This paper re-examines the evidence of causality and price transmission between fish prices of main species landed into Piraeus (Greece) and Cornwall (UK). To complete the analysis of cointegration and causality, we use the data of Floros and Failler (2004) and Avdelas (2004). Our paper uses the Bivariate Generalised Autoregressive Conditional Heteroscedastic (BGARCH) model. The Bivariate cointegration model (with GARCH error structure) incorporates a time varying conditional correlation coefficient between fish prices and generates time-varying covariances. The results from BGARCH show evidence of volatility clustering in the change of fish prices, and report that most species lead Hake (this is stronger for Greece). Furthermore, the estimates of price transmission indicate that the rate of change of Shrimp/Dentex partially adjusts to the rate of change of Hake prices. Our results suggest significant imperfect price transmission between species (this is stronger for Greece).
|Number of pages
|European Journal of Social Sciences
|Published - 2006