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

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  • Camille Aït-Youcef
  • Gaye Del Lo

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.

Suggested Citation

  • Camille Aït-Youcef & Gaye Del Lo, 2017. "L’influence de l’activité financière sur la volatilité des prix des denrées alimentaires," Mondes en développement, De Boeck Université, vol. 0(3), pages 45-66.
    • Handle: RePEc:cai:meddbu:med_179_0045
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