Modeling price transmission and volatility spillover in the Slovenian wheat market

Islam Hassouneh, Teresa Serra, Štefan Bojnec () and Jose M. Gil

No 211711, 2015 Conference, August 9-14, 2015, Milan, Italy from International Association of Agricultural Economists

Abstract: Interdependence between first and second moments of producer and consumer wheat prices in Slovenia is assessed. A joint estimation of a threshold vector error and MGARCH models with exogenous variables in the conditional mean and conditional covariance equations are applied for such purpose. Results indicate that price-level adjustments mainly favor retailers by increasing their marketing margins. Important second-moment interactions are also identified. Increases in international wheat stocks reduce producer prices, while higher interest rates increase their instability.

Keywords: Agricultural and Food Policy; Crop Production/Industries (search for similar items in EconPapers)
Pages: 21
Date: 2015
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Related works:
Journal Article: Modelling price transmission and volatility spillover in the Slovenian wheat market (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:iaae15:211711

DOI: 10.22004/ag.econ.211711

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