Grain price and volatility transmission from international to domestic markets in developing countries
Understanding the sources of domestic food price volatility in developing countries and the extent to which it is transmitted from international to domestic markets is critical to help design better global, regional, and domestic policies to cope with excessive food price volatility and to protect t...
| Autores principales: | , , , |
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| Formato: | Conference Paper |
| Lenguaje: | Inglés |
| Publicado: |
Agricultural and Applied Economics Association
2015
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| Materias: | |
| Acceso en línea: | https://hdl.handle.net/10568/149485 |
| _version_ | 1855535658725015552 |
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| author | Ceballos, Francisco Hernandez, Manuel A. Minot, Nicholas Robles, Miguel |
| author_browse | Ceballos, Francisco Hernandez, Manuel A. Minot, Nicholas Robles, Miguel |
| author_facet | Ceballos, Francisco Hernandez, Manuel A. Minot, Nicholas Robles, Miguel |
| author_sort | Ceballos, Francisco |
| collection | Repository of Agricultural Research Outputs (CGSpace) |
| description | Understanding the sources of domestic food price volatility in developing countries and the extent to which it is transmitted from international to domestic markets is critical to help design better global, regional, and domestic policies to cope with excessive food price volatility and to protect the most vulnerable groups. This paper examines price and volatility transmission from major grain commodities to 41 domestic food products across 27 countries in Africa, Latin America, and South Asia. We follow a multivariate GARCH approach to model the dynamics of monthly price volatility in international and domestic markets. The period of analysis is 2000 through 2013. In terms of price transmission in levels, we only observe lead-lag relationships from international to domestic markets in few cases. To calculate volatility spillovers, we simulate a shock equivalent to a 1% increase in the conditional volatility of prices in the international market and evaluate its effect on the conditional volatility of prices in the domestic market. The transmission of price volatility is statistically significant in just one-quarter of the maize markets tested, almost half of rice markets tested, and all wheat markets tested. Volatility transmission seems to be more common when trade (imports or exports) are large relatively to domestic requirements. |
| format | Conference Paper |
| id | CGSpace149485 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Agricultural and Applied Economics Association |
| publisherStr | Agricultural and Applied Economics Association |
| record_format | dspace |
| spelling | CGSpace1494852025-02-24T06:47:17Z Grain price and volatility transmission from international to domestic markets in developing countries Ceballos, Francisco Hernandez, Manuel A. Minot, Nicholas Robles, Miguel price transmission markets price volatility grain domestic markets prices Understanding the sources of domestic food price volatility in developing countries and the extent to which it is transmitted from international to domestic markets is critical to help design better global, regional, and domestic policies to cope with excessive food price volatility and to protect the most vulnerable groups. This paper examines price and volatility transmission from major grain commodities to 41 domestic food products across 27 countries in Africa, Latin America, and South Asia. We follow a multivariate GARCH approach to model the dynamics of monthly price volatility in international and domestic markets. The period of analysis is 2000 through 2013. In terms of price transmission in levels, we only observe lead-lag relationships from international to domestic markets in few cases. To calculate volatility spillovers, we simulate a shock equivalent to a 1% increase in the conditional volatility of prices in the international market and evaluate its effect on the conditional volatility of prices in the domestic market. The transmission of price volatility is statistically significant in just one-quarter of the maize markets tested, almost half of rice markets tested, and all wheat markets tested. Volatility transmission seems to be more common when trade (imports or exports) are large relatively to domestic requirements. 2015-06-11 2024-08-01T02:49:26Z 2024-08-01T02:49:26Z Conference Paper https://hdl.handle.net/10568/149485 en https://doi.org/10.1016/j.worlddev.2017.01.015 https://hdl.handle.net/10568/149486 Open Access Agricultural and Applied Economics Association Ceballos, Francisco; Hernandez, Manuel A.; Minot, Nicholas; and Robles, Miguel. 2015. Grain price and volatility transmission from international to domestic markets in developing countries. Selected Paper prepared for presentation at the 2015 Agricultural and Applied Economics Association & Western Agricultural Economics Association Annual Meeting, San Francisco, CA, July 26-28, 2015. Milwaukee, WI, USA: Agricultural and Applied Economics Association (AAEA). https://purl.umn.edu/206057 |
| spellingShingle | price transmission markets price volatility grain domestic markets prices Ceballos, Francisco Hernandez, Manuel A. Minot, Nicholas Robles, Miguel Grain price and volatility transmission from international to domestic markets in developing countries |
| title | Grain price and volatility transmission from international to domestic markets in developing countries |
| title_full | Grain price and volatility transmission from international to domestic markets in developing countries |
| title_fullStr | Grain price and volatility transmission from international to domestic markets in developing countries |
| title_full_unstemmed | Grain price and volatility transmission from international to domestic markets in developing countries |
| title_short | Grain price and volatility transmission from international to domestic markets in developing countries |
| title_sort | grain price and volatility transmission from international to domestic markets in developing countries |
| topic | price transmission markets price volatility grain domestic markets prices |
| url | https://hdl.handle.net/10568/149485 |
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