TY - JOUR
T1 - Price volatility spillover in agricultural markets
T2 - An examination of U.S. catfish markets
AU - Buguk, Cumhur
AU - Hudson, Darren
AU - Hanson, Terry
PY - 2003/4
Y1 - 2003/4
N2 - 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.
AB - 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.
KW - Catfish
KW - EGARCH
KW - Vertical market chains
KW - Volatility spillover
UR - http://www.scopus.com/inward/record.url?scp=0038241673&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:0038241673
VL - 28
SP - 86
EP - 99
JO - Journal of Agricultural and Resource Economics
JF - Journal of Agricultural and Resource Economics
SN - 1068-5502
IS - 1
ER -