Journal Article
No. 2019-14 | February 13, 2019
What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets

Abstract

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.

Data Set

JEL Classification:

Q17, G15, C58

Assessment

  • Downloads: 682 (Discussion Paper: 804)

Links

Cite As

Sławomir Śmiech, Monika Papież, Kamil Fijorek, and Marek A. Dąbrowski (2019). What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets. Economics: The Open-Access, Open-Assessment E-Journal, 13 (2019-14): 1–32. http://dx.doi.org/10.5018/economics-ejournal.ja.2019-14


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