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Analysis of meat price volatility in China

WanChun Luo (Rural Development Institute, Chinese Academy of Social Sciences, Beijing, People's Republic of China)
Rui Liu (Rural Economic Research Center, Ministry of Agriculture, Beijing, People's Republic of China)

China Agricultural Economic Review

ISSN: 1756-137X

Article publication date: 6 September 2011

Abstract

Purpose

In recent years, frequent volatility is deeply influencing meat industry, household lives and macroeconomics. The main purpose of this paper is to analyze the volatility of Chinese meat price, and provide suggestions on stabilizing the meat market.

Design/methodology/approach

This paper uses (G) ARCH, (G) ARCH‐M, TARCH and EGARCH models to analyze volatility and its asymmetry of Chinese meat price.

Findings

Estimation result of (G) ARCH model shows volatility clustering of meat price. Estimation result of (G) ARCH‐M model shows high risk and low return in beef market. ARCH and EGARCH models estimation results show non‐symmetry of volatility of beef, mutton and chicken price, and volatility caused by falling price is smaller than that caused by rising price.

Originality/value

This paper shows that volatility of meat price can be predicted and Chinese meat market is not perfect, and special attention to the factors causing rise in meat price is necessary.

Keywords

Citation

Luo, W. and Liu, R. (2011), "Analysis of meat price volatility in China", China Agricultural Economic Review, Vol. 3 No. 3, pp. 402-411. https://doi.org/10.1108/17561371111165815

Publisher

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Emerald Group Publishing Limited

Copyright © 2011, Emerald Group Publishing Limited