The Margin Risk and Price Effects in the Turkish Milk Market

FİDAN H., ŞAHİNLİ M. A.

JOURNAL OF ANIMAL AND VETERINARY ADVANCES, cilt.7, sa.11, ss.1374-1382, 2008 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 7 Sayı: 11
  • Basım Tarihi: 2008
  • Dergi Adı: JOURNAL OF ANIMAL AND VETERINARY ADVANCES
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.1374-1382
  • Anahtar Kelimeler: Marketing margin, milk prices, GARCH-M model, volatility
  • Ankara Üniversitesi Adresli: Evet

Özet

An evolution of the margin risks was performed using the relationship between excess price yield, prices of margin and conditional volatility. The analysis was performed with GARCH-M model using 21 years of monthly sale price data. The model parameters were estimated using a maximum likelihood function. The sample period ranged from January 1986 to March 2007. A recursive estimation model was used to obtain a temporary evolution of coefficients in a remuneration scheme for risk (CRR). The results revealed the sensitivity of risk-based cost pricing to retail prices (margin).