الگوسازی سرریزهای بازده و تلاطم بین بازار نهاده‌های صنعت دام و طیور در ایران

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری گروه اقتصاد کشاورزی، دانشکده اقتصاد و توسعه کشاورزی، دانشگاه تهران، کرج، ایران

2 استادیار اقتصاد کشاورزی، دانشگاه تهران، کرج، ایران

چکیده

وقوع تلاطمات گسترده در بازارهای کالایی، تولیدکنندگان و مصرف‌کنندگان را با چالش‌های متعدد روبه ‏رو می‌کند. بررسی پیوند میان بازارها می‌تواند امکان پیش‌بینی رفتار آینده قیمت کالاها را فراهم آورد. در این میان، بازار نهاده‌های دام و طیور، به ‏دلیل وابستگی بالا به واردات، از جایگاهی ویژه برخوردار است. بر این اساس، در مطالعه حاضر، به بررسی چگونگی سرریز بازده و تلاطمات بازار سه نهاده مهم صنعت دام و طیور ایران (شامل ذرت دانه‌ای، کنجاله سویا و جو) پرداخته شد. بدین منظور، با استفاده از داده‌های ماهانه 1399:12-1380:01، برآورد الگوی تلفیقی خودتوضیح برداری- بک- گارچ چندمتغیره (VAR-BEKK-MVGARCH) صورت گرفت. نتایج پژوهش نشان داد که سرریز بازده از بازار کنجاله سویا به بازار ذرت دانه‌ای و برعکس مثبت و معنی‌دار است، در حالی که سرریز بازده بازار جو به بازار ذرت دانه‌ای معنی‌دار نیست و اما به بازار کنجاله سویا منفی و معنی‌دار است؛ بازده بازار کنجاله سویا اثر مثبت و معنی‌دار بر بازده بازار جو دارد، ولی بازار جو از بازار ذرت دانه‌ای سرایت‌پذیری ندارد؛ و همچنین، تلاطمات دوره جاری بازارها به ‏طور نامتقارن از تکانه‌های مثبت و منفی اثر می‌پذیرد و وجود سرریز تلاطم بین‌بازاری نامتقارن یک‏طرفه از بازارهای ذرت دانه‌ای و جو به بازار کنجاله سویا و نیز از بازار ذرت دانه‌ای به بازار جو تأیید می‌شود. بنابراین، پیشنهاد می‌شود که این آثار در مدیریت تحرکات قیمتی مد نظر سیاست‌گذاران قرار گیرند؛ همچنین، دولت مانع انتشار اخبار منفی مختلف از قبیل کاهش تأمین ارز مورد نیاز برای واردات نهاده‌ها شود.

موضوعات

عنوان مقاله [English]

Modeling Return and Volatility Spillovers between Inputs Market of Livestock and Poultry Industry in Iran

نویسندگان [English]

  • emran taheri reykandeh 1
  • Hamed Rafiee 2
1 PhD Students, Department of Agricultural Economics, Faculty of Agricultural Economics and Development, University of Tehran, Karaj, Iran
2 Assistant Professor of Agricultural Economics, University of Tehran, Tehran, Iran
چکیده [English]

Introduction: The occurrence of wide fluctuations in commodity markets poses numerous challenges to producers and consumers. Examining the link between markets can make it possible to predict the future behavior of commodity prices. Accordingly, the present study intended to explain return and volatility spillovers of the market of three necessary inputs of Iran's livestock and poultry industry, including corn, soybean meal, and barley.
Materials and Methods: In this study, for modelling the relationships between the price fluctuations of the livestock and poultry inputs market, using the monthly data of 2001:04-2021:3, the Vector Autoregressive (VAR)- Baba, Engle, Kraft, and Kroner (BEKK)- Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MVGARCH) model known as VAR-BEKK-MVGARCH model was estimated.
Results and Discussion: The results showed a positive and significant return spillover from the soybean meal market to the corn market, and conversely, while the barley market returns spillover to the corn market was insignificant, and the soybean meal market was negative and significant. In addition, the market return of soybean meal had a positive and significant effect on the market return of barley, and the spread of the barley market from the corn market was not accepted. Also, the current market volatility was asymmetrically affected by positive and negative shocks, and the existence of a unidirectional asymmetric cross-market spillover from corn and barley markets to soybean meal market and from corn market to barley market was confirmed.
Conclusions: Based on the results obtained in this study, it is suggested that policymakers consider these effects in the management of price movements. Furthermore, it is suggested that the government prevent the spread of various negative news items, such as reducing the supply of currency required for the import of inputs.

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