IDEAS home Printed from https://ideas.repec.org/a/ebl/ecbull/eb-11-00186.html
   My bibliography  Save this article

Cross country mean and volatility spillover effects of food prices: multivariate GARCH analysis

Author

Listed:
  • Fardous Alom

    (Lincoln University, New Zealand)

  • Bert D Ward

    (Lincoln University, New Zealand)

  • Baiding Hu

    (Lincoln University, New Zealand)

Abstract

This study assesses the mean and volatility spillover effects of changes in food prices among a number of Asia and Pacific countries - Australia, New Zealand, Korea, Singapore, Hong Kong, Taiwan, India and Thailand - including the USA as a special case using daily observations for 1995 to 2010. Employing an empirical multivariate-TGARCH model this study reveals that while there is weak evidence of own and cross country mean return spillover effects among the selected food markets with strong evidence of mean spillover effects from the USA food price returns to all other markets, but with respect to volatility spillovers there are considerable own and cross country effects and these effects are highly persistent and are non linear. These volatility effects and their persistence should be considered in policy analysis along with the US market's influence in mean return transmission.

Suggested Citation

  • Fardous Alom & Bert D Ward & Baiding Hu, 2011. "Cross country mean and volatility spillover effects of food prices: multivariate GARCH analysis," Economics Bulletin, AccessEcon, vol. 31(2), pages 1439-1450.
    • Handle: RePEc:ebl:ecbull:eb-11-00186
    as

    Download full text from publisher

    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I2-P135.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Regnier, Eva, 2007. "Oil and energy price volatility," Energy Economics, Elsevier, vol. 29(3), pages 405-427, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wanti Fitrianti & Yusman Syaukat & Sri Hartoyo & Anna Fariyanti, 2019. "The Spillover Effect of Shocks of Fundamental Factors and Speculative Activity on Prices Volatility of World Vegetable Oil," International Journal of Economics and Financial Issues, Econjournals, vol. 9(2), pages 230-240.
    2. van Dieijen, M.J. & Borah, A. & Tellis, G.J. & Franses, Ph.H.B.F., 2016. "Volatility Spillovers Across User-Generated Content and Stock Market Performance," ERIM Report Series Research in Management ERS-2016-008-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    3. Mehmet ORHAN & Halil İbrahim ÇELİKEL, 2014. "The Spillover Effects of Fed’s Policies with Emphasis to the Fragile Five," Journal of Economics and Behavioral Studies, AMH International, vol. 6(12), pages 1011-1020.
    4. Serra, Teresa & Zilberman, David, 2013. "Biofuel-related price transmission literature: A review," Energy Economics, Elsevier, vol. 37(C), pages 141-151.
    5. Dahl, Roy Endré & Jonsson, Erlendur, 2018. "Volatility spillover in seafood markets," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 44-59.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bedoui, Rihab & Braiek, Sana & Guesmi, Khaled & Chevallier, Julien, 2019. "On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model," Energy Economics, Elsevier, vol. 80(C), pages 876-889.
    2. Nouf Alsharif & Sambit Bhattacharyya & Maurizio Intartaglia, 2016. "Economic Diversification in Resource Rich Countries: Uncovering the State of Knowledge," Working Paper Series 09816, Department of Economics, University of Sussex Business School.
    3. Jammazi, Rania, 2012. "Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach," Energy, Elsevier, vol. 37(1), pages 430-454.
    4. Wan-Hsiu Cheng, 2008. "Overestimation in the Traditional GARCH Model During Jump Periods," Economics Bulletin, AccessEcon, vol. 3(68), pages 1-20.
    5. Muñoz, M. Pilar & Dickey, David A., 2009. "Are electricity prices affected by the US dollar to Euro exchange rate? The Spanish case," Energy Economics, Elsevier, vol. 31(6), pages 857-866, November.
    6. Chevillon, Guillaume & Rifflart, Christine, 2009. "Physical market determinants of the price of crude oil and the market premium," Energy Economics, Elsevier, vol. 31(4), pages 537-549, July.
    7. Aviral K. Tiwari & Claudiu T. Albulescu & Rangan Gupta, 2016. "Time-frequency relationship between US output with commodity and asset prices," Applied Economics, Taylor & Francis Journals, vol. 48(3), pages 227-242, January.
    8. Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management," Energy Economics, Elsevier, vol. 42(C), pages 332-342.
    9. Eduardo Vicente Mendoza Merch n & Mois s David Vel squez Guti rrez & Diego Armando Medina Montenegro & Jos Ricardo Nu ez Alvarez & John William Grimaldo Guerrero, 2020. "An Analysis of Electricity Generation with Renewable Resources in Germany," International Journal of Energy Economics and Policy, Econjournals, vol. 10(5), pages 361-367.
    10. Eregha, Bright & Mesagan, Ekundayo & Ayoola, Olawale, 2015. "Petroleum Products Prices and Inflationary Dynamics in Nigeria," MPRA Paper 70251, University Library of Munich, Germany.
    11. Edson VENGESAI & Adefemi A. OBALADE & Paul-Francois MUZINDUTSI, 2021. "Country Risk Dynamics and Stock Market Volatility: Evidence from the JSE Cross-Sector Analysis," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 5(2), pages 63-84.
    12. Aloui, Chaker & Jammazi, Rania, 2015. "Dependence and risk assessment for oil prices and exchange rate portfolios: A wavelet based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 62-86.
    13. Bu, Hui, 2014. "Effect of inventory announcements on crude oil price volatility," Energy Economics, Elsevier, vol. 46(C), pages 485-494.
    14. repec:use:tkiwps:11 is not listed on IDEAS
    15. Apergis, Nicholas & Payne, James E., 2017. "Volatility Modeling of U.S. Metropolitan Retail Gasoline Prices: An Empirical Note," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 48(2), September.
    16. Chkili, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Energy Economics, Elsevier, vol. 41(C), pages 1-18.
    17. Kemp-Benedict, Eric, 2013. "Material needs and aggregate demand," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 44(C), pages 16-26.
    18. Jozef Baruník & Evžen KoÄ enda, 2019. "Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets," The Energy Journal, , vol. 40(2_suppl), pages 157-174, December.
    19. Hache, Emmanuel & Lantz, Frédéric, 2013. "Speculative trading and oil price dynamic: A study of the WTI market," Energy Economics, Elsevier, vol. 36(C), pages 334-340.
    20. Tromeur, Eric & Doyen, Luc & Tarizzo, Violaine & Little, L. Richard & Jennings, Sarah & Thébaud, Olivier, 2021. "Risk averse policies foster bio-economic sustainability in mixed fisheries," Ecological Economics, Elsevier, vol. 190(C).
    21. Shimomura, Mizue & Keeley, Alexander Ryota & Matsumoto, Ken'ichi & Tanaka, Kenta & Managi, Shunsuke, 2024. "Beyond the merit order effect: Impact of the rapid expansion of renewable energy on electricity market price," Renewable and Sustainable Energy Reviews, Elsevier, vol. 189(PB).

    More about this item

    Keywords

    Mean; volatility; spillover; multivariate TGARCH; cross country;
    All these keywords.

    JEL classification:

    • D4 - Microeconomics - - Market Structure, Pricing, and Design
    • L7 - Industrial Organization - - Industry Studies: Primary Products and Construction

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-11-00186. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: John P. Conley (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.