期刊名称：International Journal of Food and Agricultural Economics
印刷版ISSN：2147-8988
出版年度：2018
卷号：6
期号：2
页码：1-21
出版社：International Journal of Food and Agricultural Economics
摘要：This research investigates the unconditional and conditional volatility in wheat, flour, and
high and low quality rice price returns in Afghanistan. It also considers volatility spillover
from the exporting countries and global markets to the domestic markets. The ARCH LM test
and GARCH (1,1) model with exogenous variables are, inter alia, employed in the analysis.
The results suggest the existence of volatility clustering and persistence in all of the price
return series examined, which indicates a prolonged period of uncertainty in the domestic
markets after a shock that can harm both consumers and producers. Evidence of volatility
spillover from exporting countries to domestic markets is also observed such that the domestic
markets may be relatively less vulnerable to import wheat and flour from Kazakhstan, and rice
from Pakistan. As price levels, both conditional and unconditional price volatility in the price
returns have declined after January 2011 such that the level of decrease is larger for wheat
and flour price returns while it is meager for the returns of high and low quality rice prices.
Given the country’s context, the findings of this research imply that extreme and unpredictable
changes in the staple food prices may not only deteriorate the welfare of poor households but
their persistence also create uncertainty for all of the market participants.
