Food price dynamics and inflation in Sri Lanka

Food price dynamics and inflation in Sri Lanka

Food price contributes the largest share in the general price index in developing countries. Consequently, the nature of food price dynamics, global and domestic food price and volatility transmission influence the general price inflation. The main objective of the study is to examine food price dyn...

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Main Author: Sivrajasingham, Selliah
Format: Thesis
Language:eng
eng
Published: 2016
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HC Economic History and Conditions
Online Access:https://etd.uum.edu.my/6248/1/s95800_01.pdf
https://etd.uum.edu.my/6248/2/s95800_02.pdf
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institution Universiti Utara Malaysia
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language eng
eng
advisor Applanaidu, Shri Dewi
Hassan, Sallahuddin
topic HC Economic History and Conditions
spellingShingle HC Economic History and Conditions
Sivrajasingham, Selliah
Food price dynamics and inflation in Sri Lanka
description Food price contributes the largest share in the general price index in developing countries. Consequently, the nature of food price dynamics, global and domestic food price and volatility transmission influence the general price inflation. The main objective of the study is to examine food price dynamics and inflation in Sri Lanka for the period of 2003M1-2014M12 by focusing on two perspectives: i) long memory of food price inflation and ii) food price transmission. This study attempts to examine specifically (i) the long memory properties of food price dynamics, (ii) the transmission of global food price dynamics to domestic prices, (iii) the transmission of global food price volatility to domestic prices, and (iv) the spillover effects of domestic food prices on overall consumer price. Rescaled range statistic, Geweke and Porter–Hudak statistic, Local Whittle estimator, autoregressive fractional integrated moving average model and fractional integrated generalised autoregressive conditional heteroscedastic model were used to estimate the long memory parameter of the food price series. Cointegration technique, error correction models, Granger causality analysis, and impulse response function analysis (IRF) were employed to investigate the price transmission effects. The long memory analysis shows that all food price and volatility series possess long memory. The cointegration and causality analysis show that the global food price and volatility transmit significantly to the domestic prices. In addition, the results also reveal that the domestic food prices influence positively and significantly the overall consumer price. IRF analysis also shows that there is a positive shock of global food price on the domestic prices which lasts for longer periods. Hence, the policy makers are recommended to take into account food prices in computing core inflation which is used for monetary policy in Sri Lanka.
format Thesis
qualification_name other
qualification_level Doctorate
author Sivrajasingham, Selliah
author_facet Sivrajasingham, Selliah
author_sort Sivrajasingham, Selliah
title Food price dynamics and inflation in Sri Lanka
title_short Food price dynamics and inflation in Sri Lanka
title_full Food price dynamics and inflation in Sri Lanka
title_fullStr Food price dynamics and inflation in Sri Lanka
title_full_unstemmed Food price dynamics and inflation in Sri Lanka
title_sort food price dynamics and inflation in sri lanka
granting_institution Universiti Utara Malaysia
granting_department School of Economics, Finance & Banking
publishDate 2016
url https://etd.uum.edu.my/6248/1/s95800_01.pdf
https://etd.uum.edu.my/6248/2/s95800_02.pdf
_version_ 1747828044640288768
spelling my-uum-etd.62482021-04-20T01:43:50Z Food price dynamics and inflation in Sri Lanka 2016 Sivrajasingham, Selliah Applanaidu, Shri Dewi Hassan, Sallahuddin School of Economics, Finance & Banking School of Economics Finance and Banking HC Economic History and Conditions Food price contributes the largest share in the general price index in developing countries. Consequently, the nature of food price dynamics, global and domestic food price and volatility transmission influence the general price inflation. The main objective of the study is to examine food price dynamics and inflation in Sri Lanka for the period of 2003M1-2014M12 by focusing on two perspectives: i) long memory of food price inflation and ii) food price transmission. This study attempts to examine specifically (i) the long memory properties of food price dynamics, (ii) the transmission of global food price dynamics to domestic prices, (iii) the transmission of global food price volatility to domestic prices, and (iv) the spillover effects of domestic food prices on overall consumer price. Rescaled range statistic, Geweke and Porter–Hudak statistic, Local Whittle estimator, autoregressive fractional integrated moving average model and fractional integrated generalised autoregressive conditional heteroscedastic model were used to estimate the long memory parameter of the food price series. Cointegration technique, error correction models, Granger causality analysis, and impulse response function analysis (IRF) were employed to investigate the price transmission effects. The long memory analysis shows that all food price and volatility series possess long memory. The cointegration and causality analysis show that the global food price and volatility transmit significantly to the domestic prices. In addition, the results also reveal that the domestic food prices influence positively and significantly the overall consumer price. IRF analysis also shows that there is a positive shock of global food price on the domestic prices which lasts for longer periods. Hence, the policy makers are recommended to take into account food prices in computing core inflation which is used for monetary policy in Sri Lanka. 2016 Thesis https://etd.uum.edu.my/6248/ https://etd.uum.edu.my/6248/1/s95800_01.pdf text eng public https://etd.uum.edu.my/6248/2/s95800_02.pdf text eng public other doctoral Universiti Utara Malaysia Abbott, P. C., Hurt, C., & Tyner, W. E. (2008). What's driving food prices? Farm Foundation, Retrieeved from https://www.farmfoundation.org. Ackley, G. (1978). The costs of inflation. The American Economic Review, 68(2), 149-154. 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