چكيده به لاتين
Abstract:
Spillover effect of price fluctuations indicate that price fluctuation in different markets can cause mutual effect on the other ones. One of the most important factors on price fluctuation of the poultry feed imported is the effective currency rate. In this paper, in order to investigate the foregoing relationships, the specific date related to equivalence rate of Rial with Euro and Dollar currencies and also price of corn and soybean meal feed has been used. In fact, effect of positive and negative shocks on the said currency rates on time domain of price of corn and soybean meal has been separately analyzed and the VAR-Multivariate GARCH pattern has been used.
Results indicate that the reaction of corn price with respect to positive shocks in price of Euro and Dollar currencies is more than that of the negative shocks. However, regarding soybean meal result is opposite. Meaning that the reaction of soybean meal with respect to negative shocks in currency rates is more than that of the positive shocks. This fact is due to more dependent of the country on import of soybean meal in comparison with corn. Therefore, it is suggested that the government, instead of using a specific currency in its economic transactions, use a currency basket belonging to all countries which are a party to such transactions to be able to end the price fluctuations of imported goods and other parts of the economy which are caused by turmoil due to dependence only on one currency such as Dollar or Euro, or decrease dependence of the country on import of soybean meal, if possible.
Key Words: Spillover effet, asymmetric effects, Corn and Soybean meal, Structural break, MGARCH Model, Zivot and Andrews Method.
