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The Transmission Effects of Price and Volatility Among Agricultural Markets: Three Essays on International Grain Futures Prices, Broiler Feed and Farm Prices in Taiwan
|關鍵字:||Transmission effect;傳遞效果;BEKK-MGAECH;DCC- MGAECH;Price volatility;BEKK--MGARCH模型;DCC-MGARCH模型;價格波動||出版社:||應用經濟學系所||引用:||Reference Aradhyula, S. V. and M. T. Holt, (1989). Risk Behavior and Rational Expectations in the U.S. Broiler Market, American Journal of Agricultural Economics, 7(4), 892-902. Baillie, R.T. and R.J. Myers, (1991). Bivariate GARCH Estimation of the Optimal Commodity Futures Hedge, Journal of Applied Econometrics, 6, 109-124. Bera, A. K., and M. L. Higgins, (1993). ARCH Models: Properties, Estimation and Testing, Journal of Economic Surveys, 7, 305-366. Bera, A.K. and S. Kim, (2002). Testing Constancy of Correlation and Other Specifications of the garch Model with an Application to International Equity Return, Journal of Empirical Finance, 9, 171-195. Bera, A.k., P. Garcia and J.S. Roh, (1997). Estimation of Time-Varying Hedgeing Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches, Sankhya: Series B, 59, 346-368. Bollerslev, T., (1986). 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Countries around the world often face agricultural products price volatility problem. Agriculture products' price level directly influences producers' revenue, and agriculture products' price volatility will further reveal price risks taken by producers throughout the production. The empirical result of this dissertation can be divided into three parts. The first part adopts BEKK-MGARCH model to analyze U.S. wheat, corns, and soybeans futures price and volatility transmission effect. Next, corns and soybeans are raw materials of domestic broiler's forage. Therefore, the second part of this dissertation will adopt DCC-MGARCH model to analyze direct influence of U.S. corns and soybeans futures prices volatility on domestic broiler's forage price. Also using the influential effect from indirect influence of domestic broiler's forage price volatility on broiler's farm price, this thesis will further analyze domestic broiler forage and farm price volatility transmission effect. Lastly, the third part of this dissertation also adopts BEKK-MGARCH model, and conducts price and volatility transmission effect analysis on domestic broiler's farm price and chicken retailing price, chicken and pork's retailing price, and pork retailing and hog's farm price volatility, respectively. The estimated result of dissertation is as following:
1. Current period US wheat, corns, and soybeans futures price change' are influenced by prior period self futures price change's. And from different grains futures price change's transmission effect, prior period futures price change's of US wheat, corns, and soybeans would mutually influence current period futures price change's. Next, US wheat, corns, and soybeans futures price change's not only is influenced by self prior period price change's, but also is influenced by crossing market different level's prior period futures price change's short-run shock. US wheat, corns, and soybeans futures price change's volatility not only is influenced by self prior period futures price change's volatility long-run persistence, but also is influenced by crossing market prior period futures price change's volatility long-run persistence.
2. There are significant effects of previous broiler feed and farm prices on current price reactions. As for the interaction between broiler feed and farm price, there are significant effects of previous broiler feed price on current broiler farm price, and of previous broiler farm price on current broiler feed price. As for the price volatility analysis of broiler feed and farm price, the short-run shock and volatility long-run persistent effects of broiler feed farm price are significant.
3. In price transmission effect analysis, prior period hog's farm (pork retailing), not only price are influenced by current period self price volatility, but also current period hog's farm (pork retailing) price is deeply influenced by prior period pork retailing (hog's farm) price. For price volatility short-run shock and long-run persistence transmission effect, current period hog's farm and pork retailing price change's volatility is influenced by prior period self-price change's volatility short-run shock and long-run persistence effect; in crossing market price change's volatility short-run shock and long-run persistence transmission effect, short-run shock and long-run persistence of current retailing price change's volatility also reacts greater to prior period hog's farm price change's volatility.
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