Economics at your fingertips  

Testing the mean reversion in prices of agricultural commodities in India

Aviral Tiwari, Aruna Dash () and Subhendu Dutta ()
Additional contact information
Subhendu Dutta: IBS Hyderabad, IFHE University

Economics Bulletin, 2015, vol. 35, issue 3, 1928-1940

Abstract: We tested the mean reversion property of 46 agricultural commodities of India covering the period 2000:M1-2013:M1. In doing so, we used two batteries of time series tests. One battery of test is associated with testing of the null hypothesis of a unit root whereas; second battery of test is associated with testing of the null hypothesis of stationarity. We find the robust evidence of stationarity for Betelnut/Arecanut, Black Pepper, Cardamom, Cummin, Garlic, Ginger (Fresh), Guava, Poultry chicken and Turmeric. This indicates that any policy to influence the prices of these commodities will not have a permanent impact as they have a tendency to revert to the mean. Thus, we recommend to the Policymakers/Government to review the commodity futures ban for these commodities. However, if Government/Policymakers wish to control the food prices, they need to make policies which influence the prices of the commodities exhibiting the unit root behaviour. And any policy shock to these commodities will have the permanent impact and therefore, the Government/Policymaker can consider for commodity futures ban.

Keywords: Unit Root; Inflation; Agricultural Commodity Prices; India (search for similar items in EconPapers)
JEL-codes: E3 Q1 (search for similar items in EconPapers)
Date: 2015-09-07
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)

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:

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().

Page updated 2023-12-06
Handle: RePEc:ebl:ecbull:eb-14-00947