Rezitis N., Stavropoulos S. (2012). Greek meat supply response and price volatility in a rational expectations framework: a multivariate GARCH approach. European review of agricultural economics [Papier], 13/04/2012, vol. 39, n. 2, p. 309-333.
https://doi.org/10.1093/erae/jbr038
https://doi.org/10.1093/erae/jbr038
Titre : | Greek meat supply response and price volatility in a rational expectations framework: a multivariate GARCH approach (2012) |
Auteurs : | N. Rezitis ; S. Stavropoulos |
Type de document : | Article |
Dans : | European review of agricultural economics [Papier] (vol. 39, n. 2, April 2012) |
Article en page(s) : | p. 309-333 |
Langues : | Anglais |
Langues du résumé : | Anglais |
Catégories : |
Thésaurus IAMM VIANDE ; OFFRE ; VOLATILITE DES PRIX ; MODELE ECONOMETRIQUE ; GRECECatégories principales 10 - INDUSTRIES ; 10.8 - Produits Carnés |
Résumé : | This paper examines supply response models in a rational expectations framework for each one of the four major Greek meat markets, i.e. beef, broiler, lamb and pork. A multivariate generalised autoregressive conditional heteroskedasticity model with Cholesky decomposition is used to incorporate price volatility into the rational expectations supply response model for each meat category and as a result the conditional covariance matrix remains positive definite without imposing any restrictions on the parameters. The empirical results confirm the existence of rational behaviour by meat producers in the four examined markets and indicate that price volatility is a major risk factor in Greek meat production. Furthermore, the last Common Agricultural Policy reform is found to have a negative impact on beef and lamb production in Greece. |
Cote : | Demander à l'accueil |
URL / DOI : | https://doi.org/10.1093/erae/jbr038 |