Domestic and External Drivers of Brazilian Pork Price Volatility Under Russian Trade Policies

ABSTRACT

This study investigates how Russian trade policies and domestic factors influence the volatility of Brazilian live swine prices from 2004 to 2019. We employ a DCC‐MGARCH framework, along with volatility impulse‐response functions and the connectedness approach, to analyze time‐varying co‐movement and dynamic volatility spillovers across pork‐related markets. The results show that volatility in Brazilian live swine prices is mainly driven by domestic market factors. Among these, meat‐substitute markets, particularly chicken, are key in transmitting volatility, whereas feed inputs, notably corn, emerge as net transmitters of volatility despite exhibiting only moderate dynamic conditional correlations with live swine prices. Spatial volatility transmission between Brazil and Russia remains limited and stable over time. Although Russia historically represented a major export destination, its trade policy interventions increase Brazilian live swine price volatility only in the short run and do not generate persistent or systemic spillovers. Overall, evidence suggests that domestic linkages dominate volatility in Brazilian pork markets, while external trade shocks act as short‐term uncertainty rather than long‐term instability.