Price volatility and price transmission in perishable commodity markets: evidence from Chinese lychee markets

摘要

This paper examines price volatility and price transmission in lychee markets in China. The empirical results provide strong evidence of price volatility clustering in farm and retail markets, and the farm prices exhibit negative asymmetric volatility. We find a bi-directional Granger causal relationship between farm prices and retail prices. The impulse analysis shows that the retail price responses to farm price shocks reach the maximum value faster than the farm price responses to retail price shocks. Retail price shocks cause larger short-run positive effects on farm prices. The variance decomposition indicates that the long-run effects of retail price shocks on farm price changes are larger than the effects of farm price shocks on retail price changes.