Determination of The Price Transmission Mechanism in Shrimp Market of Iran (Application of Bivariate GARCH Model)

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BAGHESTANI ALI AKBAR; RAHIMI REZA

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Paper Information

Journal: Journal of Economic Modelling Year:2019 | Volume:13 | Issue:1 (45) Page(s): 137-157

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Information Journal Paper

Title

Determination of The Price Transmission Mechanism in Shrimp Market of Iran (Application of Bivariate GARCH Model)

Author(s)

BAGHESTANI ALI AKBAR | RAHIMI REZA | Issue Writer Certificate

Keywords

JEL Classification:Q13Q1

Q22Q3

E30.Keywords:Price TransmissionQ2

ShrimpQ1

MarketQ1

Houck MethodQ1

Bivariate GARCHQ1

Abstract

The main objective of this paper is determination of the price transmission mechanism in Shrimp Market of Iran by using Bivariate GARCH model. The monthly data during 1380: 1-1394: 4 was used. The results indicated that the rate of change in retail prices is partially causes changes in wholesale prices. So that one unit increase in the retail price index would increase less than one unit (0. 2 units) Wholesale Price Index. Therefore, the price transmission in Shrimp Market is imperfect. The result of Houck Method indicated that price transmission in the Shrimp Market is asymmetric and, speed of transmission in increasing price is more than decreasing prices. Therefore, according to the policy of reforming Shrimp imperfect Market, the government must attended to non-price supporting Policies.

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APA: Copy

BAGHESTANI, ALI AKBAR, & RAHIMI, REZA. (2019). Determination of The Price Transmission Mechanism in Shrimp Market of Iran (Application of Bivariate GARCH Model). ECONOMIC MODELLING, 13(1 (45) ), 137-157. SID. https://sid.ir/paper/176282/en

Vancouver: Copy

BAGHESTANI ALI AKBAR, RAHIMI REZA. Determination of The Price Transmission Mechanism in Shrimp Market of Iran (Application of Bivariate GARCH Model). ECONOMIC MODELLING[Internet]. 2019;13(1 (45) ):137-157. Available from: https://sid.ir/paper/176282/en

IEEE: Copy

ALI AKBAR BAGHESTANI, and REZA RAHIMI, “Determination of The Price Transmission Mechanism in Shrimp Market of Iran (Application of Bivariate GARCH Model),” ECONOMIC MODELLING, vol. 13, no. 1 (45) , pp. 137–157, 2019, [Online]. Available: https://sid.ir/paper/176282/en

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