Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO

Chia-Lin Chang (), Michael McAleer, Biing-Wen Huang and Meng-Gu Chen
Additional contact information
Biing-Wen Huang: Department of Applied Economics, National Chung Hsing University
Meng-Gu Chen: Department of Applied Economics, National Chung Hsing University

No 2009-14, Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

Abstract: The hog industry, where prices are determined according to an auction system, is of vital importance to the agricultural industry in Taiwan by providing significant production and employment. In particular, there were significant impacts on daily hog prices in the periods before, during and after joining the WTO, which we will refer to as periods of anticipation, adjustment and settlement. The purpose of the paper is to model the growth rates and volatility in daily hog prices in Taiwan from 23 March 1999 to 30 June 2007, which enables an analysis of the effects of joining the WTO. The paper provides a novel application of financial volatility models to agricultural finance. The empirical results have significant implications for risk management and policy considerations in the agricultural industry in Taiwan, especially when significant structural changes, such as joining the WTO, are concerned. The three sub-samples relating to the period before, during and after joining the WTO display significantly different volatility persistence, namely symmetry, asymmetry but not leverage, and leverage, respectively, whereby negative shocks increase volatility but positive shocks of a similar magnitude decrease volatility.

Keywords: Hog prices; Joining the WTO; Conditional volatility models; Asymmetry; Leverage; Moment conditions. (search for similar items in EconPapers)
JEL-codes: G18 G32 Q14 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://eprints.ucm.es/id/eprint/8694/1/0914.pdf (application/pdf)

Related works:
Journal Article: Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO (2011)
Working Paper: Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO (2010)
Working Paper: Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO (2009)
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:ucm:doicae:0914

Ordering information: This working paper can be ordered from
Facultad de Ciencias Económicas y Empresariales. Pabellón prefabricado, 1ª Planta, ala norte. Campus de Somosaguas, 28223 - POZUELO DE ALARCÓN (MADRID)
https://www.ucm.es/f ... -de-trabajo-del-icae

Access Statistics for this paper

More papers in Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico Contact information at EDIRC.
Bibliographic data for series maintained by Águeda González Abad ().