Red Meat Price Volatility and Its Relationship with Crude Oil and Exchange Rates in Turkey with the Approach of GARCH (p, q) Model

Abstract

Turkey's agricultural commodity prices are volatile while they have steadily increased over time. A substantial amount of research has been done on the variations in these prices by looking at other commodities like energy. As a result, the connections between agricultural and energy markets have been widely explored. There is a great concern about how red meat prices in Turkey are getting increasingly fluctuating. On the other hand, we may assume that ups and downs movement in the prices of crude oil and exchange rates are connected to veal and lamb carcass prices and that volatility is transmitted to those meat prices. This study uses the generalize all period unconstraint volatility model, which generalizes the GARCH (p, q) model, to examine the veal and lamb prices volatilities in Turkey and their relationship with crude oil as well as exchange rates (data are weekly covering from May 2006 to February 2017). According to findings, red meat prices have been volatile over the previous decade, notably between 2009 and 2012. Furthermore, crude oil prices have an important impact on the prices of veal and lamb and their prior times statistically. Also exchange rates at t-2 and t-4 time have an impact on lamb prices but none at all on veal prices. Subsequently, red meat price rise and volatility are becoming an important problem for Turkey, and the policies made in this area need to be evaluated.

Keywords

• crude oil
• exchange rates
• garch (p
• q) models
• red meat prices
• volatility
• turkey