Analysis of meat price volatility in China

WanChun Luo and Rui Liu

China Agricultural Economic Review, 2011, vol. 3, issue 3, 402-411

Abstract: Purpose - In recent years, frequent volatility is deeply influencing meat industry, household lives and macroeconomics. The main purpose of this paper is to analyze the volatility of Chinese meat price, and provide suggestions on stabilizing the meat market. Design/methodology/approach - This paper uses (G) ARCH, (G) ARCH‐M, TARCH and EGARCH models to analyze volatility and its asymmetry of Chinese meat price. Findings - Estimation result of (G) ARCH model shows volatility clustering of meat price. Estimation result of (G) ARCH‐M model shows high risk and low return in beef market. ARCH and EGARCH models estimation results show non‐symmetry of volatility of beef, mutton and chicken price, and volatility caused by falling price is smaller than that caused by rising price. Originality/value - This paper shows that volatility of meat price can be predicted and Chinese meat market is not perfect, and special attention to the factors causing rise in meat price is necessary.

Keywords: China; Meat market; Volatility; ARCH class model; Clustering; Non‐symmetry (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

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:eme:caerpp:v:3:y:2011:i:3:p:402-411

DOI: 10.1108/17561371111165815

Access Statistics for this article

China Agricultural Economic Review is currently edited by Dr Fu Qin, Dr Jikun Huang, Dr Kevin Z Chen, Dr Weiming Tian, Prof Daniel Sumner, Prof Xian Xin and Prof Holly Wang

More articles in China Agricultural Economic Review from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().