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How Macroeconomic Factors and International Prices Affect Agriculture Prices Volatility?-Evidence from GARCH-X Model

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Modeling Dependence in Econometrics

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 251))

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Abstract

This study explains China’s agricultural commodities volatility by using the short-term deviations along with the domestic macroeconomic factors as well as the international price factors. The GARCH-X model shows that the short-term deviations make significant and positive effect on volatility, and so, it can be taken as an important factors in estimating and forecasting the agricultural prices. However, it is disappointing that some of the macroeconomic factors are not significant in our model. This is because China is in a transition process, and many macroeconomic factors are not freely moved. Our study also analyzes China’s policy and macroeconomic changes in last decades. To give a more thorough understanding about China’s recent macroeconomic reform is also one of our objectives.

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Authors and Affiliations

  1. Faculty of Economics, Chiang Mai University, Chiang Mai, 50200, Thailand

    Gong Xue & Songsak Sriboonchitta

Authors
  1. Gong Xue
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  2. Songsak Sriboonchitta
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Corresponding author

Correspondence to Gong Xue .

Editor information

Editors and Affiliations

  1. APAN Advanced Institute of Science and Technology, Ishikawa, Japan

    Van-Nam Huynh

  2. Department of Computer Science, University of Texas at El Paso, El Paso, Texas, USA

    Vladik Kreinovich

  3. Faculty of Economics, Chiangmai University, Chiangmai, Thailand

    Songsak Sriboonchitta

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Xue, G., Sriboonchitta, S. (2014). How Macroeconomic Factors and International Prices Affect Agriculture Prices Volatility?-Evidence from GARCH-X Model. In: Huynh, VN., Kreinovich, V., Sriboonchitta, S. (eds) Modeling Dependence in Econometrics. Advances in Intelligent Systems and Computing, vol 251. Springer, Cham. https://doi.org/10.1007/978-3-319-03395-2_32

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  • DOI: https://doi.org/10.1007/978-3-319-03395-2_32

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-03394-5

  • Online ISBN: 978-3-319-03395-2

  • eBook Packages: EngineeringEngineering (R0)

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