Akademik Veri Yönetim Sistemi
Borsa Istanbul Review, cilt.23, sa.3, ss.580-599, 2023 (SSCI)
The objective of this study is to examine the long-term uncertainty transmission between cattle and lamb carcass markets and the feed wheat market in terms of exogenous variables (e.g., gasoline price, exchange rate, and import variables) and whether the volatility is symmetrical, using the daily data from January 2005 to June 2019, and VAR (1)–BEKK–GARCH (1, 1) Model. The empirical results indicate that short- and long-term indirect and direct shocks and long-term uncertainty propagation significantly affect the conditional variances of the beef carcass, lamb carcass, and feed wheat returns, which poses a threat to producers in terms of product sovereignty and consumers in terms of food security. We also discovered that the conditional variances of the beef carcass, lamb carcass, and feed wheat returns were significantly affected by any increase in foreign exchange rates in times of import in comparison with those in the times of nonimport. Similarly, the fluctuations in the energy (gasoline) market increased the ongoing risk propagations in the lamb carcass and feed wheat markets, whereas they decreased it in the beef carcass market. Meanwhile, asymmetrical effects played a role in uncertainty in transitions for product markets. Additionally, the optimal portfolio weight of beef carcasses on lamb carcasses and feed wheat was 0.645 and 0.553, respectively, whereas the optimal portfolio weight of lamb carcasses on feed wheat remained at approximately 0.188.