Modeling price transmission and volatility spillover in the Slovenian wheat market

Interdependence between first and second moments of producer and consumer wheat prices in Slovenia is assessed. A joint estimation of a threshold vector error and MGARCH models with exogenous variables in the conditional mean and conditional covariance equations are applied for such purpose. Results indicate that price-level adjustments mainly favor retailers by increasing their marketing margins. Important second-moment interactions are also identified. Increases in international wheat stocks reduce producer prices, while higher interest rates increase their instability.


Issue Date:
2015
Publication Type:
Conference Paper/ Presentation
Record Identifier:
http://ageconsearch.umn.edu/record/211711
PURL Identifier:
http://purl.umn.edu/211711
Total Pages:
21
JEL Codes:
C22; Q11




 Record created 2017-04-01, last modified 2018-01-23

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