文章基本信息

标题：Spillover effects of price volatility in the egg and meat markets in the Philippines
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作者：Raquel M. Balanay
期刊名称：International Journal of Development and Sustainability
印刷版ISSN：2186-8662
出版年度：2013
卷号：2
期号：3
页码：1953-1969
出版社：International Society for Development and Sustainability (ISDS)
摘要：The studyinvestigates the presence of price volatility and its spillovers in the markets of chicken eggs, duck eggs, chicken meat, pork and beef in the Philippines. An autoregressive conditionally heteroscedastic approach (ARCH) is used to generate the heat wave and meteor shower effects of price volatility, which measure the risks emanating from the fluctuating prices of the products in their own markets and their effects on other markets as well. Significant heat waves are detected in dress ed chicken, chicken eggs, pork and beef, which indicate the presence of risks in their markets due to price uncertainty. On the other hand, all egg and meat markets in the study receive meteor showers, which may connote augmented price uncertainties in these markets. The findings imply that augmented price risks may hamper the operations of these markets towards efficiency and competitiveness. Thus, efficient market information services, cost-saving technological innovations and continued research are recommended to address the issues concerning volatile price movements for the benefit of the agricultural markets in the Philippines.
关键词：price volatility; autoregressive conditionally heteroscedastic approach (ARCH); heat wave effect and meteor shower effect