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

Author

Listed:
  • Lee, Jim
  • Valera, Harold Glenn

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.

Suggested Citation

  • 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.
    • Handle: RePEc:pra:mprapa:123468
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    File URL: https://mpra.ub.uni-muenchen.de/123468/1/MPRA_paper_123468.pdf
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    More about this item

    Keywords

    Rice market; price transmission; volatility spillover; GARCH; food policy;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • Q1 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture

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