Dynamic spillover analysis of international and Turkish food prices

Hasan Ertugrul () and Ünal Seven

International Journal of Finance & Economics, 2023, vol. 28, issue 2, 1918-1928

Abstract: This study analyses the dynamic spillover relationship between international and Turkish food prices by employing Markov Switching Regression (MSR) and Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroscedasticity (DCC‐GARCH) models to monthly data from 2003 to 2019. We also investigate the factors that cause a price difference between Turkish and international food markets by employing alternative econometric models, including Autoregressive Distributed Lag (ARDL), Fully Modified OLS (FMOLS), Dynamic OLS (DOLS) and MSR. We find structural shifts in the dynamics of the international/domestic food price relationship, and the relationship varies across the low and high volatility regimes. We also find that the exchange rate significantly affects the growing difference between Turkish and international food prices, while oil prices reduce that difference. Our results point out essential policy recommendations for developing food policies and ensuring sustainability in prices.

Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://doi.org/10.1002/ijfe.2517

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1918-1928

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().