Price volatility transmission in the value chain of fresh anchovies in Spain

Abstract

This study examines the price volatility transmission of fresh anchovies (Engraulis encrasicolus) among different markets along the value chain in Spain. For this purpose, the prices in the first-hand sale, wholesale, and retail markets are considered. A vector autoregressive (VAR) model and an asymmetric multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model are used to analyse the relationship of price volatility among the markets in the value chain. The results indicate that the retail market has the lowest volatility. Therefore, volatility in the first-hand sale and wholesale markets is only minimally transmitted to consumers. Finally, asymmetric effects are observed in the price volatility transmission along the fresh anchovy value chain.