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Modeling price transmission and volatility spillover in the Slovenian wheat market

Author

Listed:
  • Hassouneh, Islam
  • Serra, Teresa
  • Bojnec, Stefan
  • Gil, Jose M.

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.

Suggested Citation

  • Hassouneh, Islam & Serra, Teresa & Bojnec, Stefan & Gil, Jose M., 2015. "Modeling price transmission and volatility spillover in the Slovenian wheat market," 2015 Conference, August 9-14, 2015, Milan, Italy 211711, International Association of Agricultural Economists.
    • Handle: RePEc:ags:iaae15:211711
    DOI: 10.22004/ag.econ.211711
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    Cited by:

    1. Gökhan Cebiroğlu & Kujtim Avdiu & Stephan Unger, 2022. "On the dynamic price pass-through effect of commodities to CPI constituents," SN Business & Economics, Springer, vol. 2(3), pages 1-12, March.
    2. Hugo Ferrer-Pérez & Fadi Abdelradi & José M. Gil, 2020. "Geographical Indications and Price Volatility Dynamics of Lamb Prices in Spain," Sustainability, MDPI, vol. 12(7), pages 1-17, April.
    3. Juan M. C. Larrosa & Leandro Meller & Juan I. Uriarte & Gonzalo R. Ramírez Muñoz de Toro, 2023. "Retail coffee pricing dynamics in Argentina," SN Business & Economics, Springer, vol. 3(8), pages 1-21, August.
    4. Federico Antonioli & Monia Ben Kaabia & Filippo Arfini & José M. Gil, 2019. "Price transmission dynamics for quality‐certified food products: A comparison between conventional and organic fluid milk in Italy," Agribusiness, John Wiley & Sons, Ltd., vol. 35(3), pages 374-393, July.
    5. Waqar Badshah & Mehmet Bulut, 2020. "Model Selection Procedures in Bounds Test of Cointegration: Theoretical Comparison and Empirical Evidence," Economies, MDPI, vol. 8(2), pages 1-23, June.
    6. Sanghyo Kim & Carl Zulauf, 2019. "Crowding out of private stocks by public stocks," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 65(11), pages 520-528.
    7. Kristína Hudecová & Miroslava Rajčániová, 2023. "The impact of geopolitical risk on agricultural commodity prices," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 69(4), pages 129-139.

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