Price Volatility and Conditional Correlation of Livestock and Poultry Vertical Market Levels in Iran: Applying Constant and Time Varying Conditional Correlation Models

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GHAHREMANZADEH MOHAMMAD; DASHTI GHADER; Rasouli Birami Zahra

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Journal: AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL) Year:2016 | Volume:10 | Issue:3 Page(s): 19-46

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Title

Price Volatility and Conditional Correlation of Livestock and Poultry Vertical Market Levels in Iran: Applying Constant and Time Varying Conditional Correlation Models

Author(s)

GHAHREMANZADEH MOHAMMAD | DASHTI GHADER | Rasouli Birami Zahra | Issue Writer Certificate

Keywords

volatilityQ1

time varying conditional correlationQ1

price spilloverQ1

vertical market levelsQ1

price information flowQ1

Abstract

To study price volatility and vertical market integration in the livestock and poultry vertical market levels, the multivariate volatility models, including constant (CCC) and dynamic (DCC and VCC) conditional correlation models were estimated using monthly time series data of broiler feed, chicken, broiler, hay, sheep, calf, beef and mutton prices from April 1997 to March 2014. Estimating the conditional correlation models showed that the constant conditional correlation assumption is a major restriction for the variables under our investigation. Except for retail and wholesale price correlations in poultry market which is constant over time the dynamic conditional correlations are significantly different from the constant conditional correlations, so that the dynamic conditional correlation has experienced strong fluctuations in all cases. The results suggest that in the livestock and poultry markets price information's transmit more from the input level to the retail and wholesale levels than the reverse direction. Moreover, the correlation between the wholesale and retail market levels was larger which means stronger price relations between these two market levels. Estimated volatility models indicate that shocks and news rather than past volatility have greater impact on the current volatility in Iranian livestock and poultry markets. This indicates the necessity of news management in Iran.

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APA: Copy

GHAHREMANZADEH, MOHAMMAD, DASHTI, GHADER, & Rasouli Birami, Zahra. (2016). Price Volatility and Conditional Correlation of Livestock and Poultry Vertical Market Levels in Iran: Applying Constant and Time Varying Conditional Correlation Models. AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL), 10(3 ), 19-46. SID. https://sid.ir/paper/124291/en

Vancouver: Copy

GHAHREMANZADEH MOHAMMAD, DASHTI GHADER, Rasouli Birami Zahra. Price Volatility and Conditional Correlation of Livestock and Poultry Vertical Market Levels in Iran: Applying Constant and Time Varying Conditional Correlation Models. AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL)[Internet]. 2016;10(3 ):19-46. Available from: https://sid.ir/paper/124291/en

IEEE: Copy

MOHAMMAD GHAHREMANZADEH, GHADER DASHTI, and Zahra Rasouli Birami, “Price Volatility and Conditional Correlation of Livestock and Poultry Vertical Market Levels in Iran: Applying Constant and Time Varying Conditional Correlation Models,” AGRICULTURAL ECONOMICS: IRANIAN JOURNAL OF AGRICULTURAL ECONOMICS (ECONOMICS AND AGRICULTURE JOURNAL), vol. 10, no. 3 , pp. 19–46, 2016, [Online]. Available: https://sid.ir/paper/124291/en

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