Agricultural and Food Economics

Table 5 Empirical results for wheat

From: Examining the determinants of global and local price passthrough in cereal markets: evidence from DCC-GJR-GARCH and panel analyses

	Volatility parameters			BIC criterion
	α	β	λ	AG-DCC	G-DCC
International price	− 0.050^d	1.063^d	− 0.026^d
Afghanistan	0.640^c	0.629^d	− 0.621^c	− 365.105	− 373.121^a
Argentina	0.756^d	0.824^d	− 1.067^d	− 343.323	− 352.282 ^a
Brazil	0.185	− 0.017	0.423	− 419.735	− 428,869 ^a
Cameroon	− 0.009^d	1.045^d	− 0.120^d	− 455.457	− 462.306 ^a
Ethiopia	0.299^c	0.766^d	− 0.307^c	− 375.085	− 382.040 ^a
Georgia	0.290	0.312	− 0.271	− 454.611	− 463,396 ^a
India	− 0.114^d	0.657^d	− 0.0003^d	− 453.552	− 460.023 ^a
Israel	0.315^c	0.546^d	0.111	− 518.176	− 520.403 ^a
Kazakhstan	1.228^d	− 0.079^d	1.315^d	− 547.618	− 556.808 ^a
Kyrgyzstan	0.025^d	0.677^d	− 0.445^d	− 393,186	− 401.774 ^a
Mauritania	0.026^d	1.025^d	− 0.101^d	− 582.783 ^a	− 581.487
Peru	0.684^c	0.504^d	− 0.214	− 658.975	− 664.758 ^a
South Africa	− 0.070	0.023	0.644^c	− 395.570	− 412.752 ^a
Tajikistan	1.343^b	0.101	− 0.817	− 436.840	− 442.670 ^a
Ukraine	− 0.088^d	− 0.040^b	0.721^d	− 458.620	− 467.778 ^a
Uruguay	− 0.063^d	0.632^d	0.060^d	− 396.943	− 406.008 ^a

^aThe lowest value of BIC. As the optimal lag length, the GJR-GARCH (1, 1) model is selected for all price series
^b, ^c and ^d indicate statistical significance at the 10%, 5% and 1% levels, respectively

Back to article page