%0 Report
%A Chang, Chia-Lin
%A Huang, Biing-Wen
%A Chen, Meng-Gu
%A McAleer, Michael
%T Modelling the Asymmetric Volatility in Hog Prices in Taiwan:The Impact of Joining the WTO
%J Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
%D 2009
%U https://hdl.handle.net/20.500.14352/49261
%X The hog industry, where prices are determined according to an auction system, is of vital importance to the agricultural industry in Taiwan by providing significantproduction 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 modelthe 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 paperprovides a novel application of financial volatility models to agricultural finance. The empirical results have significant implications for risk management and policyconsiderations in the agricultural industry in Taiwan, especially when significant structural changes, such as joining the WTO, are concerned. The three sub-samplesrelating to the period before, during and after joining the WTO display significantly different volatility persistence, namely symmetry, asymmetry but not leverage, andleverage, respectively, whereby negative shocks increase volatility but positive shocks of a similar magnitude decrease volatility.
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