<p>The dynamics of price transmission and market cointegration is crucial for understanding the interplay of agricultural prices across the different markets. This study highlights the significance of spatial market cointegration among the chili and ginger markets. The selection of appropriate cointegration methods was decided based on the level of stationarity in the data which is achieved through the Augmented Dickey-Fuller (ADF) test. The initial investigation helps in comprehending the levels of volatility and seasonal indices in the prices of both vegetables. Granger causality tests reveal the presence of bidirectional and unidirectional relationships among markets. A mixed level of stationarity among markets necessitates the use of the Autoregressive Distributed Lag (ARDL) model. The results underscore the stable price relationships and robust connections among selected markets that was validated by F-bounds tests. Long-run and short-run models, analyzed through the ARDL model, demonstrate significant short-term relationships across all chili markets and lagged series of ginger markets. Long-term relationships are identified between lagged differences of Chandigarh and Shimla markets for chili, and between lagged differences of Dehradun and differenced series of Delhi and Shimla markets for ginger. The outcome of the study confirms the market cointegration and price transmission dynamics within chili and ginger markets, offering crucial insights for stakeholders, including consumers and farmers, to enhance marketing and production processes.</p>

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Examining the Market Dynamics of Chili and Ginger: Cointegration and Price Transmission Using Autoregressive Distributed Lag Model

  • S. Vishnu Shankar,
  • Ashu Chandel,
  • C. Nandhini

摘要

The dynamics of price transmission and market cointegration is crucial for understanding the interplay of agricultural prices across the different markets. This study highlights the significance of spatial market cointegration among the chili and ginger markets. The selection of appropriate cointegration methods was decided based on the level of stationarity in the data which is achieved through the Augmented Dickey-Fuller (ADF) test. The initial investigation helps in comprehending the levels of volatility and seasonal indices in the prices of both vegetables. Granger causality tests reveal the presence of bidirectional and unidirectional relationships among markets. A mixed level of stationarity among markets necessitates the use of the Autoregressive Distributed Lag (ARDL) model. The results underscore the stable price relationships and robust connections among selected markets that was validated by F-bounds tests. Long-run and short-run models, analyzed through the ARDL model, demonstrate significant short-term relationships across all chili markets and lagged series of ginger markets. Long-term relationships are identified between lagged differences of Chandigarh and Shimla markets for chili, and between lagged differences of Dehradun and differenced series of Delhi and Shimla markets for ginger. The outcome of the study confirms the market cointegration and price transmission dynamics within chili and ginger markets, offering crucial insights for stakeholders, including consumers and farmers, to enhance marketing and production processes.