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Information Journal Paper

Title

PRICE RELATIONSHIPS AND SPILLOVER EFFECTS OF PRICE VOLATILITIESIN IRAN'S RICE MARKET

Pages

  429-438

Abstract

 Rice plays an especial role in Iranian households' nutritionbasket. The volatilities of its price during recent yearscaused consumers' dissatisfaction. This paper investigatesspillover effects of price volatilities (at the wholesale andretail levels) in the Guilan Province rice market. The GeneralizedAutoregressive Conditional Hetroscedasitic (GARCH) modelwas used for the monthly time period of 1999 to 2013. As theresults of the UNIT ROOT TESTs showed, the monthly time series ofSadri-Momtaz variety wholesale price and Sadri-Momtazvariety retail price have unit roots in zero frequency or theyare I(1). Considering the amounts of trace and maximum eigenvalues statistics, there is a long-run relationship between Sadri-Momtaz variety wholesale and retail monthly price time series. Coefficients of normalized COINTEGRATION vector showedthat, with one percent increase (decrease) in retail price, it would be likely that wholesale price could increase (decrease)by 0. 99 percent. Results of GRACH model revealedthat spillover effects exist from the retail price to the wholesaleprice and vice versa. In addition, price VOLATILITY in retail andwholesale levels had positive and significant effects on its ownlevel price VOLATILITY. Accordingly, providing proper policypackages in both supply and demand sides were advised.

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    APA: Copy

    KAVOUSI KALASHAMI, MOHAMMAD, & KAVOOSI KALASHAMI, MOHSEN. (2017). PRICE RELATIONSHIPS AND SPILLOVER EFFECTS OF PRICE VOLATILITIESIN IRAN'S RICE MARKET. INTERNATIONAL JOURNAL OF AGRICULTURAL MANAGEMENT AND DEVELOPMENT (IJAMAD), 7(4), 429-438. SID. https://sid.ir/paper/711164/en

    Vancouver: Copy

    KAVOUSI KALASHAMI MOHAMMAD, KAVOOSI KALASHAMI MOHSEN. PRICE RELATIONSHIPS AND SPILLOVER EFFECTS OF PRICE VOLATILITIESIN IRAN'S RICE MARKET. INTERNATIONAL JOURNAL OF AGRICULTURAL MANAGEMENT AND DEVELOPMENT (IJAMAD)[Internet]. 2017;7(4):429-438. Available from: https://sid.ir/paper/711164/en

    IEEE: Copy

    MOHAMMAD KAVOUSI KALASHAMI, and MOHSEN KAVOOSI KALASHAMI, “PRICE RELATIONSHIPS AND SPILLOVER EFFECTS OF PRICE VOLATILITIESIN IRAN'S RICE MARKET,” INTERNATIONAL JOURNAL OF AGRICULTURAL MANAGEMENT AND DEVELOPMENT (IJAMAD), vol. 7, no. 4, pp. 429–438, 2017, [Online]. Available: https://sid.ir/paper/711164/en

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