Price transmission in international rice markets
von Nelissa Jamora
Datum der mündl. Prüfung:2014-07-14
Erschienen:2014-09-15
Betreuer:Prof. Dr. Stephan von Cramon-Taubadel
Gutachter:Prof. Dr. Stephan von Cramon-Taubadel
Gutachter:Prof. Dr. Bernhard Brümmer
Gutachter:Dr. Rico Ihle
Zum Verlinken/Zitieren:
http://dx.doi.org/10.53846/goediss-4685
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Name:Dissertation_NJamora_2014.pdf
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Zusammenfassung
Englisch
The study analyzes price transmission in international rice markets in the last 12 years, covering the period before and after the 2008 food crisis. To this end, it provides empirical evidence of price transmission between the international and domestic markets of rice using price series from January 2000 to December 2012 and contributes to the literature in two aspects. First, it examines export prices that can serve as international reference price in price transmission analysis in order to answer an important question: what is the world price for rice? Second, it explores the role of thresholds, as caused by trade costs, in spatial price relationships from world-to-domestic rice markets using an improved estimation technique for threshold models. We are not aware of publications in price transmission analysis which addresses the two points using a consistent set of price data for a large number of countries. We also characterize the dynamics of price relationships between world to domestic markets across geographical regions and by sample period (pre- and post-2008 food crisis). The first paper uses linear cointegration procedures to analyze price relationships on international rice markets and provide an overview of price transmission patterns in 269 markets from 58 countries, synthesizing results by rice type. Key results show that export prices for indica rice in Vietnam are linked to the largest number of rice markets worldwide, but no single export price strongly dominates and many domestic prices are linked to more than one export price. Hence, there is no single export price that can be considered as the international reference price for rice. The first paper highlights the importance of differentiating between rice types in order to identify world to domestic price linkages accurately. The second paper models price relationship between international and domestic rice markets in 47 net-importing countries using an improved regularized Bayesian threshold estimator for threshold vector error correction models. We observe an increase in the magnitude of thresholds and a decline in the speed of price transmission over the sample period. The former suggests that trade costs in international rice trade have increased in recent years; the latter points to some decoupling of domestic and international markets. Overall, our results are consistent with the theory of spatial arbitrage in the presence of trade costs. Some violations for individual countries may be attributed to policy interventions implemented during the 2008 food price crisis. The results for domestic markets in the Philippines are discussed in chapter 5. Rice is the most important commodity in the country and the Philippines is one of the top importers of rice in the world. We confirm that PT from world to domestic markets in the Philippines has been restricted, particularly after the 2008 food crisis. Trade distortions, e.g., import tariffs, sales tax, and import quotas, largely explain the wide price margins between domestic and international markets. In the last section, we discuss some implications of the key findings. The results indicate slower price transmission in the period of wider price margins for countries that implemented certain policies during the 2008 food price crisis. Understanding price dynamics in various policy settings could help estimate the welfare impacts of such interventions. Policy makers should also consider ways in reducing trade costs between world and domestic rice markets.
Keywords: rice; price transmission; VECM; threshold