Template-type: ReDIF-Paper 1.0
Author-Name: Chia-Lin Chang
Author-Email: changchialin@nchu.edu.tw
Author-Workplace-Name: Department of Applied Economics, National Chung Hsing University
Author-Name: Michael McAleer
Author-Workplace-Name: Universidad Complutense de Madrid.Department of Quantitative Economics
Author-Name: Biing-Wen Huang
Author-Workplace-Name: Department of Applied Economics, National Chung Hsing University
Author-Name: Meng-Gu Chen
Author-Workplace-Name: Department of Applied Economics, National Chung Hsing University
Title: Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO
Abstract: The hog industry, where prices are determined according to an auction system, is
	of vital importance to the agricultural industry in Taiwan by providing significant
	production and employment. In particular, there were significant impacts on daily hog
	prices in the periods before, during and after joining the WTO, which we will refer to as
	periods of anticipation, adjustment and settlement. The purpose of the paper is to model
	the growth rates and volatility in daily hog prices in Taiwan from 23 March 1999 to 30
	June 2007, which enables an analysis of the effects of joining the WTO. The paper
	provides a novel application of financial volatility models to agricultural finance. The
	empirical results have significant implications for risk management and policy
	considerations in the agricultural industry in Taiwan, especially when significant
	structural changes, such as joining the WTO, are concerned. The three sub-samples
	relating to the period before, during and after joining the WTO display significantly
	different volatility persistence, namely symmetry, asymmetry but not leverage, and
	leverage, respectively, whereby negative shocks increase volatility but positive shocks of
	a similar magnitude decrease volatility.
Classification-JEL: Q14, G18, G32.
Keywords: Hog prices, Joining the WTO, Conditional volatility models, Asymmetry, Leverage, Moment conditions.
Length: 37 pages 
Creation-Date: 2009
Number: 2009-14 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae0914.txt
File-URL: https://eprints.ucm.es/id/eprint/8694/1/0914.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:0914