414
Views
18
CrossRef citations to date
0
Altmetric
Original Articles

Modelling price transmission and volatility spillover in the Slovenian wheat market

, , &
Pages 4116-4126 | Received 04 Apr 2016, Accepted 20 Dec 2016, Published online: 29 Dec 2016

References

  • Apergis, N., and A. Rezitis. 2003. “Agricultural Price Volatility Spillover Effects: The Case of Greece.” European Review of Agricultural Economics 30: 389–406. doi:10.1093/erae/30.3.389.
  • Assefa, T. T., M. P. M. Meuwissen, and A. G. J. M. Oude Lansink (2013) Literature Review on Price Volatility Transmission in Food Supply Chains, the Role of Contextual Factors, and the CAP’s Market Measures. Working Paper No.4.
  • Baffes, J., and T. Haniotis (2010) Placing the 2006/08 Commodity Price Boom into Perspective, Policy Research Working Paper 5371, The World Bank.
  • Bakucs, L. Z., Š. Bojnec, and I. Fertő. 2012. “Monetary Impacts and Overshooting of Agricultural Prices: Evidence from Slovenia.” Transformations in Business and Economics 11: 72–83.
  • Bakucs, Z., Š. Bojnec, and I. Fertő. 2015. “Spatial Product Market Integration between Two Small, Open Neighbouring Economies.” Agribusiness 31: 171–187. doi:10.1002/agr.v31.2.
  • Balcombe, K. 2011. “The Nature and Determinants of Volatility in Agricultural Prices: An Empirical Study.” In Safeguarding Food Security in Volatile Global Markets, ed A. Prakash, 85–106. Rome: FAO.
  • Ben Kaabia, M., and J. M. Gil. 2007. “Asymmetric Price Transmission in the Spanish Lamb Sector.” European Review of Agricultural Economics 34: 53–80. doi:10.1093/erae/jbm009.
  • Bojnec, Š., and G. Peter. 2005. “Vertical Market Integration and Competition: The Meat Sector in Slovenia.” Agricultural and Food Science 14: 236–249. doi:10.2137/145960605775013182.
  • Buguk, C., D. Hudson, and T. Hanson. 2003. “Price Volatility Spillover in Agricultural Markets: An Examination of US Catfish Markets.” Journal of Agricultural and Resource Economics 28: 86–99.
  • Dickey, D. A., and W. A. Fuller. 1979. “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association 74: 427–431.
  • Engle, R. F., and K. F. Kroner. 1995. “Multivariate Simultaneous Generalized ARCH.” Econometric Theory 11: 122–150. doi:10.1017/S0266466600009063.
  • European Central Bank (ECB). (2013) Dataset. http://www.ecb.int/home/html/index.en.html. Accessed 25 January 2013.
  • Frankel, J. 2006. The Effect of Monetary Policy on Real Commodity Prices. in Campbell J (Ed) Asset Prices and Monetary Policy, 291–327. Chicago: University of Chicago Press.
  • Frey, G., and M. Manera. 2007. “Econometric Models of Asymmetric Price Transmissionm.” Journal of Economic Surveys 21: 349–415. doi:10.1111/joes.2007.21.issue-2.
  • Gabrijelčič, M., A. Lenarčič, and M. Pisanski. 2012. Food Prices Pass-Through in Slovenia. Ljubljana: Banka Slovenije (Bank of Slovenia), Prikazi in analize 5/2012.
  • Ghassan, H. B., and P. K. Banerjee. 2014. “A Threshold Cointegration Analysis of Asymmetric Adjustment of OPEC and Non-OPEC Monthly Crude Oil Prices.” Empirical Economics. doi:10.1007/s00181-014-0848-0.
  • Goodwin, B. K., and M. Holt. 1999. “Price Transmission and Asymmetric Adjustment in the U.S. Beef Sector.” American Journal of Agricultural Economics 81: 630–637. doi:10.2307/1244026.
  • Hafner, C. M., and H. Herwartz. 2006. “Volatility Impulse Responses for Multivariate GARCH Models: An Exchange Rate Illustration.” Journal of International Money and Finance 25: 719–740. doi:10.1016/j.jimonfin.2006.04.006.
  • Hansen, B. E., and B. Seo. 2002. “Testing for Two-Regime Threshold Cointegration in Vector Error Correction Model.” Journal of Econometrics 110: 293–318. doi:10.1016/S0304-4076(02)00097-0.
  • Hassouneh, I., A. Radwan, T. Serra, and J. M. Gil. 2012. “Food Scare Crises and Developing Countries: The Impact of Avian Influenza on Vertical Price Transmission in the Egyptian Poultry Sector.” Food Policy 37: 264–274. doi:10.1016/j.foodpol.2012.02.012.
  • Hassouneh, I., T. Serra, and Š. Bojnec. 2015. “Nonlinearities in the Slovenian Apple Price Transmission.” British Food Journal 117: 461–478. doi:10.1108/BFJ-03-2014-0109.
  • Headey, D., and S. Fan. 2008. “Anatomy of a Crisis: The Causes and Consequences of Surging Food Prices.” Agricultural Economics 39: 375–391. doi:10.1111/agec.2008.39.issue-s1.
  • Hosking, J. R. M. 1981. “Equivalent Forms of the Multivariate Portmanteau Statistic.” Journal of the Royal Statistical Society, B 43: 261–262.
  • Johansen, S. 1988. “Statistical Analysis of Cointegration Vectors.” Johansen of Economics Dynamics and Control 12: 231–254. doi:10.1016/0165-1889(88)90041-3.
  • Kim, K., and J. P. Chavas. 2002. “A Dynamic Analysis of the Effects of A Price Support Program on Price Dynamics and Price Volatility.” Journal of Agricultural and Resource Economics 27: 495–514.
  • Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shin. 1992. “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure are We that Economic Time Series Have a Unit Root?” Journal of Econometrics 54: 159–178. doi:10.1016/0304-4076(92)90104-Y.
  • MacKinnon, J. G. 1991. “Critical Values for Cointegration Tests.” In Long Run Economic Relationships, Ed. R. F. Engle and C. W. J. Granger, 267–276. New York: Oxford University Press.
  • Meyer, J., and S. Von Cramon-Taubadel. 2004. “Asymmetric Price Transmission: A Survey.” Journal of Agricultural Economics 55: 581–611. doi:10.1111/jage.2004.55.issue-3.
  • Mojca, M. 2016. Evropa Žanje Cene Naši Pšenici. Ljubljana: Dnevnik. 6. avgust 2016. https://dnevnik.si/1042748024/posel/novice/evropa-zanje-cene-nasi-psenici.
  • Moschini, G., and R. Myers. 2002. “Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate GARCH Approach.” Journal of Empirical Finance 9: 589–603. doi:10.1016/S0927-5398(02)00012-9.
  • Peltzman, S. 2000. “Price Rise Faster than They Fall.” Journal of Political Economy 108: 466–502. doi:10.1086/262126.
  • Rapsomanikis, G. 2011. “Price Transmission and Volatility Spillovers in Food Markets.” In Safeguarding Food Security in Volatile Global Markets, Ed. A. Prakash, 149-186). Rome: FAO.
  • Reziti, I., and Y. Panagopoulos. 2008. “Asymmetric Price Transmission in the Greek Agri-Food Sector: Some Tests.” Agribusiness 24: 16–30. doi:10.1002/(ISSN)1520-6297.
  • Rezitis, A., and K. S. Stavropoulos. 2011. “Price Transmission and Volatility in the Greek Broiler Sector.” Journal of Agricultural and Food Industrial Organization 9 (article): 8. doi:10.2202/1542-0485.1340.
  • Serra, T. 2011. “Food Scare Crises and Price Volatility: The Case of the BSE in Spain.” Food Policy 36: 179–185. doi:10.1016/j.foodpol.2010.11.006.
  • Serra, T., and J. M. Gil. 2012. “Price Volatility in Food Markets: Can Stock Building Mitigate Price Fluctuations?” European Review of Agricultural Economics 40: 1–22.
  • Serra, T., and B. K. Goodwin. 2003. “Price Transmission and Asymmetric Adjustment in the Spanish Dairy Sector.” Applied Economics 35: 1889–1899. doi:10.1080/00036840310001628774.
  • Shively, G. E. 1996. “Food Price Variability and Economic Reform: An ARCH Approach for Ghana.” American Journal of Agricultural Economics 78: 126–136. doi:10.2307/1243784.
  • SORS, (2012a) Statistical Yearbook of the Republic of Slovenia. Ljubljana: Statistical Office of the Republic of Slovenia, http://www.stat.si/letopis/letopisprvastran.aspx?lang=en, Accessed27 March 2013.
  • SORS, (2012b) SI-STAT Data Portal: Prices, Ljubljana: Statistical Office of the Republic of Slovenia, http://pxweb.stat.si/pxweb/Database/Economy/Economy.asp, Accessed 27 March 2013.
  • SORS, (2013) SI-STAT Data Portal: Agriculture and Fishing, Ljubljana: Statistical Office of the Republic of Slovenia, http://pxweb.stat.si/pxweb/Database/Environment/Environment.asp, Accessed 3 April 2013.
  • Stigler, M., and A. Prakash. 2011. “The Role of Low Stocks in Generating Volatility and Panic.” In Safeguarding Food Security in Volatile Global Markets, Ed. A. Prakash, 314–328. Rome: FAO.
  • Sumner, D. A. 2009. “Recent Commodity Price Movements in Historical Perspective.” American Journal of Agricultural Economics 91: 1250–1256. doi:10.1111/ajae.2009.91.issue-5.
  • USDA, (2012) World agricultural supply and demand estimates, several years, http://usda.mannlib.cornell.edu/MannUsda/viewDocumentInfo.do?documentID=1194, Accessed December 2012.
  • Wright, B. D. 2011. “The Economics of Grain Price Volatility.” Applied Economic Perspectives and Policy 33: 32–58. doi:10.1093/aepp/ppq033.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.