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Methods to Analyse Agricultural Commodity Price Volatility Read chapter Read first chapter

2011 | OriginalPaper | Chapter

6. Price Volatility and Price Leadership in the EU Beef and Pork Meat Market

Author : Isabelle Piot-Lepetit

Published in: Methods to Analyse Agricultural Commodity Price Volatility

Publisher: Springer New York

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Abstract

This chapter investigates price dynamics of bovine and porcine production for the European Union (EU) as a whole and for each Member States (MS). The variability of production price series and the correlation between Member States price and the EU price are analysed. Furthermore, several time series models are tested in order to identify the stochastic process that generated these prices. Results show a higher dispersion of prices at the MS level. Correlation between MS prices and the EU price have increased since 2003 for bovine production and decreased for porcine production. Results are not conclusive regarding the existence of a common price process between the EU and MS prices and the leadership of the EU price in the bovine and porcine EU meat market.

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previous chapter Empirical Issues Relating to Dairy Commodity Price Volatility
next chapter Using Futures Prices to Forecast US Corn Prices: Model Performance with Increased Price Volatility
Appendix
Available only for authorised users
Footnotes
2
ARMA, ARCH, GARCH, EGARCH and APARCH means ARMA(1,1), ARCH(1), GARCH(1,1), EGARCH(1,1) and APARCH(1,1).
 
3
Calculations have been implemented with the ModelRisk software. http://​www.​vosesoftware.​com/.
 
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Metadata
Title
Price Volatility and Price Leadership in the EU Beef and Pork Meat Market
Author
Isabelle Piot-Lepetit
Copyright Year
2011
Publisher
Springer New York
Book
Methods to Analyse Agricultural Commodity Price Volatility

Print ISBN: 978-1-4419-7633-8

Electronic ISBN: 978-1-4419-7634-5

Copyright Year: 2011

DOI
https://doi.org/10.1007/978-1-4419-7634-5_6