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Title: | Examining export volatility, structural breaks in price volatility and linkages between domestic & export prices of onion in India |
Other Titles: | Not Available |
Authors: | R.K. Paul R. Saxena S. Chaurasia Zeeshan S. Rana |
ICAR Data Use Licennce: | http://krishi.icar.gov.in/PDF/ICAR_Data_Use_Licence.pdf |
Author's Affiliated institute: | ICAR::Indian Agricultural Statistics Research Institute |
Published/ Complete Date: | 2015-01-01 |
Project Code: | Not Available |
Keywords: | Export volatility structural breaks onion price transmission cointegration Grangercausality |
Publisher: | Not Available |
Citation: | Not Available |
Series/Report no.: | Not Available; |
Abstract/Description: | This paper has investigated the export volatility, identified the structural breaks and determined the short-run and long-run relationships between onion export and domestic prices using cointegration and Grangercausality test. The study is based on the monthly arrival data of five major regulated markets from threemajor onion-producing states of India, namely Azadpur from Delhi, Lasalgaon, Pune and Solapur fromMaharashtra, Bangalore and Hubli from Karnataka along with the export price. After checking for thepresence of seasonal and non-seasonal unit roots, suitable SARIMA model has been applied for modellingthe onion export. The ARCH-LM test has been applied to find the presence of conditional heteroscedasticity.To model the conditional heteroscedasticity as well as asymmetricity in volatility, exponential GARCHmodel has been applied. The analysis of structural breaks in volatility has revealed the situations of priceshocks in the years 2007, 2010, 2011 and 2013, when onion prices went abnormally high and createddisturbances in the markets. The application of Johansen method of cointegration has revealed that pricesin all the markets share stable long-run relationship. The Granger causality test has shown that all themajor domestic markets of onion Granger cause export prices on one hand and export prices Grangercause prices in Delhi, Bangalore, Hubli and Solapur markets. These results have been supported by theimpulse response function |
Description: | Not Available |
ISSN: | PRINT:0971-3441 ONLINE:0974-0279 |
Type(s) of content: | Research Paper |
Sponsors: | Not Available |
Language: | English |
Name of Journal: | Agricultural Economics Research Review |
NAAS Rating: | 5.84 |
Volume No.: | 28 |
Page Number: | 101-116 |
Name of the Division/Regional Station: | Not Available |
Source, DOI or any other URL: | 10.5958/0974-0279.2015.00026.9 |
URI: | http://krishi.icar.gov.in/jspui/handle/123456789/42846 |
Appears in Collections: | AEdu-IASRI-Publication |
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