Food Price Volatility and Asymmetries in Rural Areas of South Mediterranean Countries: A Copula-Based GARCH Model

Fabian Capitanio, Giorgia Rivieccio and Felice Adinolfi
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Fabian Capitanio: Department of Veterinary Medical Sciences, University of Naples Federico II, 80137 Naples, Italy
Giorgia Rivieccio: Department of Managerial Studies and Quantitative Methods, University Parthenope Naples, 80133 Naples, Italy
Felice Adinolfi: Department of Veterinary Medical Sciences, University ALMA Mater Bologna, 40064 Ozzano dell’Emilia, Italy

IJERPH, 2020, vol. 17, issue 16, 1-14

Abstract: Many discussions following the 2007/08 food price crisis have revolved around the magnitude of the negative impacts that it may have had on food security worldwide. In South-Eastern Mediterranean countries (SEMC), food security is strongly interrelated with several key economic and political issues. Many of these countries are becoming increasingly import-dependent, particularly on cereals, which are the essential raw material for human and animal food and feed. Due to both their economic system structure and consumption, the SEMC are responsible for a third of world cereals imports, whereas they account for only 5% of the world population. Given the set of constraints and this dependence on global markets, SEMC will be probably more exposed to severe swings in agricultural commodity prices in the coming years. In this view, this study examines the dependence structure among global food grain markets and Morocco and provides flexible models for dependency and the conditional volatility GARCH. A copula-based GARCH model has been carried out to estimate the marginal distributions of Morocco and world cereals commodity price changes. The results revealed that the joint co-movement between agricultural commodity price changes around the world and in Morocco, are generally considerable and there exists asymmetric tail dependence.

Keywords: food prices; price volatility; food riots; social unrest (search for similar items in EconPapers)
JEL-codes: I I1 I3 Q Q5 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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