Investigating the Co-movement of Market of types of meat and The Factors Affecting It in Iran

The hypothesis of excess co-movement in commodity markets indicates simultaneous price movements, which led to different consequences on the supply and demand side. These consequences include diverting resources from productive activities on the supply side and creating widespread inflationary pressures on the demand side. In the present study, the co-movement of the different types of animal meat was assessed over time. In addition, the other purpose of this study is to determine the impact of the factors affecting co-movement. For this purpose, first, by using the ARMA-DCC-GARCH approach, Co-movement among the meat types market in Iran was estimated. Then, using Quantile regression analysis, the effect of the most critical factors affecting conditional co-movement was estimated. The results showed that the co-movement among the meat types market has experienced significant changes over time and has been decreasing in some periods and increasing in others. The Maximum and minimum value of the dynamic conditional correlations were -0.58 and -0.08 between fish and poultry meat markets, 0.44 and 0.02 between fish and red meat markets, and 0.46 and -0.04 between chicken and red meat markets, respectively.  In addition, the most critical determinants of Co-movement between meat types market include exchange rates, exchange rate volatility, production costs, liquidity, energy market fluctuations, and volatile monetary policymaking. Therefore, it is recommended that policymakers, given the role of these factors in their decisions, prevent the occurrence of periods with high co-movement.