Asymmetric Price Volatility Transmission in the Spanish Fresh Wild Fish Supply Chain

Hugo Ferrer-Pérez and Pilar Gracia- de-Rentería
Authors registered in the RePEc Author Service: Hugo Ferrer Pérez

Marine Resource Economics, 2020, vol. 35, issue 1, 65 - 81

Abstract: This article analyzes price volatility transmission over time along the fresh wild hake supply chain in Spain using weekly prices at three levels of the fresh hake supply chain (auction, wholesale, and retail). The approach taken involves both an asymmetric multivariate Generalized Autoregressive Conditional Heteroscedasticity model (GARCH) and a Vector Autoregressive Model (VAR) to explore the relationships of price volatility between chain levels. The findings reveal the dynamic structure of price linkages and confirm the presence of overall spillovers, as well as asymmetric volatility spillovers across certain chain levels. Retail prices are found to be the least volatile of the three, implying the volatility at auction and wholesale levels is not passed on to consumers.

Date: 2020
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