Price Relationships and Spillover Effects of Price Volatilities in Iran's Rice Market

محورهای موضوعی : Strategic planning

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

تاریخ دریافت : 1395/09/22 تاریخ پذیرش : 1396/05/25 تاریخ انتشار : 1396/09/10

کلید واژه: cointegration, Unit Root Test, volatility, Agricultural Prices, GARCH Model,

چکیده مقاله :

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.

چکیده انگلیسی:

برنج اهمیت ویژه‌ای در سبد غذایی خانوار ایرانی دارد. نوسانات قیمت این محصول طی سال‌های اخیر موجب نارضایتی مصرف‌کنندگان شده است. این تحقیق با استفاده از الگوی خود توضیح واریانس ناهمسان شرطی تعمیم یافته (GARCH) و داده‌های دوره زمانی ماهیانه 1392-1378، به بررسی اثرات سرریز قیمت برنج صدری ممتاز (در دو سطح خرده فروشی و عمده فروشی) در بازار استان گیلان می پردازد. براساس نتایج حاصل از آزمون‌های ریشه واحد می‌توان ادعا کرد که سری زمانی ماهیانه قیمت عمده فروشی برنج صدری ممتاز و سری زمانی ماهیانه قیمت خرده فروشی برنج صدری ممتاز، دارای ریشه واحد در فراوانی صفر بوده یا (I(1 می‌باشند. با توجه به مقادیر آماره محاسباتی اثر و حداکثر ریشه مشخصه وجود رابطه بلندمدت بین دو سری زمانی ماهیانه مورد بررسی تأیید می‌شود. ضرایب حاصل از نرمال سازی بردار همگرایی نشان داد که با افزایش (کاهش) یک درصدی قیمت خرده‌فروشی، انتظار می‌رود قیمت عمده‌فروشی 0.99 درصد افزایش (کاهش) یابد. نتایج حاصل از برآورد الگوی GARCH نشان داد که سرریز نوسانات از قیمت خرده‌فروشی به عمده‌فروشی و بالعکس وجود دارد. همچنین، نوسانات قیمت محصول برنج در سطح خرده‌فروشی و عمده‌فروشی اثر مثبت و معنی‌دار آماری بر نوسانات خود دارند. با توجه به نتایج حاصل از این پژوهش طراحی بسته‌های سیاست‌های مناسب در طرف عرضه و تقاضا توصیه می‌شود

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