The dynamic impact of international agricultural commodity price fluctuation on Chinese agricultural commodity prices
äºInternational Food and Agribusiness Management ReviewSearch for other papers by Xiaoyu Zhang in
Current site
Google Scholar
Search for other papers by Yongfu Liu in
Current site
Google Scholar
The correlation between Chinese and international commodity prices may be nonlinear because of Chinaâs minimum agricultural commodity purchase price policy and temporary storage policy. In order to research this nonlinear dynamic correlation mechanism, we construct a nonlinear Granger causality test model and a nonlinear autoregressive distribution lag model including Chinese and international agricultural commodity (soybean, corn, rice, and wheat) price variables. Our empirical results reveal that a unidirectional causal relation exists between international and Chinese prices for soybeans and corn; specifically, international prices of soybeans and corn Granger-cause Chinese prices of soybeans and corn. Moreover, the pass-through effects between Chinese and international commodity prices are asymmetric; Chinese agricultural commodity prices respond more strongly to positive shocks than negative shocks of international agricultural commodity prices.
-
Alexander, C. and J. Wyeth. 1994. Cointegration and market integration: an application to the Indonesian rice market. Journal of Development Studies 30(2): 303-334.
'Cointegration and market integration: an application to the Indonesian rice market ' () 30 Journal of Development Studies : 303 -334.
-
Baltzer, K.T. 2013. International to domestic price transmission in fourteen developing countries during the 2007-08 food crisis. In: P. Pinstrup-Andersen (ed.) Food price policy in an era of market instability: a political economy analysis. Oxford University Press, Oxford, UK, pp. 21-50.
'International to domestic price transmission in fourteen developing countries during the 2007-08 food crisis ', in Food price policy in an era of market instability: a political economy analysis , () 21 -50.
-
Banerjee, A., B. Dolado and B. Mestre. 1998. Error-correction mechanism tests for cointegration in a single-equation framework. Journal of Time Series Analysis 19(3): 267-283.
'Error-correction mechanism tests for cointegration in a single-equation framework ' () 19 Journal of Time Series Analysis : 267 -283.
-
Ding, S.H. 2009. The impact of international food price fluctuation on Chinaâs food price. Economic Science 2: 60-71.
'The impact of international food price fluctuation on Chinaâs food price ' () 2 Economic Science : 60 -71.
-
Fackler, P.L. and B.K. Goodwin. 2001. Spatial price analysis. In: B. Gardner and G. Rausser (eds.) Handbook of Agricultural Economics. Elsevier, New York, NY, USA, pp. 971-1024.
'Spatial price analysis ', in Handbook of Agricultural Economics , () 971 -1024.
-
Gao, F. and F. Gong. 2012. How international food prices affect grain prices of China? Finance and Trade Economics 11: 119-126.
'How international food prices affect grain prices of China? ' () 11 Finance and Trade Economics : 119 -126.
-
Garcia, Y.T. and N.D. Salayo. 2009. Price dynamics and cointegration in the major markets of aquaculture species in the Philippines. Asian Journal of Agriculture and Development 6(1): 49-81.
'Price dynamics and cointegration in the major markets of aquaculture species in the Philippines ' () 6 Asian Journal of Agriculture and Development : 49 -81.
-
Gu, G.D. and C.L. Fang. 2010. Analysis on the characteristics of agricultural product price volatility in China â based on the situation transfer model under the influence of international market factors. Chinese Rural Economy 6: 67-76.
'Analysis on the characteristics of agricultural product price volatility in China â based on the situation transfer model under the influence of international market factors ' () 6 Chinese Rural Economy : 67 -76.
-
Han, L. 2018. Asymmetric transmission of world grain price to domestic market in China â a study based on threshold autoregression model. Modern Economic Science 40(2): 78-84.
'Asymmetric transmission of world grain price to domestic market in China â a study based on threshold autoregression model ' () 40 Modern Economic Science : 78 -84.
-
Ke, S.G., X.H. Lu, K. Ge and H.F. Li. 2017. Analysis of linkage effect between domestic and international grain prices based on overseas cultivated land investment. Chinese Rural Economy 12: 65-80.
'Analysis of linkage effect between domestic and international grain prices based on overseas cultivated land investment ' () 12 Chinese Rural Economy : 65 -80.
-
Li, G.W., B.M. Cao and X.L. Ma. 2015. Chinaâs grain market opening and international food price fluctuation â an analysis based on the spillover effect of grain price fluctuation. Chinese Rural Economy 8: 44-52.
'Chinaâs grain market opening and international food price fluctuation â an analysis based on the spillover effect of grain price fluctuation ' () 8 Chinese Rural Economy : 44 -52.
-
Luo, F. and B.J. Niu. 2009. The pass-through effect of fluctuation of international agricultural products on domestic agricultural products: an empirical study based on VAR model. Journal of International Trade 6: 16-22.
'The pass-through effect of fluctuation of international agricultural products on domestic agricultural products: an empirical study based on VAR model ' () 6 Journal of International Trade : 16 -22.
-
Meyer, J. 2004. Measuring market integration in the presence of transaction costs â a threshold vector error correction approach. Agricultural Economics 31(2-3): 327-334.
'Measuring market integration in the presence of transaction costs â a threshold vector error correction approach ' () 31 Agricultural Economics : 327 -334.
-
Péguin-Feissolle, A., B. Strikholm and T. Teräsvirta. 2008. Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. Communications in Statistics â Simulation and Computation 42(5): 1063-1087.
'Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form ' () 42 Communications in Statistics â Simulation and Computation : 1063 -1087.
-
Peng, J.Y., R. Xie and M.Y. Lai. 2016. A study on the asymmetric impacts of international grain prices on domestic grain prices in China. Resources Science 38(5): 847-857.
'A study on the asymmetric impacts of international grain prices on domestic grain prices in China ' () 38 Resources Science : 847 -857.
-
Pesaran, M.H., Y. Shin and R.J. Smith. 2001. Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics 16(3): 289-326.
'Bounds testing approaches to the analysis of level relationships ' () 16 Journal of Applied Econometrics : 289 -326.
-
Piggott, G.N.E. 2001. Spatial market integration in the presence of threshold effects. American Journal of Agricultural Economics 83(2): 302-317.
'Spatial market integration in the presence of threshold effects ' () 83 American Journal of Agricultural Economics : 302 -317.
-
Rapsomanikis, G., D. Hallam and P. Conforti. 2006. Market integration and price transmission in selected food and cash crop markets of developing countries: review and applications. In: A. Sarris and D. Hallam (eds.) Agricultural commodity markets and trade: new approaches to analyzing market structure and instability. Food and Agriculture Organization, Rome, Italy, pp. 187-217.
'Market integration and price transmission in selected food and cash crop markets of developing countries: review and applications ', in Agricultural commodity markets and trade: new approaches to analyzing market structure and instability , () 187 -217.
-
Saghaian, S.H., M. Nemati and C.G. Walters. 2018. Asymmetric price volatility interaction between U.S. food and energy markets. Journal of Agricultural and Resource Economics 43: 46-60.
'Asymmetric price volatility interaction between U.S. food and energy markets ' () 43 Journal of Agricultural and Resource Economics : 46 -60.
-
Serra, T. and B.K. Goodwin. 2003. Price transmission and asymmetric adjustment in the Spanish dairy sector. Applied Economics 35(18): 1889-1899.
'Price transmission and asymmetric adjustment in the Spanish dairy sector ' () 35 Applied Economics : 1889 -1899.
-
Serra, T., D. Zilberman and J.M. Gil. 2008. Nonlinearities in the U.S. corn-ethanol-oil price system. Agricultural Economics 42(1): 35-45.
'Nonlinearities in the U.S. corn-ethanol-oil price system ' () 42 Agricultural Economics : 35 -45.
-
Shin, Y., B. Yu and M. Greenwood-Nimmo. 2014. Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL Framework. In: R. Sickles and W. Horrace (eds.) Festschrift in honor of Peter Schmidt. Springer, New York, NY, USA, pp. 281-314.
'Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL Framework ', in Festschrift in honor of Peter Schmidt , () 281 -314.
-
Silvapulle, P. and S. Jayasuriya. 1994. Testing for Philippines rice market integration: a multiple cointegration approach. Journal of Agricultural Economics 45(3): 369-380.
'Testing for Philippines rice market integration: a multiple cointegration approach ' () 45 Journal of Agricultural Economics : 369 -380.
-
Takayama, T. and G. Judge. 1973. Spatial and temporal price and allocation models. Journal of International Economics 3(3): 304-304.
'Spatial and temporal price and allocation models ' () 3 Journal of International Economics : 304 -304.
-
Trostle, R. 2008. Global agricultural supply and demand: factors contributing to the recent increase in food commodity prices. USDA Report, USDA, Washington, DC, USA.
'Global agricultural supply and demand: factors contributing to the recent increase in food commodity prices', ().
-
Wang, X.S. and S.X. Xie. 2012. How do prices of foreign products affect prices of Chinese agricultural products? Economic Research Journal 47(3): 141-153.
'How do prices of foreign products affect prices of Chinese agricultural products? ' () 47 Economic Research Journal : 141 -153.
-
Wu, L.P. 2001. Research on the relationship between domestic and foreign grain markets. China Rural Survey 1: 24-32.
'Research on the relationship between domestic and foreign grain markets ' () 1 China Rural Survey : 24 -32.
-
Xiao, Y., C.G. Li and J. Li. 2014. Analysis of spillover effects of international grain prices on Chinaâs grain prices. Chinese Rural Economy 2: 42-55.
'Analysis of spillover effects of international grain prices on Chinaâs grain prices ' () 2 Chinese Rural Economy : 42 -55.
| å ¨é¨æé´ | è¿å»ä¸å¹´ | è¿å»30天 | |
|---|---|---|---|
| æè¦æµè§æ¬¡æ° | 0 | 0 | 0 |
| å ¨ææµè§æ¬¡æ° | 701 | 225 | 24 |
| PDFä¸è½½æ¬¡æ° | 695 | 208 | 18 |
The dynamic impact of international agricultural commodity price fluctuation on Chinese agricultural commodity prices
äºInternational Food and Agribusiness Management ReviewSearch for other papers by Xiaoyu Zhang in
Current site
Google Scholar
PubMed
Search for other papers by Yongfu Liu in
Current site
Google Scholar
PubMed
The correlation between Chinese and international commodity prices may be nonlinear because of Chinaâs minimum agricultural commodity purchase price policy and temporary storage policy. In order to research this nonlinear dynamic correlation mechanism, we construct a nonlinear Granger causality test model and a nonlinear autoregressive distribution lag model including Chinese and international agricultural commodity (soybean, corn, rice, and wheat) price variables. Our empirical results reveal that a unidirectional causal relation exists between international and Chinese prices for soybeans and corn; specifically, international prices of soybeans and corn Granger-cause Chinese prices of soybeans and corn. Moreover, the pass-through effects between Chinese and international commodity prices are asymmetric; Chinese agricultural commodity prices respond more strongly to positive shocks than negative shocks of international agricultural commodity prices.
| å ¨é¨æé´ | è¿å»ä¸å¹´ | è¿å»30天 | |
|---|---|---|---|
| æè¦æµè§æ¬¡æ° | 0 | 0 | 0 |
| å ¨ææµè§æ¬¡æ° | 701 | 225 | 24 |
| PDFä¸è½½æ¬¡æ° | 695 | 208 | 18 |
