Arbeitspapier
What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets
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.
- Language
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Englisch
- Bibliographic citation
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Series: Economics Discussion Papers ; No. 2018-55
- Classification
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Wirtschaft
Agriculture in International Trade
International Financial Markets
Financial Econometrics
- Subject
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volatility spillovers
food markets
financial and energy markets
generalized VAR
lasso estimation
- Event
-
Geistige Schöpfung
- (who)
-
Śmiech, Sławomir
Papież, Monika
Dąbrowski, Marek A.
Fijorek, Kamil
- Event
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Veröffentlichung
- (who)
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Kiel Institute for the World Economy (IfW)
- (where)
-
Kiel
- (when)
-
2018
- Handle
- Last update
-
10.03.2025, 11:46 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Śmiech, Sławomir
- Papież, Monika
- Dąbrowski, Marek A.
- Fijorek, Kamil
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2018
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