2016年-世界发展银行全球_Price_Transmission_from_International_to_Domestic_Markets_47页_1mb

Summary of "Price Transmission from International to Domestic Markets"

Core Content

This study investigates the extent and speed of international cereal price transmission to domestic markets in developing countries. It uses two main data sources: a comprehensive literature sample and the FAO's GIEWS dataset. The analysis focuses on three key aspects: the presence of cointegration, the long-run price transmission coefficient (β), and the short-run adjustment parameter (α). Additionally, it examines the direction of price movements and volatility across different cereals and regions.

Main Views and Key Information

1. Cointegration and Price Transmission

• Cointegration is a key indicator of stable long-term price transmission (PT).
• 79% of international/domestic price pairs in the literature sample are cointegrated, compared to 43% in the GIEWS-based sample.
• The literature sample may be biased due to publication bias, leading to an overrepresentation of cointegration findings.

2. Regional and Product Variations

• Maize markets show a below-average prevalence of cointegration.
• Rice markets show an above-average prevalence of cointegration.
• Africa (domestic prices) is less likely to be cointegrated with international prices than average, according to the literature.
• Asia shows the lowest likelihood of cointegration with international prices, according to the GIEWS data.

3. Long-Run and Short-Run Transmission

• Average long-run PT coefficient (β) is approximately 0.75, indicating that about three-quarters of international price changes are transmitted to domestic markets.
• Average short-run adjustment parameter (α) is 0.09–0.11, suggesting that it takes 6–7 months for half of a price shock to be transmitted.
• Post-2007 changes show:
  • A significant decline in long-run PT coefficients for maize, possibly indicating decoupling of domestic from international prices.
  • Rice and wheat show increased long-run PT but slower short-run adjustment, implying more complete but delayed transmission.

4. Determinants of Price Transmission

• Meta-regression analysis was used to identify factors influencing PT strength.
• Trade openness is positively associated with PT speed, but only significant before July 2007.
• An increasing ratio of net imports to domestic consumption is linked to slower PT, possibly due to intervention in politically sensitive markets.
• Improved logistics are counterintuitive and correlated with slower PT.

5. Direction of Price Movements

• The frequency of agreement in price direction is low at the monthly level and moderately higher at the quarterly level.
• When international prices fall, domestic prices only fall in about 50% of cases, suggesting independence in some price movements.
• When international prices rise, domestic prices are more likely to follow, especially in Europe, Asia, East Africa, and Latin America at the quarterly level.

6. Price Volatility

• Median domestic price volatility has increased since July 2007.
• There is no difference in volatility between domestic prices that are cointegrated with international prices and those that are not.
• Domestic prices are most volatile in East and West Africa, followed by Latin America and Asia.
• Maize and wheat show higher volatility than their international counterparts.
• Rice domestic prices are less volatile than international prices.

Conclusion

The study concludes that price transmission is generally weak in developing countries, with domestic markets often not fully reflecting international price changes. While long-run PT is moderate (around 0.75), short-run adjustment is relatively slow (0.09–0.11). The post-2007 period shows divergent trends, with maize becoming more decoupled and rice and wheat showing more complete but slower transmission. Logistics improvements and trade policies appear to have complex and sometimes counterintuitive effects on PT. Overall, the results support the idea that local factors play a major role in determining domestic price volatility, even in cointegrated markets.