Investigation the Impact of News on Meat Price Volatility in Iran

Price volatility is affecting consumers and producers welfare. The extent to which food price news contributes to volatility is most important for policymakers. Hence, the goal of this paper is the survey the impact of news on price volatility of chicken, mutton and beef in Iran. For this purpose, the various types of non-linear GARCH models were estimated using monthly meat price data for the period of 1992:1-2011:12. Findings show that EGARCH is the best model to Exploiting Asymmetries in the News Impact Curve. According to results, conditional heteroscedasticity of beef, mutton and chicken price is non-symmetry. In other words, price volatility of these commodities has asymmetric response to good and bad news. Moreover, high-price news increase the price volatility of these products and low-price news stabilizes price just in chicken market. Therefore it is recommended that policymakers design policies with respect to movement of expected prices.