Ojogho, O.

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Price rise of agricultural commodities at peak seasons and/or decline during the off-peak periods with the attendant price transmission is often followed by adjustments. However, the speed and efficiency with which the various price adjustments occur given the common attributes of market structure in Nigeria, the price volatility spillover effects and its attendant uncertainty on other agricultural commodity prices remains pertinent. The study, therefore, examined the price volatility transmission among the Nigerian agricultural food commodity prices using the Bayesian Vector Autoregression (BVAR) model for monthly aggregated data on price of meat, cereals, sugar, dairy and aggregate food for the period of January 1990 to February 2014. The results showed that a shock in the price of each agricultural food commodity exhibits complex dynamics of the one- and two-period lags among the commodities, impacting not only on its own price volatility but those of related commodities with a low adjustment speed. Meat price volatility had negative effect on the volatility of cereals, dairy, aggregate food and sugar price that lasted for not less than 11 months. However, the price of sugar first price-lag had negative effect on the volatility of cereals, aggregate food, meat and dairy, got to their minimum after 5, 5, 2 and 4 month respectively and returned to their initial values 16, 11, 5 and 10 months later respectively. The volatilities of agricultural food commodity market prices in Nigeria are influenced by the price shock of the commodities themselves and on the price volatility of other agricultural food commodities. Market-based insurance mechanisms that provide a way to transfer risk and assist farmers and consumers alike in making production and consumption decisions respectively can be made available with proper market integration while government may buy surplus at a competitive price to maintain a buffer stock. Key words: Price, volatility, transmission, agricultural commodity, markets