Investigation of Long-Term Memory and Price Bubble in Red Meat and Chicken Meat (Case Study of West Azarbaijan Province)

As an essential and strategic product, meat has a special importancein the household basket of every Iranian. The statistics of 2019 ofIran Statistics Center show that in the West Azarbaijan province, theexpenses related to the purchase of meat (both white and red) include21% of the total expenses related to the food basket of an urbanhousehold. Fluctuations in the prices of agricultural and livestockproducts have consequences for both the supply and demand sides.Therefore, knowing the price behavior of these products is important,and if this structure is accurately identified, it is possible toprevent excessive market price fluctuations with right timeintervention. we try to investigate the presenceor absence of long-term memory in the price of the aforementioned meattypes and the presence or absence of a price bubble in them. For thispurpose, the autoregressive fractional integrated moving average model(ARFIMA) and the generalized Dickey-Fuller supremum test were used.The results of the present study indicate that the price of sheep andcalves meat in West Azarbaijan province has a degree of fractionalintegration and possess long-term memory characteristics, so that whena shock occurs, its effect remains for a long time. However, theinvestigation of the price behavior of chicken meat indicates theexistence of long-term memory in some periods and the existence of aunit root in some other periods. On the other hand, the investigationof the price bubble in chicken meat revealed that the price of chickenmeat has had a bubble behavior for 4 periods and has moved away fromits long-term value due to high volatility and explosive behavior.Also, the investigation of the price bubble in lamb and calves meatrevealed that these items also experienced price bubbles in someperiods.