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Spillover Dynamics Across Price Inflation and Selected Agricultural Commodity Prices

Mehmet Balcilar () and Festus Bekun ()

No 15-42, Working Papers from Eastern Mediterranean University, Department of Economics

Abstract: This article contributes to the existing empirical literature by examining the spillovers across price inflation and agricultural commodity prices in the case of Nigeria. To achieve this objective, we employ the Diebold and Yilmaz (2012) spillover index. Subsequently, we examine the directional spillover, total spillover, and net spillover indexes. Further analysis to capture cyclical and secular movements were addressed with 40 months of subsamples via the rolling window analysis. Our empirical results, based on the monthly frequency data from January 2006 to July 2016 show that the total spillover effect was about 75%. This suggests a high interconnectedness of the selected agricultural commodity prices and inflation. Our study further reveal that inflation, sorghum, soybeans, and wheat were net receivers while cocoa, barley, groundnut, maize, rice were net givers. We find a negative net spillover for price inflation, implying a net positive spillover from commodity prices to price inflation These outcomes have inherent policy implications for the government administrators, farmers, investors and all stakeholders.

Keywords: CO2 emissions; Agricultural commodity prices; inflation; VAR model; forecast error variance; price spillover; Nigeria. (search for similar items in EconPapers)
JEL-codes: C32 Q02 Q43 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-agr
Date: 2018
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http://repec.economics.emu.edu.tr/RePEc/emu/wpaper/15-42.pdf First version, 2018 (application/pdf)

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