Asymmetric Price Volatility Transmission in Agricultural Supply Chains: Evidence from the Chinese Pork Market

This is the authors' abstract. We don't add key points for this paper.

The asymmetric price volatility transmission issue in agricultural supply chains has been ignored in the previous literature. This paper applies an asymmetrical MGARCH-BEKK model to investigate the asymmetric price volatility transmission in agricultural supply chains with an application to the Chinese pork market. Additionally, we use the Zivot–Andrews unit root test with a structural break to examine whether the piglet, hog, and pork prices have structural breaks. The results show that pork’s market prices have a structural breakpoint in 2007M03 and support the existence of the asymmetric volatility transmission in Chinese pork supply chains. Furthermore, the volatility spillover effects are different before and after 2007M03.