IDEAS home Printed from
   My bibliography  Save this article

Do Futures Stabilize The Volatility Of The Agricultural Spot Prices? Evidence From Thailand



    () (Assumption University of Thailand, Thailand)


This paper applies ARIMA-GARCH and ARIMA-TARCH with the dummy variable to explore whether futures in The Agricultural Futures Exchange of Thailand (AFET) can stabilize the spot prices volatility or not. Using the three spot prices of the futures’ underlying products which are still trading in the market at the present; Ribbed Smoked Sheet no.3 (RSS3), Tapioca Chip (TC), and White Rice 5% (BWR5), to model the volatility series and make a comparison between the period of the presence and the absence of having the futures trading. The result is found that the AFET’s futures have not affected the spot prices’ volatility for Ribbed Smoked Sheet no.3 and White Rice 5%. While, Tapioca Chip price is more volatile after AFET started operating. This can be implied that AFET’s futures cannot stabilize the agricultural spot prices.

Suggested Citation

  • Teerapong PINJISAKIKOOL, 2009. "Do Futures Stabilize The Volatility Of The Agricultural Spot Prices? Evidence From Thailand," EuroEconomica, Danubius University of Galati, issue 1(22), pages 47-57, May.
  • Handle: RePEc:dug:journl:y:2009:i:1:p:47-57c:dug:journl:y:2009:i:1:p:47-57

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. Manuela Goretti, 2008. "Wage-Price Setting in New EU Member States," IMF Working Papers 08/243, International Monetary Fund.
    2. Saikkonen, Pentti & L tkepohl, Helmut, 1999. "Local Power Of Likelihood Ratio Tests For The Cointegrating Rank Of A Var Process," Econometric Theory, Cambridge University Press, vol. 15(01), pages 50-78, February.
    3. Sara lemos, 2004. "The Effects of the Minimum Wage on Wages, Employment and Prices," Discussion Papers in Economics 04/10, Department of Economics, University of Leicester.
    4. Sara Lemos, 2004. "Empirical Equations to Estimate the Effect of the Minimum Wage on Prices," Discussion Papers in Economics 04/24, Department of Economics, University of Leicester.
    5. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    6. Sara Lemos, 2004. "The Effects of the Minimum Wage on Prices in Brazil," Labor and Demography 0403011, EconWPA.
    7. Lemos, Sara, 2004. "The Effect of the Minimum Wage on Prices," IZA Discussion Papers 1072, Institute for the Study of Labor (IZA).
    8. Jonas Andersson, 2005. "Testing for Granger causality in the presence of measurement errors," Economics Bulletin, AccessEcon, vol. 3(47), pages 1-13.
    9. Sara Lemos, 2006. "Anticipated effects of the minimum wage on prices," Applied Economics, Taylor & Francis Journals, vol. 38(3), pages 325-337.
    10. Carlos José Garcia & Jorge Enrique Restrepo, 2001. "Price and wage inflation in Chile," BIS Papers chapters,in: Bank for International Settlements (ed.), Modelling aspects of the inflation process and the monetary transmission mechanism in emerging market countries, volume 8, pages 109-130 Bank for International Settlements.
    11. Jack Strauss & Mark E. Wohar, 2004. "The Linkage between Prices, Wages, and Labor Productivity: A Panel Study of Manufacturing Industries," Southern Economic Journal, Southern Economic Association, vol. 70(4), pages 920-941, April.
    12. Moschos, D, 1983. "Aggregate Price Responses to Wage and Productivity Changes: Evidence from the U.S," Empirical Economics, Springer, vol. 8(3-4), pages 169-175.
    13. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-552, September.
    14. Sara Lemos, 2004. "The Effect of the Minimum Wage on Prices across Income Levels in Brazil," Discussion Papers in Economics 04/22, Department of Economics, University of Leicester.
    Full references (including those not matched with items on IDEAS)

    More about this item


    AFET; Futures Market; Variance Model;


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:dug:journl:y:2009:i:1:p:47-57c:dug:journl:y:2009:i:1:p:47-57. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Florian Nuta). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.