Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets

Price volatility spillovers in the U.S. catfish supply chain are analyzed based on monthly price data from 1980 through 2000 for catfish feed, its ingredients, and farm- and wholesale-level catfish. The exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model was used to test univariate volatility spillovers for prices in the supply chain. Strong price volatility spillover from feeding material (corn, soybeans, menhaden) to catfish feed and farm- and wholesale-level catfish prices was detected.


Issue Date:
2003-04
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/30716
Published in:
Journal of Agricultural and Resource Economics, Volume 28, Number 1
Page range:
86-99
Total Pages:
14




 Record created 2017-04-01, last modified 2017-11-21

Fulltext:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)