What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets

Autor: Śmiech Sławomir, Papież Monika, Fijorek Kamil, Dąbrowski Marek A.
Jazyk: angličtina
Rok vydání: 2019
Předmět:
Zdroj: Economics: Journal Articles, Vol 13, Iss 1 (2019)
Druh dokumentu: article
ISSN: 1864-6042
DOI: 10.5018/economics-ejournal.ja.2019-14
Popis: The aim of this study is to investigate sources of food prices volatility. The analysis uses daily series for volatility of corn, soybean, wheat, rice, US dollar, crude oil, and SP500 futures spanning the period January 4, 2000 to April 1, 2017. The authors employ the generalized vector autoregressive framework in rolling sample approach in order to capture the time-varying nature of volatility spillovers. The results reveal that: volatility spillovers measures change over time; most of the volatility spillovers are observed within the two groups of markets: food markets and “non-food” markets; corn market is net volatility transmitter.
Databáze: Directory of Open Access Journals