Estimating the Conditional Variance Volatilities of Beef Carcass, Lamb Carcass, and Fodder Wheat Markets in the Context of Exchange Rate Using VAR(2)- Asymmetric BEKK-GARCH (1,1) Model

Abstract

In the study, the long-term volatility pass-throughs between beef, lamb carcass, and fodder wheat markets in Turkey and whether such pass-throughs are symmetrical or not were estimated. The study used VAR (2)-Asymmetric BEKK-GARCH (1,1) method using daily data from both 2005:012019:06 periods. The results showed that conditional variances of the beef carcass, lamb carcass, and fodder wheat markets were statistically significantly affected by the increase in exchange rates and the periods when imports were made than the periods when imports were absent. We finally concluded that the lamb carcass had more risks than the beef carcass. Conditional variances of beef carcass, lamb carcass, and fodder wheat markets were statistically significantly affected by direct and indirect of both their and return series in the short and long term. As the results show, we can conclude that policy makers should turn to agricultural policies that will reduce producer price uncertainties.