News and volatility of food prices

Yuqing Zheng, Henry Kinnucan and Henry Thompson

Applied Economics, 2008, vol. 40, issue 13, 1629-1635

Abstract: Financial markets exhibit an asymmetric news effect with unexpected low prices generating more price volatility than 'news' of high prices. The present study examines US food markets for such asymmetric news effects. Analysis of 25 years of monthly data for 45 retail food items shows that price news destabilizes about a third of the markets with unexpected price increases more destabilizing.

Date: 2008
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DOI: 10.1080/00036840600892910

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