What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets

Sławomir Śmiech (), Monika Papież (), Kamil Fijorek and Marek Dąbrowski

Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2019, vol. 13, No 2019-14, 32 pages

Abstract: The aim of this study is to investigate sources of food prices volatility. The analysis uses daily series for volatility of corn, soybean, wheat, rice, US dollar, crude oil, and SP500 futures spanning the period January 4, 2000 to April 1, 2017. The authors employ the generalized vector autoregressive framework in rolling sample approach in order to capture the time-varying nature of volatility spillovers. The results reveal that: volatility spillovers measures change over time; most of the volatility spillovers are observed within the two groups of markets: food markets and 'non-food' markets; corn market is net volatility transmitter.

Keywords: Volatility spillovers; food markets; financial and energy markets; generalized VAR; lasso estimation (search for similar items in EconPapers)
JEL-codes: C58 G15 Q17 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://dx.doi.org/10.5018/economics-ejournal.ja.2019-14
https://www.econstor.eu/bitstream/10419/193189/1/Economics_2019-14.pdf (application/pdf)

Related works:
Working Paper: What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets (2018)
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:zbw:ifweej:201914

DOI: 10.5018/economics-ejournal.ja.2019-14

Access Statistics for this article

Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) is currently edited by Dennis J. Snower

More articles in Economics - The Open-Access, Open-Assessment E-Journal (2007-2020) from Kiel Institute for the World Economy (IfW Kiel) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().