This article investigates the causal relationship between global and regional wheat prices in exporting countries and explores the determinants of price volatility pass-throughs. Using a GJR-GARCH model with DCC specifications, the findings indicate a bi-directional causality between world and local prices, with self-sufficiency playing a crucial role in reducing international price volatility spillovers. Consumption of substitute goods like maize or rice also acts as a shock absorber. The COVID-19 crisis and export restrictions exacerbated price instability, highlighting the importance of self-sufficiency policies for market resilience.

Tetsuji Tanaka, Jin Guo