Spillovers between food and energy prices and structural breaks

Guglielmo Maria Caporale, Alanoud Al-Maadid, Fabio Spagnolo and Nicola Spagnolo

No 02/2016, NCID Working Papers from Navarra Center for International Development, University of Navarra

Abstract: This paper estimates a bivariate VAR-GARCH(1,1) model to examine linkages between food and energy prices. The adopted framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting from four recent events, namely: 1) the 2006 food crisis, 2) the Brent oil bubble, 3) the introduction of the Renewable Fuel Standard (RFS) policy, and 4) the 2008 global financial crisis. The empirical findings suggest that there are significant linkages between food and both oil and ethanol prices. Further, the four events considered had mixed effects, the 2006 food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the price series considered.

Keywords: Energy and food prices; VAR K-model; mean and volatility spillovers (search for similar items in EconPapers)
JEL-codes: C32 F36 G15 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2016-01
New Economics Papers: this item is included in nep-agr and nep-ene
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Citations: View citations in EconPapers (2)

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http://www.sciencedirect.com/science/article/pii/S2110701716300609 Link to published text

Related works:
Journal Article: Spillovers between food and energy prices and structural breaks (2017)
Journal Article: Spillovers between food and energy prices and structural breaks (2017)
Working Paper: Spillovers between Food and Energy Prices and Structural Breaks (2015)
Working Paper: Spillovers between Food and Energy Prices and Structural Breaks (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:nva:unnvaa:wp02-2016

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