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    Greek meat supply response and price volatility in a rational expectations framework: a multivariate GARCH approach (2012)
    Oxford University Press
    Details
    Publication Date: 2012-03-08
    Description: 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.
    Keywords: C51 - Model Construction and Estimation, D20 - General, Q11 - Aggregate Supply and Demand Analysis ; Prices
    Print ISSN: 0165-1587
    Electronic ISSN: 1464-3618
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Published by Oxford University Press
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  • 2
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    Remodelling the Working-Kaldor curve: the roles of scarcity, time to maturity and time to harvest (2012)
    Oxford University Press
    Details
    Publication Date: 2012-05-29
    Description: To explain convenience yield accruing to commodity inventory holders, time to maturity (TTM) and TIME to harvest should interact with current scarcity. Using weekly data for corn, wheat and soyabeans (1986–2009), the interaction (multiplicative) model performs better than traditional versions that, at best, incorporate TTM additively and ignore harvests. Among the competing proxies for scarcity, the combination of spot price and inventory beats either spot price or inventory separately, but the pure spot-price version is a close second. Our model still exhibits a clear ‘Working curve’ pattern, with slopes changing with TTM and pre- versus post-harvest periods.
    Keywords: G10 - General, G12 - Asset Pricing ; Trading volume ; Bond Interest Rates, G14 - Information and Market Efficiency ; Event Studies, N32 - U.S. ; Canada: 1913-, N52 - U.S. ; Canada: 1913-, Q11 - Aggregate Supply and Demand Analysis ; Prices
    Print ISSN: 0165-1587
    Electronic ISSN: 1464-3618
    Topics: Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition , Economics
    Published by Oxford University Press
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    PAPER CURRENT
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