Beef Price Volatility in Turkey: Can Import Policy Affect the Price and Its Uncertainty?

Beef Price Volatility in Turkey: Can Import Policy Affect the Price and Its Uncertainty?

Title:

Beef Price Volatility in Turkey: Can Import Policy Affect the Price and Its Uncertainty?

Number:

17/09

Author(s):

Meltem Gülenay Chadwick, Emine Meltem Baştan

Language:

English

Date:

April 2017

Abstract:

This study aims to examine the monthly volatility of consumer  and producer  beef prices for Turkey, using both univariate and multivariate  models and investigate whether beef imports can stabilize the volatility and high inflation level in beef market. To do so, first we decide on the best  volatility model for both consumer and producer beef inflation using a variety of different univariate symmetric and asymmetric GARCH models. Second, we check if the quantity of imported beef is significant in our best volatility model for consumer and producer beef prices. Lastly we compare our univariate analysis with a multivariate DCC-GARCH model. Our results reveal that  while univariate GARCH models do not successfully capture the effect of import policy on the producer and consumer beef inflation, multivariate model is superior in illustrating the effect of import policy on beef inflation.

Keywords:

Beef prices,  Price volatility,  Univariate GARCH models, Beef import policy,  DCC-GARCH model

JEL Codes:

C32; C58; E31; Q13

Beef Price Volatility in Turkey: Can Import Policy Affect the Price and Its Uncertainty?
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