INVESTIGATING THE INTERDEPENDENCY OF AGRICULTURAL PRODUCTION VOLATILITY SPILLOVERS BETWEEN BANGLADESH, INDIA, AND PAKISTAN

Abstract

This paper investigates the dynamics of agricultural production volatility spillovers between Bangladesh, India, and Pakistan. These countries were selected because of their agricultural economic importance to the South Asian region. This study uses per capita agricultural production data for the period 1961–2012, obtained from the Food and Agriculture Organization of the United Nations (FAO) statistical database, to construct and estimate a multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model. The MGARCH model is estimated utilizing the maximum likelihood method. Volatility impulse response functions are also applied to quantify the effects of independent shocks on expected conditional volatility. The model provides good statistical fit and the empirical results indicate significant cross‐country per capita agricultural production volatility spillovers among these countries.