Food commodity price volatility and its nexus with monetary factor: an empirical analysis of India

Amritkant Mishra and Amba Agarwal

International Journal of Management Practice, 2021, vol. 14, issue 1, 88-106

Abstract: This empirical analysis strives to properly investigate the potential consequences of the foreign exchange rate and money supply on retail food inflation. It also endeavours to explore the commodity-wise food inflation volatility in Indian outlook. The successful outcome of the ARDL technique sufficiently reveals that in the short run, money supply and foreign exchange rate have a direct impact on food inflation. While on the other hand, in the long run, foreign exchange rate produces a negative impact on food prices. The outcome of causality examination demonstrates that there is no causality running from money supply towards the food inflation, while on the other hand, unidirectional causality exists from the foreign exchange rate toward food inflation in India. Moreover, the result of the volatility analysis reveals that commodities like vegetables, pulses, condiment, fruits, and tea have double-digit inflation with high volatility. While on the other hand, essential commodities such as egg, meat, fish, cereal and milk seem less volatile. The disintegration result amply demonstrates that grains, drain, egg, meat, and fish have a tremendous contribution to the food prices expansion.

Keywords: food inflation; volatility; GARCH; ARDL; money supply. (search for similar items in EconPapers)
Date: 2021
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