Risk Response in the Beef Marketing Channel: A Multivariate Generalized ARCH‐M Approach
构建了一个理性预期模型，允许营销中间商对价格风险做出系统性反应，使用多元GARCH-in-Mean方法估计牛肉的农场-零售价差，发现价格风险有时对牛肉价格和生产有显著影响。
Abstract A model of the farm‐retail price spread for beef is specified under rational expectations, in which systematic risk response on the part of marketing intermediaries is allowed. The three‐equation structural model contains potentially time‐varying risk terms in margin and supply equations, which I approximate and estimate using a multivariate GARCH‐in‐Mean approach. The estimated model is used to infer relative risk premia in beef margins, and to simulate short‐run equilibrium risk effects. Results indicate that price risk has, at times, had substantial impacts on farm and retail beef prices and production.