Assessing volatility spillover effect between international milk powder and China’s raw milk markets in the context of import growth
AbstractWith the increased opening of China’s dairy industry to the outside world and the cost advantages of imported dairy products, China’s dairy product import trade has grown rapidly in recent years. The rapidly changing global trading system highlights the importance of understanding the dynami...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2023-12-01
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| Series: | Cogent Food & Agriculture |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23311932.2023.2253715 |
| _version_ | 1797435609858441216 |
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| author | Qianqian Wang Rongzhu Cheng Wangfang Xu |
| author_facet | Qianqian Wang Rongzhu Cheng Wangfang Xu |
| author_sort | Qianqian Wang |
| collection | DOAJ |
| description | AbstractWith the increased opening of China’s dairy industry to the outside world and the cost advantages of imported dairy products, China’s dairy product import trade has grown rapidly in recent years. The rapidly changing global trading system highlights the importance of understanding the dynamics of China’s relationship with the world market as a major global importer of dairy products. In this study, on the basis of analyzing the mechanism of volatility spillover and the structure of China’s milk powder import trade, we selected Global Dairy Trade (GDT)’s milk powder as the representative of international milk powder and investigated the volatility spillover effect between GDT milk powder and China’s raw milk markets by using the Baba-Engle-Kraft-Kroner (BEKK)-generalized autoregressive conditional heteroscedasticity (GARCH) (1,1) model. The results showed that there was a bidirectional volatility spillover effect between GDT whole milk powder and China’s raw milk market; however, there was a unidirectional volatility spillover effect between the GDT skim milk powder and China’s raw milk market. China’s raw milk market had no volatility spillover effect on the GDT skim milk powder market. |
| first_indexed | 2024-03-09T10:49:49Z |
| format | Article |
| id | doaj.art-a2d0f5d83079438fbcf1b6b44e2a2921 |
| institution | Directory Open Access Journal |
| issn | 2331-1932 |
| language | English |
| last_indexed | 2024-03-09T10:49:49Z |
| publishDate | 2023-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Food & Agriculture |
| spelling | doaj.art-a2d0f5d83079438fbcf1b6b44e2a29212023-12-01T08:31:55ZengTaylor & Francis GroupCogent Food & Agriculture2331-19322023-12-019110.1080/23311932.2023.2253715Assessing volatility spillover effect between international milk powder and China’s raw milk markets in the context of import growthQianqian Wang0Rongzhu Cheng1Wangfang Xu2School of Economics and Management, Zhejiang Sci-Tech University, Hangzhou, ChinaCollege of Management, Sichuan Agricultural University, Chengdu, ChinaChina Academy for Rural Development, Zhejiang University, Hangzhou, ChinaAbstractWith the increased opening of China’s dairy industry to the outside world and the cost advantages of imported dairy products, China’s dairy product import trade has grown rapidly in recent years. The rapidly changing global trading system highlights the importance of understanding the dynamics of China’s relationship with the world market as a major global importer of dairy products. In this study, on the basis of analyzing the mechanism of volatility spillover and the structure of China’s milk powder import trade, we selected Global Dairy Trade (GDT)’s milk powder as the representative of international milk powder and investigated the volatility spillover effect between GDT milk powder and China’s raw milk markets by using the Baba-Engle-Kraft-Kroner (BEKK)-generalized autoregressive conditional heteroscedasticity (GARCH) (1,1) model. The results showed that there was a bidirectional volatility spillover effect between GDT whole milk powder and China’s raw milk market; however, there was a unidirectional volatility spillover effect between the GDT skim milk powder and China’s raw milk market. China’s raw milk market had no volatility spillover effect on the GDT skim milk powder market.https://www.tandfonline.com/doi/10.1080/23311932.2023.2253715volatility spillover effectGDT milk powderChina’s raw milkBEKK-GARCH model |
| spellingShingle | Qianqian Wang Rongzhu Cheng Wangfang Xu Assessing volatility spillover effect between international milk powder and China’s raw milk markets in the context of import growth Cogent Food & Agriculture volatility spillover effect GDT milk powder China’s raw milk BEKK-GARCH model |
| title | Assessing volatility spillover effect between international milk powder and China’s raw milk markets in the context of import growth |
| title_full | Assessing volatility spillover effect between international milk powder and China’s raw milk markets in the context of import growth |
| title_fullStr | Assessing volatility spillover effect between international milk powder and China’s raw milk markets in the context of import growth |
| title_full_unstemmed | Assessing volatility spillover effect between international milk powder and China’s raw milk markets in the context of import growth |
| title_short | Assessing volatility spillover effect between international milk powder and China’s raw milk markets in the context of import growth |
| title_sort | assessing volatility spillover effect between international milk powder and china s raw milk markets in the context of import growth |
| topic | volatility spillover effect GDT milk powder China’s raw milk BEKK-GARCH model |
| url | https://www.tandfonline.com/doi/10.1080/23311932.2023.2253715 |
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