Price Transmission and Volatility Spillovers in Asian Rice Markets: Evidence from a Panel GARCH Model

Jim Lee and Harold Glenn Valera ()

MPRA Paper from University Library of Munich, Germany

Abstract: This study examines world rice price transmission and volatility spillovers across major Asian rice markets over the period 2005-2013. 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 six countries—Bangladesh, China, India, the Philippines, Thailand and Vietnam. Empirical results suggest that changes in the world price of rice and the 2007-2008 price shocks affected not only the price levels of domestic rice markets but also their conditional variances. Moreover, interdependence across those rice markets contributed to a strong spillover of a price shock in one country to another within the region.

Keywords: Rice market; price transmission; volatility spillover; GARCH; food policy (search for similar items in EconPapers)
JEL-codes: C3 Q1 (search for similar items in EconPapers)
Date: 2015-04-15
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in The International Trade Journal 1.30(2015): pp. 14-32

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/123468/1/MPRA_paper_123468.pdf original version (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: https://EconPapers.repec.org/RePEc:pra:mprapa:123468

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().