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Modeling Pork Supply Response and Price Volatility: The Case of Greece

Published online by Cambridge University Press:  26 January 2015

Anthony N. Rezitis  and
Konstantinos S. Stavropoulos
Anthony N. Rezitis
Affiliation:
Department of Business Administration of Food and Agricultural Enterprises, School of Natural Resources and Enterprise Management, University of Ioannina, Agrinio, Greece
Konstantinos S. Stavropoulos
Affiliation:
Department of Business Administration of Food and Agricultural Enterprises, School of Natural Resources and Enterprise Management, University of Ioannina, Agrinio, Greece
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Abstract

This paper examines the supply response of the Greek pork market. A GARCH process is used to estimate expected price and price volatility, while price and supply equations are estimated jointly. In addition to the standard GARCH model, several different symmetric, asymmetric, and nonlinear GARCH models are estimated. The empirical results indicate that among the estimated GARCH models, the quadratic NAGARCH model seems to better describe producers' price volatility, which was found to be an important risk factor of the supply response function of the Greek pork market. Furthermore, the empirical findings show that feed price is an important cost factor of the supply response function and that high uncertainty restricts the expansion of the Greek pork sector. Finally, the model provides forecasts for quantity supplied, producers' price, and price volatility.

Keywords

asymmetryGARCHpork supplyprice volatilityC510D200Q110
Type
Research Article
Information
Journal of Agricultural and Applied Economics , Volume 41 , Issue 1 , April 2009 , pp. 145 - 162
Copyright
Copyright © Southern Agricultural Economics Association 2009

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