International price volatility transmission and structural change: a market connectivity analysis in the beef sector
International price volatility transmission and structural change: a market connectivity analysis in the beef sector
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DOI：
10.1057/s41599-020-00657-x
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发表时间：
2020-12
影响因子：
3.5
通讯作者：
Tetsuji Tanaka;Jin Guo
中科院分区：
文献类型：
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作者：
Tetsuji Tanaka;Jin Guo
尽管有大量关于农产品价格传导以及牛海绵状脑病和COVID-19等传染病爆发意外中断价值链的文献，但国际牛肉市场价格关联性研究的重要性在很大程度上被忽视了。为了评估农产品价格传导问题，主要采用了误差修正型模型。然而，这些模型的不足之处在于，该方法无法描述价格之间随时间变化的联系。本文研究了全球和本地价格之间的联系，以及牛肉行业的价格波动。我们的分析使用了广义自回归条件异方差（GARCH）模型与动态条件相关（DCC）规范，使我们能够识别市场连接强度动态。在整个研究过程中，我们对结构变化给予了高度关注，以提高估计的可靠性。在肉类或粮食价格传导研究中，我们的自回归模型第一次为DCC开发了结构突变虚拟变量。主要研究结果是：（1）阿塞拜疆、格鲁吉亚、日本、哈萨克斯坦、吉尔吉斯斯坦、塔吉克斯坦和英国的当地零售价格在均值或方差方面显示出结构性变化，所有这些都是在2007-2009年全球粮食危机之后确定的，（2）国际价格在均值和波动性方面都单向地导致了格鲁吉亚、塔吉克斯坦和美国的区域价格（3）全球和本地牛肉市场之间的波动联系普遍较弱，但价格波动在2008年全球粮食危机前后表现出更密切的同步性，这在此期间造成了结构性变化。这一发现意味着，在全球紧急情况下，各国政府应该通过实施配额或税收等贸易限制措施，保护国内市场免受全球市场的影响。
Despite the abundance of literature on agricultural price transmissions and unexpectedly disrupted value chains from infectious disease outbreaks such as bovine spongiform encephalopathy and COVID-19, the importance of research on price connectivity in the international beef markets has largely been ignored. To assess agricultural price transmission issues, error correction-type models (ECMs) have been predominantly employed. These models, however, suffer a deficiency in that the method is incapable of depicting time-variant linkages between prices. This article examines the connections between global and local prices, as well as price volatility in the beef sector. Our analysis uses a generalised autoregressive conditional heteroscedasticity (GARCH) model with the dynamic conditional correlation (DCC) specification that enables us to identify market connection intensity dynamics. We pay assiduous attention to structural changes in the overall research processes to enhance the reliability of estimation. For the first time in meat or grain price transmission research, our autoregressive models have been developed with structural break dummy variables for DCC. The principal findings are that (1) local retail prices for Azerbaijan, Georgia, Japan, Kazakhstan, Kyrgyzstan, Tajikistan and the UK showed a structural change in mean or variance, all of which were identified after the global food crisis from 2007–2009,(2) international prices unidirectionally Granger-cause regional prices in Georgia, Tajikistan and the United States in both mean and volatility (accordingly, no country exhibited price or price-volatility transmission from regional to international markets), and (3) volatility liaisons between global and local beef markets are generally weak, but price volatility exhibited closer synchronisation around the 2008 global food crisis, which created structural changes during the period. This finding implies that national governments should shield domestic from global markets by implementing trade restrictions such as quotas or taxes in a global emergency.