نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشجوی دکتری گروه اقتصاد کشاورزی، دانشکده اقتصاد و توسعه کشاورزی، دانشگاه تهران، کرج، ایران
2 استادیار اقتصاد کشاورزی، دانشگاه تهران، کرج، ایران
چکیده
کلیدواژهها
موضوعات
عنوان مقاله [English]
نویسندگان [English]
Introduction: The occurrence of wide fluctuations in commodity markets poses numerous challenges to producers and consumers. Examining the link between markets can make it possible to predict the future behavior of commodity prices. Accordingly, the present study intended to explain return and volatility spillovers of the market of three necessary inputs of Iran's livestock and poultry industry, including corn, soybean meal, and barley.
Materials and Methods: In this study, for modelling the relationships between the price fluctuations of the livestock and poultry inputs market, using the monthly data of 2001:04-2021:3, the Vector Autoregressive (VAR)- Baba, Engle, Kraft, and Kroner (BEKK)- Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MVGARCH) model known as VAR-BEKK-MVGARCH model was estimated.
Results and Discussion: The results showed a positive and significant return spillover from the soybean meal market to the corn market, and conversely, while the barley market returns spillover to the corn market was insignificant, and the soybean meal market was negative and significant. In addition, the market return of soybean meal had a positive and significant effect on the market return of barley, and the spread of the barley market from the corn market was not accepted. Also, the current market volatility was asymmetrically affected by positive and negative shocks, and the existence of a unidirectional asymmetric cross-market spillover from corn and barley markets to soybean meal market and from corn market to barley market was confirmed.
Conclusions: Based on the results obtained in this study, it is suggested that policymakers consider these effects in the management of price movements. Furthermore, it is suggested that the government prevent the spread of various negative news items, such as reducing the supply of currency required for the import of inputs.