The volatility connectedness between chicken and selected crops

OpenAlex İngilizce

SUMMARYThis study focuses on the examination of volatility connectedness between selected agricultural commodities and chicken meat prices. To achieve this, monthly price data for soybeans, maize, wheat, and chicken meat were gathered from January 1990 to January 2023. Commodity volatilities were estimated using EGARCH, revealing the highest average volatility in soybean prices. Nevertheless, the peak volatility value was observed in chicken meat prices. The connectedness of the volatilities was demonstrated through the application of the TVP-VAR-based Diebold-Yilmaz approach. The results showed a Total Connectedness Index of 34.35%, indicating that about one-third of the forecast error variance of the variables arises from their relationships within this network. It was also found that chicken meat and wheat acted as net volatility transmitters, while soybeans and maize served as net receivers. In addition, the data unveiled the strongest bilateral relationship existing between soybeans and maize, and the weakest between chicken meat and wheat. Lastly, the Dynamic Total Connectedness Index proved effective in approximating significant shock and crisis periods that occurred throughout the given timeframe.