Departmental Bulletin Paper Effects of International Grain Prices on Volatility of Domestic Grain Prices in 24 Developing Countries

Yan, Shuqin  ,  Kameyama, Hiroshi  ,  Isoda, Hiroshi  ,  Qian, Jiarong  ,  Ito, Shoichi

61 ( 1 )  , pp.225 - 232 , 2016-02-29 , 九州大学大学院農学研究院
This paper discusses transmission relationships of price volatility relationships between the international and domestic prices of three grains in 24 developing countries during 2005 to 2013, using a modified Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) models. Findings indicate that the international price of rice exerts significant negative effects on the volatility of domestic rice prices in Burundi and Tunisia, and significant positive effects in Chad and Sri Lanka; in addition, international wheat prices have significant negative effects on the volatility of domestic wheat prices in Brazil and Mauritania; further, international prices for maize exert significant effects on the volatility of domestic maize prices in the Dominican Republic, Niger and the Philippines. Volatility in international rice price has significant positive impact on the volatility of rice prices in Nicaragua, however, it has a significant negative affect in Cape Verde; the volatility of international wheat price has significant positive influence in Georgia and Mauritania.

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