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 this volatility 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...
| Main Authors: | , , , |
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| Format: | Artículo preliminar |
| Language: | Inglés |
| Published: |
International Food Policy Research Institute
2015
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10568/149486 |
| _version_ | 1855524431197110272 |
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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 this volatility 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 generalized auto-regressive conditional heteroskedasticity 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 observe only lead-lag relationships from international to domestic markets in few cases. To calculate volatility spillovers, we simulate a shock equivalent to a 1 percent 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) is large relative to domestic requirements. |
| format | Artículo preliminar |
| id | CGSpace149486 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | International Food Policy Research Institute |
| publisherStr | International Food Policy Research Institute |
| record_format | dspace |
| spelling | CGSpace1494862025-11-06T06:08:16Z Grain price and volatility transmission from international to domestic markets in developing countries Ceballos, Francisco Hernandez, Manuel A. Minot, Nicholas Robles, Miguel models price transmission commodities markets price volatility grain domestic markets prices Understanding the sources of domestic food price volatility in developing countries and the extent to which this volatility 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 generalized auto-regressive conditional heteroskedasticity 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 observe only lead-lag relationships from international to domestic markets in few cases. To calculate volatility spillovers, we simulate a shock equivalent to a 1 percent 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) is large relative to domestic requirements. 2015-10-22 2024-08-01T02:49:26Z 2024-08-01T02:49:26Z Working Paper https://hdl.handle.net/10568/149486 en https://hdl.handle.net/10568/153490 https://hdl.handle.net/10568/154137 https://hdl.handle.net/10568/149816 https://hdl.handle.net/10568/154499 https://doi.org/10.2499/9780896298415 http://purl.umn.edu/206057 https://doi.org/10.1016/j.worlddev.2017.01.015 Open Access application/pdf International Food Policy Research Institute Ceballos, Francisco; Hernandez, Manuel A.; Minot, Nicholas; and Robles, Miguel. 2015. Grain price and volatility transmission from international to domestic markets in developing countries. IFPRI Discussion Paper 1472. Washington, DC: International Food Policy Research Institute. https://hdl.handle.net/10568/149486 |
| spellingShingle | models price transmission commodities 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 | models price transmission commodities markets price volatility grain domestic markets prices |
| url | https://hdl.handle.net/10568/149486 |
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