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- Publisher
- University of Chicago Press
- Copyright
- © 2020 MRE Foundation, Inc. All rights reserved.
- ISSN
- 0738-1360
- eISSN
- 2334-5985
- DOI
- 10.1086/707786
- Publisher site
- See Article on Publisher Site
Abstract
This article analyzes price volatility transmission over time along the fresh wild hake supply chain in Spain using weekly prices at three levels of the fresh hake supply chain (auction, wholesale, and retail). The approach taken involves both an asymmetric multivariate Generalized Autoregressive Conditional Heteroscedasticity model (GARCH) and a Vector Autoregressive Model (VAR) to explore the relationships of price volatility between chain levels. The findings reveal the dynamic structure of price linkages and confirm the presence of overall spillovers, as well as asymmetric volatility spillovers across certain chain levels. Retail prices are found to be the least volatile of the three, implying the volatility at auction and wholesale levels is not passed on to consumers.
Journal
Marine Resource Economics – University of Chicago Press
Published: Jan 1, 2020