Co‐Movements of High‐Order Moments and Risk Spillovers in the Time‐Frequency Domain Along the Supply Chains of the US Beef and Pork Industries

The present analysis examines the multiscale co‐movements of high‐order moments, namely skewness and kurtosis, across the US beef and pork marketing channels. Monthly farm, wholesale, and retail prices, spanning January 1980 to February 2026, are employed. The results show that in the beef sector, co‐movements in the farm‐wholesale pair are strongly synchronized in medium horizons, with the wholesale leading the upstream transmission of risk to producers. Co‐movements in the beef wholesale‐retail pair are demand‐driven, with the retail level leading volatility dynamics. In the pork sector, the farm‐wholesale pair records significant negative co‐movements in asymmetry, with wholesale taking the leading role in recent years, indicating that crash risk is only weakly transmitted from packers to producers. The pork wholesale‐retail pair reported the weakest co‐movement across all moments and frequencies. To this end, we found that risk spillovers vary between scales and moments and are not uniformly spread across the two supply chains. Patterns depend significantly on both the industry (beef or pork) and the vertical level examined. Results suggest that wholesalers and retailers are likely to have a high degree of leverage over the cattle/hog producers.