Modelling price transmission and volatility spillover in the Slovenian wheat market

Islam Hassouneh, Teresa Serra, Štefan Bojnec, José M. Gil

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish (US)
Pages (from-to)4116-4126
Number of pages11
JournalApplied Economics
Volume49
Issue number41
DOIs
StatePublished - Sep 2 2017

Keywords

  • MGARCH model
  • Slovenia
  • Volatility
  • threshold model
  • wheat

ASJC Scopus subject areas

  • Economics and Econometrics

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