Asymmetric Effects of Exchange Rate Fluctuations on Poultry Meat Prices: A Time Series Analysis

Fluctuations in the price of imported inputs cause sharp changes in chicken meat prices, harming society's welfare, especially for low-income groups that mainly buy food. Increased food insecurity and malnutrition have tragic consequences, particularly for children, the elderly, and other vulnerable members of society. The purpose of this study is to examine the symmetry of the effects of exchange rate fluctuations on chicken meat prices. For this purpose, time series data in daily frequency from March ۲۱, ۲۰۱۸, to March ۲۰, ۲۰۲۲, and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and nonlinear autoregressive distribution lag (NARDL) models were used. The results of estimating the model with NARDL showed that the variables of the daily price of chicken meat with one lag, daily price of chicken meat with four lags, and exchange rate fluctuations with two lags have a direct relationship with the price of chicken meat, and the variable of daily price of chicken meat with two lags has an inverse relationship with the price of chicken meat. The results of estimating the error correction coefficient showed that, in each period (day), approximately ۰.۹۶ percent of the imbalance in the daily price of chicken meat was adjusted. Similarly, research findings indicate that exchange rate fluctuations have asymmetric effects on the price of chicken meat. In this regard, to maintain household food security, support policies should be used in the short term to prevent a decrease in economic access to food.

کلیدواژه ها:

Asymmetric ، Nonlinear Autoregressive Distribution Lag ، Daily data ، Dollar ، Generalized Autoregressive model