How does the self-sufficiency rate affect international price volatility transmissions in the wheat sector? Evidence from wheat-exporting countries
How does the self-sufficiency rate affect international price volatility transmissions in the wheat sector? Evidence from wheat-exporting countries
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DOI：
10.1057/s41599-020-0510-8
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发表时间：
2020-07-09
影响因子：
--
通讯作者：
Guo, Jin
中科院分区：
文献类型：
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作者：
Tanaka, Tetsuji;Guo, Jin
关于国际粮食价格或波动传导的研究集中在进口国，在很大程度上低估了粮食出口国粮食不安全或粮食贫困问题的重要性。本文利用Glosten、Jagannathan和Runkle广义自回归条件异方差（GJR-GARCH）模型和动态条件相关（DCC）指标，分析了全球小麦价格和区域小麦出口国价格之间的因果关系，并探讨了价格波动传递的决定因素。研究结果表明，世界和当地价格之间的因果关系是双向的，自给自足在减少国际价格波动溢出效应方面发挥着重要作用。此外，玉米或大米等替代商品的消费起到了减震器的作用，减轻了国际市场波动的传导。由于COVID-19危机，加上俄罗斯及哈萨克斯坦对谷物商品的出口限制以及国际运输及供应链中断等各种因素，沿着许多国家的食品价格更加不稳定。根据我们的分析结果，高度自给自足或自给自足的政策可以帮助抵御这些突发事件对美国等出口国当地零售市场的冲击。
Research on international food prices or volatility transmission have concentrated on importing countries and have largely underestimated the importance of food insecurity or food poverty issues in food-exporting countries. This article identifies the causality between global and regional wheat pric in exporting countries and explores the determinants of price volatility pass-throughs using a Glosten, Jagannathan and Runkle generalised autoregressive conditional heteroskedasticity (GJR-GARCH) model with dynamic conditional correlation (DCC) specifications. Findings indicate that causal relationships between world and local prices are bi-directional and that self-sufficiency plays an important role in reducing international price volatility spillovers. Moreover, the consumption of substitute goods such as maize or rice functions as a shock absorber, alleviating volatility transmissions from the international market. Due to the COVID-19 crisis, food prices are more destabilised in many countries, along with various factors such as Russia's and Kazakhstan's export restrictions on grain commodites and international transport and supply chain disruptions. Based on the findings of our analysis, high self-sufficiency or autarky policies could help resilience to the shocks from these unexpected events against local retail markets in exporting countries such as the United States.