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

International Journal of Agricultural Management and Development

مقاله 4، دوره 7، شماره 4، اسفند 2017، صفحه 429-438   

نوع مقاله: Research Article

نویسندگان

Mohammad Kavoosi-Kalashami^{* 1}؛ Mohsen Kavoosi Kalashami²

¹Assistant Professor, Department of Agricultural Economics, Faculty of Agricultural Sciences, University of Guilan

²MSc of Commercial Management, Islamic Azad University, Rasht branch.

چکیده

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.

کلیدواژه‌ها

Agricultural Prices؛ cointegration؛ GARCH Model؛ Unit Root Test؛ volatility

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