Can Mastitis ‘Contaminate’ Poultry? Evidence on the Transmission of Volatility between Poultry and Other Commodity Prices

This paper analyzes the volatility transmission between poultry and other commodity prices. The main question it addresses is as follows: Is there any commonality in the volatility processes of poultry and other agricultural food commodities’ prices? Using standard dispersion indicators to measure the degree of poultry prices volatility and the GARCH-type models to specify poultry international price volatility at time ‘t’ as a function of lagged shocks, we obtain the following results: poultry prices experienced less volatility in recent years relatively to other commodity prices; and the transmission of price volatility from other commodities to poultry prices is rather weak. These results could help to design better risk management tools in agribusiness