L'influence de l'activité financière sur la volatilité des prix des denrées alimentaires

Camille Aït Youcef and Gaye Del Lo
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Camille Aït Youcef: BETA - Bureau d'Économie Théorique et Appliquée - INRA - Institut National de la Recherche Agronomique - UNISTRA - Université de Strasbourg - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique

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Abstract: The intensification of the relationship between financial and agricultural markets seems to be an important determinant of agricultural commodity prices. In order to study this potential phenomenon, a DCC-GARCH model linked with a causality test in variance is used. The results of this article show a causal relationship between the volatility of agricultural products and the financial markets, suggesting a potential implication of the financial markets in the recent rises in agricultural product prices.

Keywords: Agricultural economics; Finance; Macroeconomics; DCC-GARCH model; Causality in variance; Economia agricola; Finanzas; Macroeconomia; Modelo DCC-GARCH; Causalidad en varianza; Causalité en variance; Modèle DCC-GARCH; Économie agricole; Macro-économie (search for similar items in EconPapers)
Date: 2017
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Published in Mondes en Développement, 2017, 179 (3), pp.45-66. ⟨10.3917/med.179.0045⟩

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Journal Article: L’influence de l’activité financière sur la volatilité des prix des denrées alimentaires (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01753788

DOI: 10.3917/med.179.0045

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