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The volatility connectedness between fertilizers and rice price: evidences from the global major rice-producing countries

By: Contributor(s): Material type: TextTextPublication details: Asia-Pacific Journal of Regional Science; 2024Description: 239-263ISSN:
  • 2509-7954
Subject(s): Online resources: Summary: This study examined the volatility connectedness between rice price and selected fertilizer commodity products among global rice-producing countries that are mainly in the Asian and Pacific regions. For this purpose, natural gas, selected fertilizers, rice monthly price data, and commodity volatilities were estimated by exponential weighted moving average (EWMA). Furthermore, the connectedness of the volatilities were demonstrated by applying the TVP-VAR-based Diebold-Yilmaz approach. First, we constructed eight separate networks for each country and then determined the total connectedness index (TCI), net pairwise directional connectedness (NPDC), and pairwise connectedness index (PCI). The average TCI for all countries varied between 40 and 55%. The dynamic TCIs showed that the impact of food price volatility from 2007 to 2008 persisted until 2009. Connectedness across all networks was seen to decline after 2010, dropping to 40% or lower. Upon analyzing bilateral interconnectivity through the lens of the PCI values, a robust connectedness between triple superphosphate fertilizer price volatility and Bangladesh, Brazil, China, and Pakistan was evident. The interconnectedness of urea fertilizer and natural gas volatility with rice price volatility, along with the substitution relationships between other fertilizers, offers valuable information for investors to construct portfolios.
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Article Index Article Index Dr VKRV Rao Library Vol. 8, No. 1 Not for loan AI506

This study examined the volatility connectedness between rice price and selected fertilizer commodity products among global rice-producing countries that are mainly in the Asian and Pacific regions. For this purpose, natural gas, selected fertilizers, rice monthly price data, and commodity volatilities were estimated by exponential weighted moving average (EWMA). Furthermore, the connectedness of the volatilities were demonstrated by applying the TVP-VAR-based Diebold-Yilmaz approach. First, we constructed eight separate networks for each country and then determined the total connectedness index (TCI), net pairwise directional connectedness (NPDC), and pairwise connectedness index (PCI). The average TCI for all countries varied between 40 and 55%. The dynamic TCIs showed that the impact of food price volatility from 2007 to 2008 persisted until 2009. Connectedness across all networks was seen to decline after 2010, dropping to 40% or lower. Upon analyzing bilateral interconnectivity through the lens of the PCI values, a robust connectedness between triple superphosphate fertilizer price volatility and Bangladesh, Brazil, China, and Pakistan was evident. The interconnectedness of urea fertilizer and natural gas volatility with rice price volatility, along with the substitution relationships between other fertilizers, offers valuable information for investors to construct portfolios.

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