Price Transmission and Volatility Spillovers in Asian Rice Markets: Evidence from a Panel GARCH Model

Lee, Jim and Valera, Harold Glenn (2015): Price Transmission and Volatility Spillovers in Asian Rice Markets: Evidence from a Panel GARCH Model. Published in: The International Trade Journal , Vol. 30, No. 1 (14 June 2015): pp. 14-32.

Abstract

This study examines world rice price transmission and volatility spillovers across major Asian rice markets over the period 2005-2013. In addition to the conventional GARCH models, we use a panel GARCH framework to estimate the spillover effects along with the consideration of heterogeneity and interdependence among six countries—Bangladesh, China, India, the Philippines, Thailand and Vietnam. Empirical results suggest that changes in the world price of rice and the 2007-2008 price shocks affected not only the price levels of domestic rice markets but also their conditional variances. Moreover, interdependence across those rice markets contributed to a strong spillover of a price shock in one country to another within the region.

• Item Type: MPRA Paper
• Language: English
• Keywords: Rice market, price transmission, volatility spillover, GARCH, food policy
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q1 - Agriculture

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