On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVPVAR models with stochastic volatility

Ikram Jebabli (), Mohamed Arouri and Frédéric Teulon

No 2014-209, Working Papers from Department of Research, Ipag Business School

Abstract: Transmission of price shocks from one market to another one has long been investigated in the economic literature. However, studies have namely dealt with the relationship between financial and energy markets. With the recent changes in market conditions,

Keywords: Price volatility; TVP-VAR model; stochastic volatility; total volatility spillovers; directional volatility spillovers; food market; energy market; financial market; portfolios diversification; hedge effectiveness. (search for similar items in EconPapers)
Pages: 59 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-agr and nep-ene
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Citations: View citations in EconPapers (81)

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Journal Article: On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility (2014)
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