Modelling price transmission and volatility spillover in the Slovenian wheat market
| Autor: | Štefan Bojnec, Jose Maria Gil, Islam Hassouneh, Teresa Serra |
|---|---|
| Přispěvatelé: | Universitat Politècnica de Catalunya. Departament d'Enginyeria Agroalimentària i Biotecnologia, Universitat Politècnica de Catalunya. CREDA - Centre de Recerca en Economia i Desenvolupament Agroalimentari |
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Macroeconomics
Economics and Econometrics Heteroscedasticity media_common.quotation_subject Slovenia Enginyeria agroalimentària::Agricultura::Conreus herbacis extensius [Àrees temàtiques de la UPC] wheat 0502 economics and business Econometrics Economics 050207 economics C32 media_common 2. Zero hunger 05 social sciences Cartel Volatility spillover threshold model Q11 Blat -- Eslovènia Interest rate Autoregressive model Producer–consumer problem Volatility Wheat--Slovenia Agrotech 050202 agricultural economics & policy Threshold model Volatility (finance) MGARCH model |
| Zdroj: | UPCommons. Portal del coneixement obert de la UPC Universitat Politècnica de Catalunya (UPC) Recercat. Dipósit de la Recerca de Catalunya instname |
| Popis: | Interdependence between first and second moments of producer and consumer wheat prices in Slovenia is assessed, in light of the recent major historical events that the country has undergone, as well as the recent rumours of cartel agreements between millers causing a decline in farm-gate prices, while leaving consumer prices untouched. A threshold vector error correction and multivariate generalized autoregressive conditional heteroscedasticity model with exogenous variables is applied. Results indicate that price-level adjustments mainly favour 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. the European Union Seventh Framework Programme (FP7-KBBE- 2010-4) under grant agreement number 265601. |
| Databáze: | OpenAIRE |
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