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Dynamics of Price Volatility in the China-U.S. Hog Industries

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  • Chen, Rong Jr
  • Zapata, Hector O.

Abstract

This paper examines hog price linkages between the U.S. and China during the period June 1996 to December 2013. Volatility and spillover effects are modeled through a MGARCH-BEKK model. It is found that volatility in Chinese hog prices is explained by own-price volatility and past unexpected events (shocks); American hog price volatility, however, is mostly explained by its own past shocks (events in the U.S. market). One common aggregate linkage between the two markets is unidirectional volatility spillover effects from China to U.S. hog prices, paralleling the flow of hog-pork exports from the U.S. to China.

Suggested Citation

  • Chen, Rong Jr & Zapata, Hector O., 2015. "Dynamics of Price Volatility in the China-U.S. Hog Industries," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia 196820, Southern Agricultural Economics Association.
    • Handle: RePEc:ags:saea15:196820
    DOI: 10.22004/ag.econ.196820
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    Keywords

    Livestock Production/Industries; Marketing;

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