The linkage between international dairy commodity prices and volatility: a panel-GARCH analysis
Author
Abstract
Suggested Citation
DOI: 10.1108/JADEE-02-2022-0027
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Jian Yang & Michael Haigh & David Leatham, 2001.
"Agricultural liberalization policy and commodity price volatility: a GARCH application,"
Applied Economics Letters, Taylor & Francis Journals, vol. 8(9), pages 593-598.
- Yang, Jian & Leatham, David J. & Haigh, Michael S., 1999. "Agricultural Liberalization Policy and Commodity Price Volatility: A GARCH Application," 1999 Regional Committee NC-221, 1999, Mississauga, Ontario, Canada 132337, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
- Rezitis, Anthony N. & Rokopanos, Andreas, 2019.
"Impact of trade liberalisation on dairy market price co-movements between the EU, Oceania, and the United States,"
Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 63(3), July.
- Anthony N. Rezitis & Andreas Rokopanos, 2019. "Impact of trade liberalisation on dairy market price co‐movements between the EU, Oceania, and the United States," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 63(3), pages 472-498, July.
- Baltzer, Kenneth, 2013. "International to Domestic Price Transmission in Fourteen Developing Countries During the 2007-08 Food Crisis," WIDER Working Paper Series 031, World Institute for Development Economic Research (UNU-WIDER).
- Christos Bouras & Christina Christou & Rangan Gupta & Tahir Suleman, 2020.
"Geopolitical Risks, Returns, and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(8), pages 1841-1856, July.
- Christos Bouras & Christina Christou & Rangan Gupta & Tahir Suleman, 2019. "Geopolitical Risks, Returns, and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(8), pages 1841-1856, June.
- Christos Bouras & Christina Christou & Rangan Gupta & Tahir Suleman, 2017. "Geopolitical Risks, Returns and Volatility in Emerging Stock Markets: Evidence from a Panel GARCH Model," Working Papers 201777, University of Pretoria, Department of Economics.
- Alejandro Acosta & Alberto Valdés, 2014. "Vertical Price Transmission of Milk Prices: Are Small Dairy Producers Efficiently Integrated Into Markets?," Agribusiness, John Wiley & Sons, Ltd., vol. 30(1), pages 56-63, January.
- Pratap Birthal & Akanksha Negi & P.K. Joshi, 2019. "Understanding causes of volatility in onion prices in India," Journal of Agribusiness in Developing and Emerging Economies, Emerald Group Publishing Limited, vol. 9(3), pages 255-275, June.
- Jean-Paul Chavas & Kwansoo Kim, 2004. "A Heteroskedastic Multivariate Tobit Analysis of Price Dynamics in the Presence of Price Floors," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 86(3), pages 576-593.
- Diego Escobari & Jim Lee, 2014.
"Demand uncertainty and capacity utilization in airlines,"
Empirical Economics, Springer, vol. 47(1), pages 1-19, August.
- Escobari, Diego & Lee, Jim, 2013. "Demand Uncertainty and Capacity Utilization in Airlines," MPRA Paper 46059, University Library of Munich, Germany.
- Jean-Paul Chavas & Kwansoo Kim, 2006.
"An econometric analysis of the effects of market liberalization on price dynamics and price volatility,"
Empirical Economics, Springer, vol. 31(1), pages 65-82, March.
- Chavas, Jean-Paul & Kim, Kwansoo, 2001. "An Econometric Analysis Of The Effects Of Market Liberalization On Price Dynamics And Price Volatility," 2001 Annual meeting, August 5-8, Chicago, IL 20649, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Chavas, Jean-Paul & Kim, Kwansoo, 2001. "An Econometric Analysis of the Effects of Market Liberalization on Price Dynamics and Price Volatility," Working Papers 201568, University of Wisconsin-Madison, Department of Agricultural and Applied Economics, Food System Research Group.
- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
"Testing for unit roots in heterogeneous panels,"
Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
- Tom Doan, "undated". "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- Lee, Jim, 2010. "The link between output growth and volatility: Evidence from a GARCH model with panel data," Economics Letters, Elsevier, vol. 106(2), pages 143-145, February.
- David S. Jacks & Kevin H. O'Rourke & Jeffrey G. Williamson, 2011.
"Commodity Price Volatility and World Market Integration since 1700,"
The Review of Economics and Statistics, MIT Press, vol. 93(3), pages 800-813, August.
- Williamson, Jeffrey G. & O'Rourke, Kevin & Jacks, David, 2009. "Commodity Price Volatility and World Market Integration since 1700," CEPR Discussion Papers 7190, C.E.P.R. Discussion Papers.
- David S. Jacks, Kevin H. O'Rourke and Jeffrey G. Williamson, 2009. "Commodity Price Volatility and World Market Integration since 1700," The Institute for International Integration Studies Discussion Paper Series iiisdp280, IIIS.
- David S. Jacks & Kevin H. O'Rourke & Jeffrey G. Williamson, 2009. "Commodity Price Volatility and World Market Integration since 1700," NBER Working Papers 14748, National Bureau of Economic Research, Inc.
- David S. Jacks, Kevin H. O'Rourke and Jeffrey G. Williamson, 2009. "Commodity Price Volatility and World Market Integration since 1700," The Institute for International Integration Studies Discussion Paper Series iiisdp284, IIIS.
- Na Li & Alan Ker & Abdoul G. Sam & Satheesh Aradhyula, 2017. "Modeling regime-dependent agricultural commodity price volatilities," Agricultural Economics, International Association of Agricultural Economists, vol. 48(6), pages 683-691, November.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Dennis Bergmann & Declan O’Connor & Andreas Thümmel, 2016. "An analysis of price and volatility transmission in butter, palm oil and crude oil markets," Agricultural and Food Economics, Springer;Italian Society of Agricultural Economics (SIDEA), vol. 4(1), pages 1-23, December.
- Malte Müller & Markus Hanisch & Agustina Malvido & Jens Rommel & Julian Sagebiel, 2018. "The structural effect of cooperatives on price volatility in the European dairy sector," Applied Economics Letters, Taylor & Francis Journals, vol. 25(8), pages 576-579, May.
- Panos Fousekis & Christos Emmanouilides & Vasilis Grigoriadis, 2017. "Price linkages in the international skim milk powder market: empirical evidence from nonparametric and time-varying copulas," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 61(1), pages 135-153, January.
- Teresa Serra & José M. Gil, 2013.
"Price volatility in food markets: can stock building mitigate price fluctuations?,"
European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 40(3), pages 507-528, July.
- Serra, Teresa & Gil, Jose Maria, 2012. "Price volatility in food markets: can stock building mitigate price fluctuations?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126055, International Association of Agricultural Economists.
- Bohl, Martin T. & Sulewski, Christoph, 2019. "The impact of long-short speculators on the volatility of agricultural commodity futures prices," Journal of Commodity Markets, Elsevier, vol. 16(C).
- John Baffes & Bruce Gardner, 2003. "The transmission of world commodity prices to domestic markets under policy reforms in developing countries," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 6(3), pages 159-180.
- Kenneth Baltzer, 2013. "International to Domestic Price Transmission in Fourteen Developing Countries During the 2007-08 Food Crisis," WIDER Working Paper Series wp-2013-031, World Institute for Development Economic Research (UNU-WIDER).
- Alejandro Acosta & Alberto Valdes, 2014. "Errata: Vertical Price Transmission of Milk Prices: Are Small Dairy Producers Efficiently Integrated Into Markets?," Agribusiness, John Wiley & Sons, Ltd., vol. 30(2), pages 224-224, March.
- Rezitis, Anthony N. & Kastner, Gregor, 2021.
"On the joint volatility dynamics in international dairy commodity markets,"
Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 60(2), January.
- Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in international dairy commodity markets," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 65(3), pages 704-728, July.
- Christopher Gilbert & Wyn Morgan, 2010. "Has food price volatility risen?," Department of Economics Working Papers 1002, Department of Economics, University of Trento, Italia.
- Chavas, Jean-Paul & Kim, Kwansoo, 2005.
"An Econometric Analysis of Price Dynamics in the Presence of a Price Floor: The Case of American Cheese,"
Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 37(1), pages 21-35, April.
- Chavas, Jean-Paul & Kim, Kwansoo, 2005. "An Econometric Analysis of Price Dynamics in the Presence of a Price Floor: The Case of American Cheese," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 37(01), pages 1-15, April.
- Panos Fousekis & Emmanouil Trachanas, 2016. "Price transmission in the international skim milk powder markets," Applied Economics, Taylor & Francis Journals, vol. 48(54), pages 5233-5245, November.
- 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.
- Alejandro Acosta & Rico Ihle & Miguel Robles, 2014. "Spatial Price Transmission of Soaring Milk Prices From Global to Domestic Markets," Agribusiness, John Wiley & Sons, Ltd., vol. 30(1), pages 64-73, January.
- Nicholas Apergis & Anthony Rezitis, 2003. "Agricultural price volatility spillover effects: the case of Greece," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 30(3), pages 389-406, September.
- Panos Fousekis & Vasilis Grigoriadis, 2016. "Price co-movement in the principal skim milk powder producing regions: a wavelet analysis," Economics Bulletin, AccessEcon, vol. 36(1), pages 477-492.
- Szenderák, János & Popp, József & Harangi-Rákos, Mónika, 2019. "Price and Volatility Spillovers of the Producer Price of Milk between some EU Member States," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 68(2), June.
- Dawe, David, 2009. "Cereal Price Transmission in Several Large Asian Countries during the Global Food Crisis," Asian Journal of Agriculture and Development, Southeast Asian Regional Center for Graduate Study and Research in Agriculture (SEARCA), vol. 6(01), pages 1-12, June.
- Wang, Yudong & Wu, Chongfeng & Yang, Li, 2014. "Oil price shocks and agricultural commodity prices," Energy Economics, Elsevier, vol. 44(C), pages 22-35.
- John, Adam, 2013. "Price relations between export and domestic rice markets in Thailand," Food Policy, Elsevier, vol. 42(C), pages 48-57.
- López Cabrera, Brenda & Schulz, Franziska, 2016.
"Volatility linkages between energy and agricultural commodity prices,"
Energy Economics, Elsevier, vol. 54(C), pages 190-203.
- López Cabrera, Brenda & Schulz, Franziska, 2013. "Volatility linkages between energy and agricultural commodity prices," SFB 649 Discussion Papers 2013-042, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- David Dawe, 2009. "Cereal Price Transmission in Several Large Asian Countries during the Global Food Crisis," Asian Journal of Agriculture and Development, Southeast Asian Regional Center for Graduate Study and Research in Agriculture (SEARCA), vol. 6(1), pages 1-12, June.
- Anthony N. Rezitis & Dimitrios N. Pachis, 2020. "Investigating the price volatility transmission mechanisms of selected fresh vegetable chains in Greece," Journal of Agribusiness in Developing and Emerging Economies, Emerald Group Publishing Limited, vol. 10(5), pages 587-611, April.
- Fousekis, Panos & Grigoriadis, Vasilis, 2016. "Spatial price dependence by time scale: Empirical evidence from the international butter markets," Economic Modelling, Elsevier, vol. 54(C), pages 195-204.
- Fousekis, Panos & Emmanouilides, Christos & Grigoriadis, Vasilis, 2017. "Price linkages in the international skim milk powder market: empirical evidence from nonparametric and time-varying copulas," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 61(01), January.
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, "undated". "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Rezitis, Anthony N. & Kastner, Gregor, 2021.
"On the joint volatility dynamics in international dairy commodity markets,"
Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 60(2), January.
- Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in international dairy commodity markets," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 65(3), pages 704-728, July.
- Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in dairy markets," Papers 2104.12707, arXiv.org.
- Lee, Jim & Valera, Harold Glenn, 2015. "Price Transmission and Volatility Spillovers in Asian Rice Markets: Evidence from a Panel GARCH Model," MPRA Paper 123468, University Library of Munich, Germany.
- Rezitis, Anthony N. & Rokopanos, Andreas & Tsionas, Mike G., 2021. "Investigating dynamic price co-movements in the international milk market using copulas: The role of trade agreements," Economic Modelling, Elsevier, vol. 95(C), pages 215-227.
- Rezitis, Anthony N. & Rokopanos, Andreas, 2019.
"Impact of trade liberalisation on dairy market price co-movements between the EU, Oceania, and the United States,"
Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 63(3), July.
- Anthony N. Rezitis & Andreas Rokopanos, 2019. "Impact of trade liberalisation on dairy market price co‐movements between the EU, Oceania, and the United States," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 63(3), pages 472-498, July.
- Valera, Harold Glenn & Ashok, Mishra & Valerien, Pede & Takashi, Yamano & David, Dawe, 2023. "Domestic and International Impacts of Rice Export Restrictions: The Recent Case of Indian Non-Basmati Rice," MPRA Paper 123305, University Library of Munich, Germany, revised 18 Mar 2024.
- Dimitrios Panagiotou & Athanassios Stavrakoudis, 2023.
"Price dependence among the major EU extra virgin olive oil markets: a time scale analysis,"
Review of Agricultural, Food and Environmental Studies, Springer, vol. 104(1), pages 1-26, March.
- Panagiotpu, Dimitrios & Stavrakoudis, Athanassios, 2021. "Price dependence among the major EU extra virgin olive oil markets: A time scale analysis," MPRA Paper 114656, University Library of Munich, Germany, revised Jun 2022.
- 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.
- Bathia, Deven & Bouras, Christos & Demirer, Riza & Gupta, Rangan, 2020.
"Cross-border capital flows and return dynamics in emerging stock markets: Relative roles of equity and debt flows,"
Journal of International Money and Finance, Elsevier, vol. 109(C).
- Deven Bathia & Christos Bouras & Riza Demirer & Rangan Gupta, 2019. "Cross-Border Capital Flows and Return Dynamics in Emerging Stock Markets: Relative Roles of Equity and Debt Flows," Working Papers 201937, University of Pretoria, Department of Economics.
- Dennis Bergmann & Declan O’Connor & Andreas Thümmel, 2016. "An analysis of price and volatility transmission in butter, palm oil and crude oil markets," Agricultural and Food Economics, Springer;Italian Society of Agricultural Economics (SIDEA), vol. 4(1), pages 1-23, December.
- Wilman-Santiago Ochoa-Moreno & Byron Alejandro Quito & Carlos Andrés Moreno-Hurtado, 2021. "Foreign Direct Investment and Environmental Quality: Revisiting the EKC in Latin American Countries," Sustainability, MDPI, vol. 13(22), pages 1-18, November.
- Chebli Mongi & Kais Saidi, 2024. "The Impact of Corruption, Government Effectiveness, FDI, and GFC on Economic Growth: New Evidence from Global Panel of 48 Middle-Income Countries," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(3), pages 10696-10721, September.
- Tsangyao Chang & Tsung-Pao Wu & Rangan Gupta, 2015.
"Are house prices in South Africa really nonstationary? Evidence from SPSM-based panel KSS test with a Fourier function,"
Applied Economics, Taylor & Francis Journals, vol. 47(1), pages 32-53, January.
- Tsangyao Chang & Tsung-pao Wu & Rangan Gupta, 2013. "Are House Prices in South Africa Really Non-Stationary? Evidence from SPSM-Based Panel KSS Test with a Fourier Function," Working Papers 201324, University of Pretoria, Department of Economics.
- Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006.
"Econometrics: A Bird’s Eye View,"
Cambridge Working Papers in Economics
0655, Faculty of Economics, University of Cambridge.
- Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute of Labor Economics (IZA).
- John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series 1870, CESifo.
- Hakimi, Abdelaziz & Hamdi, Helmi, 2016.
"Trade liberalization, FDI inflows, environmental quality and economic growth: A comparative analysis between Tunisia and Morocco,"
Renewable and Sustainable Energy Reviews, Elsevier, vol. 58(C), pages 1445-1456.
- hakimi, Abdelaziz & Hamdi, Helmi, 2015. "Trade liberalization, FDI inflows, Environmental quality and Economic growth: A comparative analysis between Tunisia and Morocco," MPRA Paper 63799, University Library of Munich, Germany.
- Abdelaziz Hakimi & Helmi Hamdi, 2016. "Trade liberalization, FDI inflows, environmental quality and economic growth: A comparative analysis between Tunisia and Morocco," Post-Print halshs-01902749, HAL.
- Guneratne B Wickremasinghe & Jae H Kim, 2008. "Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 7(2), pages 169-196, August.
- Alberto Bagnai, 2010. "CEEC vs. PIGS: a comparative panel assessment of financial sustainability and twin deficits," Working Papers LuissLab 1088, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Ghulam MOHEY-UD-DIN* & Muhammad Wasif SIDDIQI**, 2017. "GDP FLUCTUATIONS AND LONG-RUN ECONOMIC GROWTH: A Study of Selected South Asian Countries," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 27(1), pages 41-66.
- Ahlgren, Niklas & Sjö, Bo & Zhang, Jianhua, 2008. "Panel Cointegration of Chinese A and B Shares," Working Papers in Economics 300, University of Gothenburg, Department of Economics.
- Valérie Mignon & Christophe Hurlin, 2005.
"Une synthèse des tests de racine unitaire sur données de panel,"
Économie et Prévision, Programme National Persée, vol. 169(3), pages 253-294.
- Christophe Hurlin & Valérie Mignon, 2005. "Une synthèse des tests de racine unitaire sur données de panel," Economie & Prévision, La Documentation Française, vol. 0(3), pages 253-294.
- Christophe Hurlin & V. Mignon, 2005. "Une Synthèse des Tests de Racine Unitaire en sur Données de Panel," Post-Print halshs-00257324, HAL.
- Christophe Hurlin & Valérie Mignon, 2006. "Une Synthèse des Tests de Racine Unitaire sur Données de Panel," Post-Print halshs-00078770, HAL.
More about this item
Keywords
Conditional volatility; Implied conditional cross-correlation; Panel-GARCH; Global food crisis; C33; C51; F14; L11;All these keywords.
JEL classification:
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- F14 - International Economics - - Trade - - - Empirical Studies of Trade
- L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:jadeep:jadee-02-2022-0027. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.