文章基本信息

标题：Greek meat supply response and price volatility in a rational expectations framework: A multivariate GARCH approach
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作者：Rezitis, Anthony N. ; Stavropoulos, Konstantinos S.
期刊名称：Journal of Agribusiness
印刷版ISSN：0738-8950
出版年度：2009
期号：suppl
出版社：Journal of Agribusiness
摘要：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 GARCH 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 while feed prices and veterinarian medicine prices are both important cost factors. Furthermore, the last Common Agricultural Policy reform is found to have a negative impact on the beef and lamb production in Greece.
关键词：meat supply;price volatility;rational expectations;MGARCH.