Price Relationships and Spillover Effects of Price Volatilities in Iran's Rice Market
الموضوعات :محمد کاوسی کلاشمی 1 , محسن کاوسی کلاشمی 2
1 - استادیار اقتصاد کشاورزی،دانشکده علوم کشاورزی، دانشگاه گیلان.
2 - کارشناس ارشد مدیریت بازرگانی، دانشگاه آزاد اسلامی واحد رشت
الکلمات المفتاحية: cointegration, Unit Root Test, volatility, Agricultural Prices, GARCH Model,
ملخص المقالة :
Rice plays an especial role in Iranian households' nutrition basket. The volatilities of its price during recent years caused consumers' dissatisfaction. This paper investigates spillover effects of price volatilities (at the wholesale and retail levels) in the Guilan Province rice market. The Generalized Autoregressive Conditional Hetroscedasitic (GARCH) model was used for the monthly time period of 1999 to 2013. As the results of the unit root tests showed, the monthly time series of Sadri-Momtaz variety wholesale price and Sadri-Momtaz variety retail price have unit roots in zero frequency or they are I(1). Considering the amounts of trace and maximum eigen values statistics, there is a long-run relationship between Sadri-Momtaz variety wholesale and retail monthly price time series. Coefficients of normalized cointegration vector showed that, with one percent increase (decrease) in retail price, it would be likely that wholesale price could increase (decrease) by 0.99 percent. Results of GRACH model revealed that spillover effects exist from the retail price to the wholesale price and vice versa. In addition, price volatility in retail and wholesale levels had positive and significant effects on its own level price volatility. Accordingly, providing proper policy packages in both supply and demand sides were advised.
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