The literature on agricultural commodity price volatility in Nigeria has constantly reflected that an excessive price movement is harmful for both producers and consumers, particularly for those who are not able to cope with that new source of economic uncertainty. It has also raised an extensive debate on the main determinants behind the large agricultural commodity price swings observed in the last years without recourse for the price generating process. To narrow this gap, the study examined the price generating process and volatility in the Nigerian agricultural commodities market using secondary data for price series on meat, cereals, sugar, dairy and aggregate food for the period of January 1990 to February 2014. The data were analysed using the linear Gaussian State-Space (SS) model. The results of the descriptive statistics showed that the coefficients of variation for cereals (39.88%), food (32.65%) and dairy price (43.08%) were respectively higher during the overall time period (January 1990 to February 2014) than during the first (January 1990 to January 2002) and second (February 2002 to February 2014) sub-time periods. The results of the inferential statistics showed that authoregressive moving average (ARMA) model is the most selected Nigeria agricultural commodity price generating model for the time periods, that a unit increase in the past price state of cereals, dairy, sugar, meat and aggregate food would increase the future price of sugar, meat and aggregate food by N0.14, N0.28 and N0.15 respectively but decrease future price of cereals and dairy by about N1.00 and N0.21 respectively, and that the one-step ahead predicted value for the first out-of-sample period for cereals, meat, dairy and sugar price were 6317.86, 10.24 and 2.06 respectively. The Nigerian agricultural commodity prices have experienced high variability over the period, and such volatility, price-generating process and the determinants of the Nigerian food commodities prices can best be described by the simple ARMA model with time-variant hyperparameters.

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Publication Type:
Journal Article
DOI and Other Identifiers:
ISSN 2147-8988 (Other)
E-ISSN: 2149-3766 (Other)
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Published in:
International Journal of Food and Agricultural Economics, Volume 03, Number 4
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Series Statement:
Vol 3
No 4

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

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