International interdependence between cash crop and staple food futures price indices: A wavelet-BEKK-GARCH assessment
E.M. Amrouk and
No 277376, 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia from International Association of Agricultural Economists
This study examines the price level and volatility interaction between international staple food and cash crop futures price indices. Understanding the relationship between these commodities bears significant implication for net food importing developing countries that depend on cash crop to finance food import bills. We use a wavelet analysis to decompose and denoise the price indices and then apply a BEKK-MGARCH approach to analyze the relationship across time-frequency domains. Results indicate the level of correlation and volatility linkages are strongest at lower frequencies (i.e. longer run), with markets adjusting quickly to volatility shocks after a high initial impact. Acknowledgement :
Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-agr
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ags:iaae18:277376
Access Statistics for this paper
More papers in 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia from International Association of Agricultural Economists Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().