How does the self-sufficiency rate affect international price volatility transmissions in the wheat sector? Evidence from wheat-exporting countries
Tetsuji Tanaka () and
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Tetsuji Tanaka: Setunan University
Jin Guo: Setunan University
Palgrave Communications, 2020, vol. 7, issue 1, 1-13
Abstract Research on international food prices or volatility transmission have concentrated on importing countries and have largely underestimated the importance of food insecurity or food poverty issues in food-exporting countries. This article identifies the causality between global and regional wheat pric in exporting countries and explores the determinants of price volatility pass-throughs using a Glosten, Jagannathan and Runkle generalised autoregressive conditional heteroskedasticity (GJR-GARCH) model with dynamic conditional correlation (DCC) specifications. Findings indicate that causal relationships between world and local prices are bi-directional and that self-sufficiency plays an important role in reducing international price volatility spillovers. Moreover, the consumption of substitute goods such as maize or rice functions as a shock absorber, alleviating volatility transmissions from the international market. Due to the COVID-19 crisis, food prices are more destabilised in many countries, along with various factors such as Russia’s and Kazakhstan’s export restrictions on grain commodites and international transport and supply chain disruptions. Based on the findings of our analysis, high self-sufficiency or autarky policies could help resilience to the shocks from these unexpected events against local retail markets in exporting countries such as the United States.
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