Price volatility spillover in agricultural markets: An examination of U.S. catfish markets

Cumhur Buguk, Darren Hudson, Terry Hanson

Research output: Contribution to journalArticle

44 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)86-99
Number of pages14
JournalJournal of Agricultural and Resource Economics
Volume28
Issue number1
StatePublished - Apr 2003

Keywords

  • Catfish
  • EGARCH
  • Vertical market chains
  • Volatility spillover

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