Price volatility transmission of perishable agricultural products: evidence from China

Figures & data

Table 1. Summary statistics.

	(1)	(2)	(3)	(4)	(5)	(6)
	Litchi Market Chain			Apple Market Chain
Stage	Farm	Wholesale	Retail	Farm	Wholesale	Retail
Panel A: Price (RMB)
Mean	8.0409	13.2001	21.5134	5.4711	7.4996	10.6123
Std. Dev.	3.0775	3.9337	7.7469	1.8772	1.8261	2.5306
Min	1.9139	6.1716	9.3254	3.1000	5.1099	4.0000
Max	18.0000	30.9942	46.5000	9.7333	14.2300	16.7800
Obs	335	335	335	1271	1271	1271
Panel B: Price Return
Mean	0.0014	0.0004	0.0017	0.0008	0.0003	0.0003
Std. Dev.	0.2250	0.1580	0.2330	0.0341	0.0327	0.0294
Min	−0.8180	−0.5460	−0.6930	−0.5868	−0.1977	−0.3370
Max	1.2540	0.9290	1.1570	0.4964	0.2167	0.5018
Obs	334	334	334	1270	1270	1270

Note: The price return is defined as the first difference in logarithmic prices.

Sources: Litchi data are from the national litchi industry survey of the Modern Litchi and Longan Industrial Technology System of China. Apple data are from the agriculture product database of the Bric Global Agricultural Consulting Company.

Table 2. Pearson correlation coefficient.

	(1)	(2)	(3)	(4)	(5)	(6)
	Litchi Market Chain			Apple Market Chain
Stage	Farm	Wholesale	Retail	Farm	Wholesale	Retail
Panel A: Price
Farm	1.0000	0.5870***	0.5000***	1.0000	0.8530***	0.7310***
Wholesale	0.5870***	1.0000	0.7090***	0.8530***	1.0000	0.8010***
Retail	0.5000***	0.7090***	1.0000	0.7310***	0.8010***	1.0000
Panel B: Price Return
Farm	1.0000	0.2000***	0.0270	1.0000	0.0490	−0.0290
Wholesale	0.2000***	1.0000	0.4070***	0.0490	1.0000	0.0002
Retail	0.0270	0.4070***	1.0000	−0.0290	0.0002	1.0000

Note: ^*** denotes the significance at the 1% level.

Sources: Litchi data are from the national litchi industry survey of the Modern Litchi and Longan Industrial Technology System of China. Apple data are from the agriculture product database of the Bric Global Agricultural Consulting Company.

Table 3. Unit root tests.

	(1)	(2)	(3)	(4)	(5)	(6)
	Litchi Market Chain			Apple Market Chain
	Farm	Wholesale	Retail	Farm	Wholesale	Retail
Panel A: Log Price
Dickey-Fuller test	−5.2645***	−5.2392***	−6.5826***	−1.7406	−2.6942*	−1.1465
Augmented Dickey-Fuller test	−3.2966***	−3.4655***	−3.5441***	−1.4400	−0.1574	−3.0616**
Phillips Perron test	−4.6218***	−4.6843***	−6.0524***	−1.2028	−1.0497	−2.5979*
Panel B: Price Return
Dickey-Fuller test	−26.3391***	−25.0985***	−25.6340***	−30.4203***	−51.3755***	−17.1747***
Augmented Dickey-Fuller test	−9.1301***	−12.2746***	−14.0873***	−10.8365***	−13.7112***	−10.8725***
Phillips Perron test	−29.2098***	−25.8284***	−26.8908***	−31.2010***	−71.3497***	−16.3286***

Note: ^***, ^**, and ^* denote the significance at the 1%, 5%, and 10% levels, respectively.

Sources: Litchi data are from the national litchi industry survey of the Modern Litchi and Longan Industrial Technology System of China. Apple data are from the agriculture product database of the Bric Global Agricultural Consulting Company.

Figure 1. The trends of price returns. Sources: Litchi data are from the national litchi industry survey of the Modern Litchi and Longan Industrial Technology System of China. Apple data are from the agriculture product database of the Bric Global Agricultural Consulting Company.

Table 4. CCC-MGARCH estimates.

Stage	(1)	(2)	(3)
	Farm (Yf)	Wholesale (Yw)	Retail (Yr)
Panel A: Litchi Market Chain
Conditional Variance Equation
ω	0.0187(0.0026)***	0.0024(0.0012)**	0.0180(0.0045)***
β	0.7668(0.1698)***	0.1669(0.0635)***	0.2514(0.0910)***
γ	−0.0263(0.0272)	0.7347(0.0964)***	0.3304(0.1498)**
Conditional Correlation Coefficient
ρYf,Yw	0.2498(0.0436)***
ρYw,Yr	0.4847(0.0365)***
ρYf,Yr	0.0561(0.0465)
Observations = 329, Log Likelihood = 390.4199
Panel B: Apple Market Chain
Conditional Variance Equation
ω	1.9E-04(2.7E-05)***	6.8E-05(2.2E-05)***	1.4E-05(1.2E-06)***
β	0.0717(0.0214)***	0.1264(0.0227)***	0.1977(0.0259)***
γ	0.7731(0.0317)***	0.7971(0.0429)***	0.8827(5.7E-03)***
Conditional Correlation Coefficient
ρYf,Yw	0.0450(0.0228)**
ρYw,Yr	−0.0131(0.0252)
ρYf,Yr	−0.0512(0.0255)**
Observations = 1268, Log Likelihood = 8543.0967

Notes: The standard errors are given in parentheses. ^*** and ** denote the significance at the 1% and 5% levels, respectively.

Sources: Litchi data are from the national litchi industry survey of the Modern Litchi and Longan Industrial Technology System of China. Apple data are from the agriculture product database of the Bric Global Agricultural Consulting Company.

Figure 2. DCC-MGARCH estimates. Sources: Litchi data are from the national litchi industry survey of the Modern Litchi and Longan Industrial Technology System of China. Apple data are from the agriculture product database of the Bric Global Agricultural Consulting Company.

Table 5. BEKK-MGARCH estimates.

	(1)	(2)	(3)	(4)	(5)	(6)
	Litchi Market Chain			Apple Market Chain
Stage	Farm	Wholesale	Retail	Farm	Wholesale	Retail
	(i = 1)	(i = 2)	(i = 3)	(i = 1)	(i = 2)	(i = 3)
Panel A: Conditional Variance-covariance Equation
c1i	0.1150***	—	—	0.0049***	—	—
	(0.0129)	—	—	(0.0012)	—	—
c2i	0.0429	0.0667***	—	0.0144***	−2.0E-06	—
	(0.0282)	(0.0189)	—	(0.0009)	(0.0027)	—
c3i	0.0609**	0.0747***	−1.4E-08	0.0035***	−4.0E-07	6.2E-08
	(0.0306)	(0.0289)	(0.0208)	(0.0006)	(0.0010)	(0.0008)
g1i	−0.9296***	−0.1155*	−0.2189***	0.0752	−0.3306***	0.2034***
	(0.0904)	(0.0618)	(0.0763)	(0.0538)	(0.0407)	(0.0393)
g2i	0.3144***	−0.3508***	−0.6357***	−0.3440***	−0.4191***	−0.1118***
	(0.0926)	(0.1038)	(0.1167)	(0.0343)	(0.0362)	(0.0156)
g3i	−0.0397	0.0795*	0.1245*	−0.1661***	0.0743**	0.7293***
	(0.0656)	(0.0472)	(0.0740)	(0.0396)	(0.0330)	(0.0495)
h1i	−0.1675	−0.1627**	−0.0478	0.8586***	0.1301***	−0.1383***
	(0.1167)	(0.0778)	(0.0963)	(0.0147)	(0.0126)	(0.0065)
h2i	−0.0056	0.8662***	−0.0212	−0.3836***	0.7488***	−0.0876***
	(0.2702)	(0.1129)	(0.0951)	(0.0157)	(0.0198)	(0.0162)
h3i	−0.2418**	−0.1996***	0.7697***	0.1210***	0.0066	0.8236***
	(0.0997)	(0.0429)	(0.0547)	(0.0154)	(0.0089)	(0.0105)
Panel B: Wald Restriction Test
Wald Test for Block-exogeneity in Variance of Farm Price Returns (H0: g1i = h1i = 0, i = 2, 3)
Chi-sq		4.7855	15.7543		119.8343	454.4132
F-test		2.3927	7.8771		59.9172	227.2066
P-value		0.0914	0.0004		0.0000	0.0000
Wald Test for Block-exogeneity in Variance of Wholesale Price Returns (H0: g2i = h2i = 0, i = 1, 3)
Chi-sq	11.6001		32.2976	617.5406		85.4649
F-test	5.8001		16.1488	308.7703		42.7324
P-value	0.0030		0.0000	0.0000		0.0000
Wald Test for Block-exogeneity in Variance of Retail Price Returns (H0: g3i = h3i = 0, i = 1, 2)
Chi-sq	6.2010	22.0208		65.3025	6.2209
F-test	3.1005	11.0104		32.6513	3.1104
P-value	0.0450	0.0000		0.0000	0.0446
	Observations = 329, Log Likelihood = 410.0868			Observations = 1268, Log Likelihood = 8639.8599

Notes: c_ij represents the constant. g_ij and h_ij measure volatility spillovers and persistence from market i to market j. Subscripts 1, 2, and 3 refer to price returns at the farm, wholesale, and retail stages, respectively. The standard errors are given in parentheses. ^***, ^**, and ^* denote the significance at the 1%, 5%, and 10% levels, respectively.

Sources: Litchi data are from the national litchi industry survey of the Modern Litchi and Longan Industrial Technology System of China. Apple data are from the agriculture product database of the Bric Global Agricultural Consulting Company.

Figure 3. Volatility impulse response results. Notes: Each figure presents results for the response of price volatility in one market stage to a price volatility shock (one-standard deviation) in another market stage. The optimal lag length is determined by the AIC’s minimum value.

Sources: Litchi data are from the national litchi industry survey of the Modern Litchi and Longan Industrial Technology System of China. Apple data are from the agriculture product database of the Bric Global Agricultural Consulting Company.