Price Volatility And Integration Of Major Dry Chilli Markets Volume-1-Issue-4 S.B. RAMYA LAKSHMI, I. BHAVANI DEVI AND G. MOHAN NAIDU* Price Volatility And Integration Of Major Dry Chilli Markets 1 Department of Agricultural Economics, S.V. Agricultural College, ANGRAU, Tirupati-517502, A.P. , . 1 2Bamrasnaradura Infectious Diseases Institute , School of Life Science and Technology , Institut Teknologi Bandung (ITB) , Institut Teknologi Bandung (ITB) , Jalan Ganesha No. 10 Bandung , Nonthaburi , 11000 , Thailand . 10.22207/JPAM.12.2.01 Volume 1 Issue 1 Abstract

A research study was conducted in five major chilli markets of India viz., Guntur, Khammam, Byadagi, Nagpur and Virudhunagar. Time series data on monthly prices were collected from 2000-01 to 2012-13 in each market. The market prices of chilli were found to be highly volatile. Johansen’s Multiple Co-integration procedure indicated presence of at least four integration equations at 5 per cent level of significance. Hence markets are having long run equilibrium relationship. Guntur, Nagpur and Virudhunagar markets came to short run equilibrium. Granger causality test showed a bidirectional influence between Khammam and Byadagi; Nagpur and Virudhunagar and unidirectional influence between Guntur and Byadagi; Guntur and Khammam.

Granger causality test, integration, Johansen’s Multiple Co-integration, Volatile References