Risk response in the beef marketing channel: a multivariate generalized ARCH-M approach
1993
Holt, M.T.
A model of the farm-retail price spread for beef is specified under rational expectations, in which systematic risk response on the part of marketing intermediaries is allowed. The three-equation structural model contains potentially time-varying risk terms in margin and supply equations, which I approximate and estimate using a multivariate GARCH-in-Mean approach. The estimated model is used to infer relative risk premia in beef margins, and to simulate short-run equilibrium risk effects. Results indicate that price risk has, at times, had substantial impacts on farm and retail beef prices and production.
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