Beef Price Volatility in Turkey: Can Import Policy Affect the Price and Its Uncertainty?

Meltem Chadwick and Emine Meltem Bastan

Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: This study aims to examine the monthly volatility of consumer and producer beef prices for Turkey, using both univariate and multivariate models and investigate whether beef imports can stabilize the volatility and high inflation level in beef market. To do so, first we decide on the best volatility model for both consumer and producer beef inflation using a variety of different univariate symmetric and asymmetric GARCH models. Second, we check if the quantity of imported beef is significant in our best volatility model for consumer and producer beef prices. Lastly we compare our univariate analysis with a multivariate DCC-GARCH model. Our results reveal that while univariate GARCH models do not successfully capture the effect of import policy on the producer and consumer beef inflation, multivariate model is superior in illustrating the effect of import policy on beef inflation.

Keywords: Beef prices; Price volatility; Univariate GARCH models; Beef import policy; DCC-GARCH model (search for similar items in EconPapers)
JEL-codes: C32 C58 E31 Q13 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-ara and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN ... g+Paperss/2017/17-09 (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:tcb:wpaper:1709

Access Statistics for this paper

More papers in Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey Contact information at EDIRC.
Bibliographic data for series maintained by Sermet Pekin () and Ilker Cakar () and ().