Determinants of international price volatility transmissions: the role of self-sufficiency rates in wheat-importing countries
Jin Guo () and
Tetsuji Tanaka
Additional contact information
Jin Guo: Setsunan University
Tetsuji Tanaka: Setsunan University
Palgrave Communications, 2019, vol. 5, issue 1, 1-13
Abstract:
Abstract From the 1980s until the early 2000s, many developing governments adopted market liberalization policies due to relatively low agricultural prices and the implementation of structural programs by the IMF. Yet, a paradigm shift occurred with the emergence of the 2008 food crisis, which directed food-deficit governmental bodies to protectionist regimes supporting higher food self-sufficiency. Despite the importance of food autarky to shield domestic food markets, its effects have never been fully discussed in a formalized econometric framework. This article analyses wheat price volatility transmissions from global to local markets in 10 wheat importing countries, identifying the causality with conditional correlation functions (CCF), the degree of volatility transmissions using generalized autoregressive conditional heteroskedasticity (GARCH) models with the dynamic conditional correlation (DCC) specification and potential determinants with a panel analysis. The main findings reveal that a significant unidirectional Granger causality runs from international wheat price to local retail flour prices for wheat importing countries with an approximate five-month lag, the volatility correlations from international to local markets were strengthened around the period of the 2007–08 food crisis and a higher self-sufficiency rate plays a role in alleviating volatility passthroughs from international markets. This evidence that increasing the SSR of an agricultural commodity is effective in isolating the domestic market is valuable for policymakers in food importing countries. The primary beneficiaries of implementing the policy measure are risk-averse producers and consumers because their utility or welfare improves as the price volatility of foodstuffs declines.
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)
Downloads: (external link)
http://link.springer.com/10.1057/s41599-019-0338-2 Abstract (text/html)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:pal:palcom:v:5:y:2019:i:1:d:10.1057_s41599-019-0338-2
Ordering information: This journal article can be ordered from
https://www.nature.com/palcomms/about
DOI: 10.1057/s41599-019-0338-2
Access Statistics for this article
More articles in Palgrave Communications from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().