The Dynamics and Volatility of Prices in a Vertical Sector

17 Pages Posted: 24 Mar 2020

See all articles by Jean‐Paul Chavas

Jean‐Paul Chavas

University of Maryland

Fanghui Pan

affiliation not provided to SSRN

Date Written: January 2020

Abstract

This paper studies the evolving distribution of prices in a vertical sector in the presence of market cycles. It investigates the dynamic linkages between farm and retail prices with an application to the Chinese pork sector. The econometric approach relies on a quantile autoregressive (QAR) model that provides a flexible representation of the dynamics of price volatility. It investigates the presence and nature of price cycles and their implications for price transmission. We document that the marketing margin is more sensitive to changes in consumer income than in feed cost. In addition, rising feed cost increases the amplitude of the cycle while higher consumer income increases the period of the cycle.

Keywords: Price dynamics, volatility, cycles, price transmission, pork, China

Suggested Citation

Chavas, Jean‐Paul and Pan, Fanghui, The Dynamics and Volatility of Prices in a Vertical Sector (January 2020). American Journal of Agricultural Economics, Vol. 102, Issue 1, pp. 353-369, 2020, Available at SSRN: https://ssrn.com/abstract=3558962 or http://dx.doi.org/10.1093/ajae/aaz038

Jean‐Paul Chavas (Contact Author)

University of Maryland

Fanghui Pan

affiliation not provided to SSRN

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