Price transmission and volatility spillovers in Asian rice markets: Evidence from MGARCH and panel GARCH models

Jim Lee and Harold Glenn Valera ()

The International Trade Journal, 2016, vol. 30, issue 1, 14-32

Abstract: This article examines world rice price transmission and volatility spillovers across six major Asian rice markets over the period 2005-13. In addition to the conventional GARCH models, we use a panel GARCH framework to estimate the spillover effects along with the consideration of heterogeneity and interdependence among countries. Empirical results suggest that changes in the world rice price affected not only the price levels of domestic rice markets but also their conditional variances. Moreover, interdependence across rice markets contributed to a strong spillover of a price shock in one country to another within the region.

Date: 2016
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DOI: 10.1080/08853908.2015.1045638

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