L’influence de l’activité financière sur la volatilité des prix des denrées alimentaires

Camille Aït-Youcef and Gaye Del Lo

Mondes en développement, 2017, vol. n° 179, issue 3, 45-66

Abstract: The intensification of the relationship between financial and agricultural markets seems to be an important determinant of agricultural commodity prices. In order to study this potential phenomenon, a DCC-GARCH model linked with a causality test in variance is used. The results of this article show a causal relationship between the volatility of agricultural products and the financial markets, suggesting a potential implication of the financial markets in the recent rises in agricultural product prices.

Keywords: Agricultural Economics; Finance; Macroeconomics; DCC-GARCHModel; Causality in Variance (search for similar items in EconPapers)
Date: 2017
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Working Paper: L'influence de l'activité financière sur la volatilité des prix des denrées alimentaires (2017)
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