Dynamics of price volatility spillover in the U.S. catfish market

Abstract The U.S. catfish aquaculture industry is arguably one of the earliest aquaculture segments in the world to industrialize, and a pioneer in demonstrating the benefits of innovation-driven aquaculture supply chain development over wild-harvested fisheries. However, the industry substantially contracted through the 2003–2013 period. High and volatile feed prices, volatile farm prices, a rapid surge in low-priced imports, and a strict regulatory compliance burden on a maturing industry are thought to be some of the major factors causing this decline. We analyze the price volatility spillovers in the U.S. catfish industry and the related feed/feed ingredient markets. Our empirical model is the multivariate generalized autoregressive conditional heteroscedasticity (GARCH) model allowing for cross-market and own-market impacts from shocks and volatilities in prices. Our results indicate bidirectional spillovers among catfish market prices and most of the feed ingredient prices.