Agricultural Economics and Development

Agricultural Economics and Development

The Impact of Macroeconomic Variables on the Volatility of Agricultural Prices in the Iran Mercantile Exchange (The Case of Barley)

Authors
M. Mohammadi
H. Mohammadi
B. Fakari
10.30490/aead.2016.59041
Abstract
Iran Mercantile Exchange begins in 2007 in order to reduce market inefficiencies for agricultural products to the market place and one of its objectives is to control price fluctuations of agricultural products. The aim of this study was to evaluate fluctuations in prices of agricultural products in the Iran Mercantile Exchange by using vector autoregressive (VAR) and GARCH models. This study analyses and compares the price volatility of barley in Iran Mercantile Exchange by the domestic traditional market and the Chicago Mercantile Exchange. The results show more fluctuations in barley prices in Iran Mercantile Exchange compared with the Chicago Mercantile Exchange. The changes of crude oil prices and exchange rate caused significant changes on barley prices in Mercantile Exchange is Iran.

JEL Classification: E31, Q11, Q13
Keywords:
Exchange rate, Oil Price, Iran Mercantile Exchange, GARCH, VAR, Impulse Response Function, Variance Decomposition