volatility spillovers in the U.S. catfish supply chain are analyzed based on monthly price data from 1980 through 2000 for catfish feed, its ingredients, and farm- and wholesale-level catfish. The exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model was used to test univariate volatility spillovers for prices in the supply chain. Strong price volatility spillover from feeding material (corn, soybeans, menhaden) to catfish feed and farm- and wholesale-level catfish prices was detected.

Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (39)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:jlaare:30716

DOI: 10.22004/ag.econ.30716

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