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Interdependence between first and second moments of producer and consumer wheat pricesin Slovenia is assessed. A joint estimation of a threshold vector error and MGARCH modelswith exogenous variables in the conditional mean and conditional covariance equations areapplied for such purpose. Results indicate that price-level adjustments mainly favor retailersby increasing their marketing margins. Important second-moment interactions are alsoidentified. Increases in international wheat stocks reduce producer prices, while higherinterest rates increase their instability.

Keywords: Volatility ; threshold model ; MGARCH model

Subject(s): Agricultural and Food Policy

Crop Production/Industries

Issue Date: 2015

Publication Type: Conference Paper/ Presentation

PURL Identifier: http://purl.umn.edu/211711

Total Pages: 21

JEL Codes: C22; Q11

Record appears in: International Association of Agricultural Economists (IAAE) > 2015 Conference, August 9-14, 2015, Milan, Italy





Autor: Hassouneh, Islam ; Serra, Teresa ; Bojnec, Stefan ; Gil, Jose M.

Fuente: http://ageconsearch.umn.edu/record/211711?ln=en



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