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Beef Price Volatility in Turkey: Can Import Policy Affect the Price and Its Uncertainty?

Author

Listed:
  • Meltem Gulenay Chadwick
  • Emine Meltem Bastan

Abstract

This study aims to examine the monthly volatility of consumer and producer beef prices for Turkey, using both univariate and multivariate models and investigate whether beef imports can stabilize the volatility and high inflation level in beef market. To do so, first we decide on the best volatility model for both consumer and producer beef inflation using a variety of different univariate symmetric and asymmetric GARCH models. Second, we check if the quantity of imported beef is significant in our best volatility model for consumer and producer beef prices. Lastly we compare our univariate analysis with a multivariate DCC-GARCH model. Our results reveal that while univariate GARCH models do not successfully capture the effect of import policy on the producer and consumer beef inflation, multivariate model is superior in illustrating the effect of import policy on beef inflation.

Suggested Citation

  • Meltem Gulenay Chadwick & Emine Meltem Bastan, 2017. "Beef Price Volatility in Turkey: Can Import Policy Affect the Price and Its Uncertainty?," Working Papers 1709, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:wpaper:1709
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    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Research/Working+Paperss/2017/17-09
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    Citations

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    Cited by:

    1. Faruk Urak & Abdulbaki Bilgic & Gürkan Bozma & Wojciech J. Florkowski & Erkan Efekan, 2022. "Volatility in Live Calf, Live Sheep, and Feed Wheat Return Markets: A Threat to Food Price Stability in Turkey," Agriculture, MDPI, vol. 12(4), pages 1-24, April.

    More about this item

    Keywords

    Beef prices; Price volatility; Univariate GARCH models; Beef import policy; DCC-GARCH model;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness

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