Modelling price transmission and volatility spillover in the Slovenian wheat market
Visualitza/Obre
10.1080/00036846.2016.1276273
Inclou dades d'ús des de 2022
Cita com:
hdl:2117/114526
Tipus de documentArticle
Data publicació2017-01-01
Condicions d'accésAccés obert
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Reconeixement-NoComercial-SenseObraDerivada 3.0 Espanya
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.
CitacióHassouneh, I., Serra, T., Bojnec, Š., Gil, J.M. Modelling price transmission and volatility spillover in the Slovenian wheat market. "Applied economics", 1 Gener 2017, vol. 49, núm. 41, p. 4116-4126.
ISSN0003-6846
Versió de l'editorhttp://www.tandfonline.com/doi/full/10.1080/00036846.2016.1276273
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APE-2016-0234R1.docx | Artículo principal. Versión final enviada a Editor | 281,5Kb | Microsoft Word 2007 | Visualitza/Obre |