Investigation on Risk and Price Relationship Between Agriculture Commodity Exchange and Traditional Market for Livestock Feed
Maize, barley and Soybean meal are important products in feeding livestock and poultry in Iran. Price change of
these inputs affected on the producers and consumers of meat in the country. Therefore identifying and administrate these
price change shocks is very important for policy makers. The aim of this study is Investigation on Risk and price relationship
between the price of commodity exchange and traditional markets in maize, barely and soybean meal. For this purpose, we
used monthly spot (cash) price data over price data from March 2010 to November 2015 in commodity Exchange and
traditional markets. Techniques used for price risk are Standard Deviation, Coefficient 0f Variation, Percentage Range and
Average Percentage. For testing price relation new methods of econometric time series, co-integration and the Vector
autoregressive model was used. Results suggest that commodity Exchange market price risk is lower than traditional
market, also the long-run relationship between the price of commodity exchange and traditional markets for maize, barely
and soybean meal. Granger causality test shows the price variable in commodity exchange is the cause of price changes in
traditional market. Therefore the correct pricing system on the Commodity Exchange as the market leader, and create
mechanisms to prevent the transmission of Fluctuations in to the traditional market.
Keywords- commodity exchange markets, inputs and livestock, price risk, price integration.