Grain price and volatility transmission from international to domestic markets in developing countries
Francisco Ceballos (),
Nicholas Minot and
No 1472, IFPRI discussion papers from International Food Policy Research Institute (IFPRI)
Understanding the sources of domestic food price volatility in developing countries and the extent to which this volatility is transmitted from international to domestic markets is critical to help design better global, regional, and domestic policies to cope with excessive food price volatility and to protect the most vulnerable groups. This paper examines price and volatility transmission from major grain commodities to 41 domestic food products across 27 countries in Africa, Latin America, and South Asia. We follow a multivariate generalized auto-regressive conditional heteroskedasticity approach to model the dynamics of monthly price volatility in international and domestic markets. The period of analysis is 2000 through 2013. In terms of price transmission in levels, we observe only lead-lag relationships from international to domestic markets in few cases. To calculate volatility spillovers, we simulate a shock equivalent to a 1 percent increase in the conditional volatility of prices in the international market and evaluate its effect on the conditional volatility of prices in the domestic market. The transmission of price volatility is statistically significant in just one-quarter of the maize markets tested, almost half of rice markets tested, and all wheat markets tested. Volatility transmission seems to be more common when trade (imports or exports) is large relative to domestic requirements.
Keywords: prices; markets; models; commodities (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
http://cdm15738.contentdm.oclc.org/utils/getfile/c ... /filename/129943.pdf (application/pdf)
Journal Article: Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries (2017)
Working Paper: Grain price and volatility transmission from international to domestic markets in developing countries (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:fpr:ifprid:1472
Access Statistics for this paper
More papers in IFPRI discussion papers from International Food Policy Research Institute (IFPRI) Contact information at EDIRC.
Bibliographic data for series maintained by ().