Volatility Spill-over in a Customs Union: The Case of South Africa Sheep Import from Namibia
Prices guide economic agents’ resource allocation and output mix decisions. The extent of price transmission determines the nature of market integration. Volatility spill-over in spatially linked agricultural markets has been investigated, but not across borders. We developed an E-GARCH model which enabled us to explore various properties of price volatility – volatility persistence, asymmetric interference and volatility spill-over. We found the existence of significant volatility spill-over within the South African Customs Union (SACU) using sheep price data in Namibia and South Africa, especially with the introduction of Small Livestock Marketing Scheme (SLMS) in namibia. The results show more stickiness in the retail market than the wholesale market in South Africa (90% and 49%), suggesting a greater impact of price volatility on South Africa consumers than the processors. In terms of volatility spill-over, the asymmetric effect is significant at 5 percent suggesting that these two markets are somewhat integrated, since the incidence of volatility spill-over from Namibia has influenced price information transmission in the South African sheep market. Furthermore, 79 percent of the volatility in the Namibian market is transmitted through sheep meat retail prices to the South African sheep market. The measure of volatility persistence is significant; indicating that 45 percent of the volatility transmitted to the South African sheep market is persistent.
|Date of creation:||Sep 2010|
|Contact details of provider:|| Postal: c/o FORMAT, 5th Floor, Muthaiga Mini Market, Limuru Road, P.O. Box 79 - 00621 Village Market, Nairobi, Kenya|
Phone: 254 20 6752866
Web page: http://www.aaae-africa.org
More information through EDIRC
Web page: http://www.aeasa.org.za/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jochen Meyer & Stephan Cramon-Taubadel, 2004.
"Asymmetric Price Transmission: A Survey,"
Journal of Agricultural Economics,
Wiley Blackwell, vol. 55(3), pages 581-611.
- Meyer, Jochen & von Cramon-Taubadel, Stephan, 2002. "Asymmetric Price Transmission: A Survey," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24822, European Association of Agricultural Economists.
- Rezitis, Anthony N., 2003. "Volatility Spillover Effects in Greek Consumer Meat Prices," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 4(1), January.
- Philip Kostov, 2004. "Agricultural price volatility spill-over effects: a comment," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 31(4), pages 481-485, December.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Giliola Frey & Matteo Manera, 2007. "Econometric Models Of Asymmetric Price Transmission," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 349-415, 04.
- Matteo Manera & Giliola Frey, 2005. "Econometric Models of Asymmetric Price Transmission," Working Papers 2005.100, Fondazione Eni Enrico Mattei.
- Apergis, Nicholas & Rezitis, Anthony, 2001. "Asymmetric Cross-Market Volatility Spillovers: Evidence from Daily Data on Equity and Foreign Exchange Markets," Manchester School, University of Manchester, vol. 69(0), pages 81-96, Supplemen.
- Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
- Haigh, Michael S. & Bryant, Henry L., 2001. "The effect of barge and ocean freight price volatility in international grain markets," Agricultural Economics, Blackwell, vol. 25(1), pages 41-58, June.
- Anthony Rezitis, 2003. "Mean and volatility spillover effects in Greek producer-consumer meat prices," Applied Economics Letters, Taylor & Francis Journals, vol. 10(6), pages 381-384.
- Natcher, William C. & Weaver, Robert D., 1999. "The Transmission Of Price Volatility In The Beef Markets," 1999 Annual meeting, August 8-11, Nashville, TN 21511, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Sarker, Rakhal & Jaramillo-Villanueva, Jose Luis, 2007. "Exchange Rate Sensitivity of Mexican Maize Imports from the United States," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 9864, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Haigh, Michael S. & Bryant, Henry L., 2001. "The effect of barge and ocean freight price volatility in international grain markets," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 25(1), June.
- Mario Reyes, 2001. "Asymmetric volatility spillover in the Tokyo stock exchange," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 25(2), pages 206-213, June.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Elie Appelbaum & Ulrich Kohli, 1997. "Import Price Uncertainty And The Distribution Of Income," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 620-630, November.
- Elie Appelbaum, 1996. "Import Price Uncertainty and the Distribution of Income," Working Papers 1996_10, York University, Department of Economics.
- Buguk, Cumhur & Hudson, Darren & Hanson, Terrill R., 2003. "Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 28(01), April. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:ags:aaae10:96196. 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: (AgEcon Search)
If references are entirely missing, you can add them using this form.