Analysis of price volatility spillover and price transmission in Iranian rice market (Case study: Kamfiroz brand)

Rice prices, as a major component, create a link between the different levels of the market for this product, which is the main factor in determining the income level of farmers, traders and final suppliers. Therefore, the analysis of cross-price effects on each other is important in the various levels of the rice market. In this study, a case study of Kamfiroz brand was carried out to analyze and evaluate the price volatility spillover and price transmission in the Iranian rice market. For this purpose, monthly price data for the various levels of rice market from April 1977 to December 2015 and the models of multivariate generalized autoregressive conditional heteroskedastic and vector error correction were used. The results showed that in the short run, positive price transmission from lower levels rice market to higher levels would not occur. Also, the producers of this product do not have enough power to positively influence the price of rice in the country's rice market. In addition, the results showed that there is a direct relationship between the lack of price transmission and price volatility spillover in the various levels of Kamfiroz brand rice market. Finally, in order to support rice producers in Kamfiroz district, it was suggested that government market regulation policies focus on supporting the wholesale price of this product and adjusting the supply and demand of country's rice market appropriately.
JEL Classification: C22, L11