Price Volatility Spillover Effects in Beef Market of Tehran Province

Document Type : Research Article

Authors

• M. Ghahremanzadeh ¹
• A. Falsafian ²

¹ Agricultural Economics, Faculty of Agriculture, University of Tabriz

² Agricultural Economics, Department of Agricultural Education and Extension, Tabriz Branch, Islamic Azad University, Tarbriz

10.22067/jead2.v1391i1.14100

Abstract

The price volatility spillover effect indicates that price volatility in different markets can be mutually affected. The objective of the study is to analyze volatility price spillover effects on the vertical levels including input, wholesale and retail sale levels in the Tehran beef supply chain. The multivariate generalized autoregressive conditional heteroskedastic (MVGARCH) model was used by monthly price series over the period between the first month 1376 and the first month 1378. The results show that there are strong volatility spillover effects from both the feed inputs and the beef retail markets on the wholesale live cattle (producer) market. The estimated magnitude of the volatility spillover coefficients indicate that the volatility of live cattle prices is more sensitive to volatility changes in the beef retail prices than to volatility changes in the input prices.

Keywords

• Spillover Effect
• Price Volatility
• Beef Supply Chain
• MVGARCH Model

20.1001.1.20084722.1391.26.1.4.1

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