Modelling price transmission and volatility spillover in the Slovenian wheat market
| dc.contributor.author | Hassouneh, Islam | |
| dc.contributor.author | Serra, Teresa | |
| dc.contributor.author | Bojnec, Štefan | |
| dc.contributor.author | M Gil, José | |
| dc.date.accessioned | 2022-02-03T11:35:47Z | |
| dc.date.accessioned | 2022-05-22T08:55:49Z | |
| dc.date.available | 2022-02-03T11:35:47Z | |
| dc.date.available | 2022-05-22T08:55:49Z | |
| dc.date.issued | 2017-09-02 | |
| dc.description | 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. | en_US |
| dc.description.abstract | Interdependence between first and second moments of producer and consumer wheat prices in Slovenia is assessed. A joint estimation of a threshold vector error and MGARCH models with exogenous variables in the conditional mean and conditional covariance equations are applied for such purpose. Results indicate that price-level adjustments mainly favor 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. | en_US |
| dc.identifier.uri | http://localhost:8080/xmlui/handle/123456789/8404 | |
| dc.language.iso | en | en_US |
| dc.publisher | Routledge | en_US |
| dc.subject | Volatility, threshold model, MGARCH model | en_US |
| dc.title | Modelling price transmission and volatility spillover in the Slovenian wheat market | en_US |
| dc.type | Article | en_US |