Dynamic Transmissions and Volatility Spillovers between Global Price and U.S. Producer Price in Agricultural Markets
Dynamic Transmissions and Volatility Spillovers between Global Price and U.S. Producer Price in Agricultural Markets
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DOI：
10.3390/jrfm13040083
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发表时间：
2020-04
影响因子：
--
通讯作者：
Jin Guo;Tetsuji Tanaka
中科院分区：
文献类型：
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作者：
Jin Guo;Tetsuji Tanaka
相当多的研究审查了粮食进口国的全球价格与当地价格之间的关系，但国际价格与大型农业出口国的生产者价格之间的联系在很大程度上被忽视了。本文利用多元Baba-Engle-Kraft Kroner规范（VECM-GARCH-BEKK）和互相关函数（CCF）的向量误差修正广义自回归条件异方差模型，分析了小麦、大豆和玉米市场的世界价格与美国生产者价格之间的关系。我们的研究结果首先表明，三种农作物的国际和美国生产者价格之间存在长期均衡关系。研究还发现，这些作物的国际和美国生产者价格之间存在显著的双向均价因果关系和方差因果关系。最后，实证结果表明，国际小麦和玉米价格在美国本地市场的回报传导中起主导作用，美国小麦价格可以被认为是全球小麦价格波动传导的领先指标。
A considerable number of studies have examined the relationship between global prices and local prices in food-importing nations, but the linkages between international prices and the producer prices of large agricultural exporters have been largely ignored. This paper analyzes the connections between world prices and U.S. producer prices in the wheat, soybeans, and corn markets using a vector error correction generalized autoregressive conditional heteroscedastic model with a multivariate Baba-Engle-Kraft Kroner specification (VECM-GARCH-BEKK) and cross-correlation function (CCF). Our findings indicate firstly that a long-run equilibrium relationship exists between international and U.S. producer prices for the three agricultural crops. It also finds a significant bidirectional causality-in-mean and causality-in-variance between international and U.S. producer prices for these crops. Finally, the empirical results suggest that international wheat and corn prices play a leading role in U.S. local markets in return transmissions and that U.S. wheat price can be considered to be a leading indicator of the global wheat price in volatility transmissions.