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The dynamics and volatility of prices in multiple markets: a quantile approach

  • Jean-Paul ChavasEmail author
Article

Abstract

This paper presents an econometric investigation of price dynamics and volatility in multiple markets. The econometric approach relies on a quantile autoregressive (QAR) model and a copula to provide a flexible representation of price dynamics and volatility in related markets. The analysis allows for an arbitrary distribution of prices across markets, nonlinear dynamics and the presence of price cycles. We propose a two-step estimation method to support a consistent estimation of the multivariate price distribution and its evolution over time. The analysis is illustrated in an econometric application to price dynamics in the US pork vertical sector. The application provides new and useful information on the nature of the pork cycle, the linkages between farm price and retail price and the evolving price volatility in this market.

Keywords

Quantile autoregression Price dynamics Volatility Cycles 

JEL Classification

C32 D4 

Notes

Acknowledgements

The author would like to thank two anonymous reviewers for useful comments on an earlier draft of the paper. This research was supported in part by a grant from the Graduate School, University of Wisconsin, Madison.

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2020

Authors and Affiliations

  1. 1.Department of Agricultural and Applied Economics, Taylor HallUniversity of WisconsinMadisonUSA

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