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Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO

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Chang, Chia-Lin y Huang, Biing-Wen y Chen, Meng-Gu y McAleer, Michael (2009) Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 14, 2009, ] (No publicado)

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URL Oficial: http://eprints.ucm.es/8694/


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Resumen

The hog industry, where prices are determined according to an auction system, is of vital importance to the agricultural industry in Taiwan by providing significant
production and employment. In particular, there were significant impacts on daily hog prices in the periods before, during and after joining the WTO, which we will refer to as periods of anticipation, adjustment and settlement. The purpose of the paper is to model
the growth rates and volatility in daily hog prices in Taiwan from 23 March 1999 to 30 June 2007, which enables an analysis of the effects of joining the WTO. The paper
provides a novel application of financial volatility models to agricultural finance. The empirical results have significant implications for risk management and policy
considerations in the agricultural industry in Taiwan, especially when significant structural changes, such as joining the WTO, are concerned. The three sub-samples
relating to the period before, during and after joining the WTO display significantly different volatility persistence, namely symmetry, asymmetry but not leverage, and
leverage, respectively, whereby negative shocks increase volatility but positive shocks of a similar magnitude decrease volatility.


Tipo de documento:Documento de trabajo o Informe técnico
Información Adicional:

JEL Classifications: Q14, G18,G32

Palabras clave:Hog prices, Joining the WTO, Conditional volatility models, Asymmetry, Leverage, Moment conditions.
Materias:Ciencias Sociales > Economía > Comercio
Título de serie o colección:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volumen:2009
Número:14
Código ID:8694
Depositado:24 Mar 2009 12:07
Última Modificación:06 Feb 2014 08:12

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