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An analysis of the interdependence between cash crop and staple food futures prices

El Mamoun Amrouk, Stephanie-Carolin Grosche and Thomas Heckelei

No 265665, Discussion Papers from University of Bonn, Institute for Food and Resource Economics

Abstract: This paper investigates the price dynamics between a selection of international staple food and cash crop futures prices. This price interaction is particularly relevant for developing countries that rely on cash crop export earnings to finance their staple food import requirements. We employ a multivariate Copula-DCC-GARCH model to characterize the cash crop and staple food price interaction over time and a rolling-sample volatility index to identify the direction of the volatility spillover for staple-cash commodity pairs. Results show that the intensity of interaction varies considerably over the sample time, but is, generally positive, and stronger during the period 2007-2012 associated with high commodity prices and financial market stress.

Keywords: Agribusiness; Agricultural and Food Policy; Agricultural Finance; Community/Rural/Urban Development; Consumer/Household Economics; Demand and Price Analysis; Financial Economics; Food Security and Poverty; International Development; International Relations/Trade; Political Economy; Research Methods/ Statistical Methods; Resource /Energy Economics and Policy; Risk and Uncertainty (search for similar items in EconPapers)
Pages: 37
Date: 2017-12-05
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DOI: 10.22004/ag.econ.265665

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