دورية أكاديمية
A copula-based approach to investigate vertical shock price transmission in the italian hog market
| العنوان: | A copula-based approach to investigate vertical shock price transmission in the italian hog market |
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| المؤلفون: | Fabian Capitanio, Felice Adinolfi, Barry K. Goodwin, Giorgia Rivieccio |
| المصدر: | New Medit, Vol 18, Iss 1 (2021) |
| بيانات النشر: | Bologna University press, 2021. |
| سنة النشر: | 2021 |
| المجموعة: | LCC:Agriculture (General) LCC:Environmental sciences |
| مصطلحات موضوعية: | copula model, garch model., price transmission, tail dependence, value chain, volatility, Agriculture (General), S1-972, Environmental sciences, GE1-350, Commercial geography. Economic geography, HF1021-1027 |
| الوصف: | It is a stylized fact that the Italian farmers do not benefit of casual structure along value chain. Conversely, retailers could advantage of any positive shock price changes occurred in the wholesale supply chain. We investigate the presence of shock price vertical contagion in the Italian hog market, describing the dependence structure along the supply chain and assessing the degree of extreme value dependence. The approach followed is non linear and copula-based, applied on weekly data of hog price changes referred to Italian farm, wholesale and retail branch chain, over the period 1994-2015. In particular, the objective of the analysis consists in to obtain a measure of the relationship between extreme events of returns, estimating the tail dependence coefficients of copula functions involved in the analysis. The empirical findings highlight the asymmetry of price transmission along the hog Italian supply chain, more relevant for wholesale–retail pair. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | English French |
| تدمد: | 1594-5685 2611-1128 |
| العلاقة: | https://newmedit.iamb.it/2019/03/15/a-copula-based-approach-to-investigate-vertical-shock-price-transmission-in-the-italian-hog-marketTest/; https://doaj.org/toc/1594-5685Test; https://doaj.org/toc/2611-1128Test |
| DOI: | 10.30682/nm1901a |
| الوصول الحر: | https://doaj.org/article/eebc8be431e04ecf97baecd2388ee9e5Test |
| رقم الانضمام: | edsdoj.bc8be431e04ecf97baecd2388ee9e5 |
| قاعدة البيانات: | Directory of Open Access Journals |
Full Text Finder | تدمد: | 15945685 26111128 |
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| DOI: | 10.30682/nm1901a |