Can Mastitis ‘Contaminate’ Poultry? Evidence on the Transmission of Volatility between Poultry and Other Commodity Prices
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This paper analyzes the volatility transmission between poultry and other commodity prices. The main question it addresses is as follows: Is there any commonality in the volatility processes of poultry and other agricultural food commodities’ prices? Using standard dispersion indicators to measure the degree of poultry prices volatility and the GARCH-type models to specify poultry international price volatility at time ‘t’ as a function of lagged shocks, we obtain the following results: poultry prices experienced less volatility in recent years relatively to other commodity prices; and the transmission of price volatility from other commodities to poultry prices is rather weak. These results could help to design better risk management tools in agribusiness.