نوع مقاله : مقالات پژوهشی
نویسندگان
دانشگاه آزاد اسلامی
چکیده
قیمت‌های بازار، مکانیزم اولیه‌ای می باشند که سطوح مختلف بازار را به هم پیوند داده و شوک‌های وارده به هر سطح بازار را به سطح تولیدکننده، عمده فروشی و خرده فروشی انتقال می‌دهد. بررسی چگونگی انتقال قیمت در سطوح مختلف بازار، به گونه‌ای مرتبط با کارایی نظام بازاریابی بوده و رفاه تولیدکنندگان و مصرف‌کنندگان را متاثر می‌سازد. مطالعه حاضر چگونگی مکانیزم انتقال قیمت را در بازار خرما طی دوره 1391:4-1361:1 با استفاده از مدل گارچ دو متغیره به روش بردار مشخصه مورد بررسی قرار داد. نتایج آزمون همگرائی جوهانسن حاکی از ارتباط بلندمدت میان شاخص بهای تولیدکننده و شاخص بهای مصرف‌کننده خرما می باشد. نتایج آزمون علیت گرنجر نشان داد که یک رابطه علی یک طرفه از شاخص بهای مصرف‌کننده به سمت شاخص بهای تولیدکننده وجود دارد. نتایج همچنان حاکی از آن است که نرخ تغییر در قیمت‌های مصرفی به طور جزئی باعث تغییر در قیمت‌های تولیدی می‌شود به طوریکه یک واحد افزایش در شاخص قیمت مصرف‌کننده به میزان کمتر از یک واحد (003/0 واحد) شاخص قیمت تولیدکننده را افزایش می‌دهد به عبارت دیگر انتقال قیمت در بازار خرما به صورت ناقص انجام می‌گیرد. لذا در راستای سیاست‌های اصلاح نظام ناقص بازار خرما و ایجاد ثبات درآمد تولیدکنندگان، توصیه می‌شود دولت با اجرای سیاست های تنظیم بازار و حضور به موقع دستگاه مباشر در بازار خرید این محصول در فصل برداشت و انجام اقدامات حمایتی و ساختاری همانند انبارداری و بسته بندی به موقع و مناسب، منجر به انتقال متعادل قیمت و نتیجتا افزایش رفاه تولیدکننده و مصرف کننده گردد.
کلیدواژه‌ها
عنوان مقاله [English]
Determination of the Price Transmission Mechanism in Iran Dates Market (Application of BV GARCH Model)
نویسندگان [English]
- H. Sherafatmand
- A. A. Baghestany
Azad University
چکیده [English]
Introduction: Agricultural prices are one of the most important tools for resource allocation in an economy. Evidence suggests that, agricultural prices in comparison with other goods prices have more volatility. If these volatility leads to asymmetric price transmission, this subject will be very important. In other words, if changes in the market price are not absolutely transferred between levels, asymmetric price transmission has occurred, which is leading to increased marketing margin. Price transmission in different market levels related to the marketing efficiency, which also affected the welfare of producers and consumers. Dates, among all horticultural crops, with a share of 10% of the planted area in our country, after the pistachios and grapes were located in the third highest level, and with 6.5 percent of the total horticulture products after grapes, apples and oranges, are in the fourth highest level. Iran Dates from global production share is 14% in 2012. Despite of important Dates, Dates producers, suffer from volatility and low price of this product. Dates owners considerable expenses for crop production, including purchasing, supply of fertilizers and pesticides, irrigation (water and electricity costs) and the cost of labor in planting and harvesting spent, but in most cases they not only benefit from production, but also sell it below cost. According to the phenomena that Dates owners are not marketed through cooperatives, so farmers are the victims and intermediaries benefited. In such an environment, the marketing of dates, have a significant impact on how prices transmitted. In policy debates, asymmetric price transmission is a phenomenon that arises from imperfect competition in the market and it would be imposing additional costs to consumers. Having this information will help policy makers to adopt the correct policies.
Materials and Methods: To achieve the aims of this study which determines the mechanism of price transmission in dates market bivariate GARCH model was used. Developments of ARCH and GARCH models take into account the nature of the phenomenon Volatility in financial and prices error component regression equations. ARCH model was first introduced by Engle and augmented GARCH model was first introduced by Bollerslev. Due to Conditional variance Heteroscedasticity, ARCH and GARCH models are widely used but little attention has been to this interaction. For this purpose, bivariate GARCH models developed. This study determined the mechanism of price transmission in date's market, over the period 1361: 1-1391: 4 with Diagonal VECH Bivariate GARCH model.
Results and Discussion: With the implementation of augmented Dickey-Fuller test, it was found that the time series producer price index and the consumer price index over the period 1361:1-1391:4 are stationary in first difference. In this study, also Hegy test used for stationary of variables. In this test the unit root hypothesis tested with different periods (for the monthly data used in this study up to 12 repetitions will examined). Next, Johansen co-integration test results showed that there was a long-term relationship between the producer price index and the consumer price index. Granger causality test results indicated that there was a one-way causal relationship from consumer price index to producer price index. The results of this study indicated that the producer price index volatility with one lag has a positive and significant impact on its current volatility. As the results indicated, the covariance coefficient is statistically significant, indicating the volatility spillover between the two levels of the market. The spillover of volatility indicated uncertainty in the retail market and in producers market. The results also indicated that a one unit increase in the consumer price index cause an increase in producer price index less than unity (0.003).
Conclusions: the price transmission in Dates market is incomplete. So it is recommended to policy makers and government for reducing price risk and producers stabilize income, perform market regulation policies and protection policies like as steward devices on the market to buy dates at harvest time and, it needed structural support like appropriate and timely packaging and ware housing which Can lead to an increase in the welfare of producers and consumers as well as reforms in incomplete dates market.
JEL classification: Q1-Q23-E3
کلیدواژه‌ها [English]
- BV GARCH
- Hegy Test
- Inefficient Market
- Price Transmission
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