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Global Food Price Volatility Spillover from International to Domestic Markets

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  • Ling, Kai
  • Deb, Prokash
  • Li, Wenying

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  • Ling, Kai & Deb, Prokash & Li, Wenying, 2023. "Global Food Price Volatility Spillover from International to Domestic Markets," 2023 Annual Meeting, July 23-25, Washington D.C. 335869, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea22:335869
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    References listed on IDEAS

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    1. Ceballos, Francisco & Hernandez, Manuel A. & Minot, Nicholas & Robles, Miguel, 2017. "Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries," World Development, Elsevier, vol. 94(C), pages 305-320.
    2. Kroner, Kenneth F & Ng, Victor K, 1998. "Modeling Asymmetric Comovements of Asset Returns," The Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 817-844.
    3. Danuta Chmielewska & Darana Souza, 2011. "The Food Security Policy Context in Brazil," Research Report 22, International Policy Centre for Inclusive Growth.
    4. Christopher L. Gilbert, 2010. "How to Understand High Food Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 61(2), pages 398-425, June.
    5. repec:zbw:iamodp:253882 is not listed on IDEAS
    6. Manuel A. Hernandez & Raul Ibarra & Danilo R. Trupkin, 2014. "How far do shocks move across borders? Examining volatility transmission in major agricultural futures markets," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 41(2), pages 301-325.
    7. Kong, Minji & Han, Doo Bong & Nayga, Rodolfo M., Jr., 2012. "Interrelationship and Volatility Transmission between Grain and Oil Prices," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124377, Agricultural and Applied Economics Association.
    8. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    9. Jin Guo & Tetsuji Tanaka, 2019. "Determinants of international price volatility transmissions: the role of self-sufficiency rates in wheat-importing countries," Palgrave Communications, Palgrave Macmillan, vol. 5(1), pages 1-13, December.
    10. Clemens Lutz & W. Erno Kuiper & Aad van Tilburg, 2007. "Maize Market Liberalisation in Benin: A Case of Hysteresis," Journal of African Economies, Centre for the Study of African Economies, vol. 16(1), pages 102-133, January.
    11. Christine Moser & Christopher Barrett & Bart Minten, 2009. "Spatial integration at multiple scales: rice markets in Madagascar," Agricultural Economics, International Association of Agricultural Economists, vol. 40(3), pages 281-294, May.
    12. Chanchala Hathurusingha & Neda Abdelhamid & David Airehrour, 2019. "Forecasting Models Based on Data Analytics for Predicting Rice Price Volatility: A Case Study of the Sri Lankan Rice Market," Journal of Information & Knowledge Management (JIKM), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-20, March.
    13. Mogilevskii, Roman & Abdrazakova, Nazgul & Bolotbekova, Aida & Chalbasova, Saule & Dzhumaeva, Shoola & Tilekeyev, Kanat, 2017. "The outcomes of 25 years of agricultural reforms in Kyrgyzstan [Die Ergebnisse von 25 Jahren landwirtschaftlicher Reformen in Kirgistan]," IAMO Discussion Papers 162, Leibniz Institute of Agricultural Development in Transition Economies (IAMO).
    14. Christian Hafner & Helmut Herwartz, 2008. "Analytical quasi maximum likelihood inference in multivariate volatility models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 67(2), pages 219-239, March.
    15. Jochen Meyer & Stephan von Cramon‐Taubadel, 2004. "Asymmetric Price Transmission: A Survey," Journal of Agricultural Economics, Wiley Blackwell, vol. 55(3), pages 581-611, November.
    16. Bob Baulch, 1997. "Transfer Costs, Spatial Arbitrage, and Testing for Food Market Integration," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(2), pages 477-487.
    17. Bernardina Algieri, 2016. "Conditional price volatility, speculation, and excessive speculation in commodity markets: sheep or shepherd behaviour?," International Review of Applied Economics, Taylor & Francis Journals, vol. 30(2), pages 210-237, March.
    18. Clara W. Mundia & Silvia Secchi & Kofi Akamani & Guangxing Wang, 2019. "A Regional Comparison of Factors Affecting Global Sorghum Production: The Case of North America, Asia and Africa’s Sahel," Sustainability, MDPI, vol. 11(7), pages 1-18, April.
    19. Peter Timmer, 2009. "Rice Price Formation in the Short Run and the Long Run: The Role of Market Structure in Explaining Volatility," Working Papers 172, Center for Global Development.
    20. Abdulai, Awudu, 2000. "Spatial price transmission and asymmetry in the Ghanaian maize market," Journal of Development Economics, Elsevier, vol. 63(2), pages 327-349, December.
    21. Minot, Nicholas, 2010. "Transmission of World Food Price Changes to African Markets and its Effect on Household Welfare," Food Security Collaborative Working Papers 58563, Michigan State University, Department of Agricultural, Food, and Resource Economics.
    22. Huidan Xue & Chenguang Li & Liming Wang & Wen-Hao Su, 2021. "Spatial Price Transmission and Price Dynamics of Global Butter Export Market under Economic Shocks," Sustainability, MDPI, vol. 13(16), pages 1-24, August.
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    Keywords

    International Development; Marketing; Agricultural and Food Policy;
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