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Volatility Spillover between Water, Energy and Food

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  • Massimo Peri

    (Department of Economics, Management and Quantitative Methods, University of Milan, 20122 Milan, Italy)

  • Daniela Vandone

    (Department of Economics, Management and Quantitative Methods, University of Milan, 20122 Milan, Italy)

  • Lucia Baldi

    (Department of Food, Environmental and Nutritional Sciences, University of Milan, 20133 Milan, Italy)

Abstract

Water, energy, and food and are strongly interconnected, and the sustainability of the whole world depends on this link. The aim of this article is to analyze the volatility spillovers between indexes representing the financial component of this nexus. We use a multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with daily data in which the water variable is proxy by equity index that represents the performance of the industry involved in water business both at the global and local levels. For the food and energy sectors, we use two sub-indexes of the S&P Goldman Sachs (GS)-Commodity Index. Our results highlight the existence of a financial nexus between water, energy, and food that was particularly exacerbated during 2008 crisis. Evidence therefore suggests the need to better investigate the policy options that can be used to reduce price volatility in a framework of the rising relevance of sustainability issues.

Suggested Citation

  • Massimo Peri & Daniela Vandone & Lucia Baldi, 2017. "Volatility Spillover between Water, Energy and Food," Sustainability, MDPI, vol. 9(6), pages 1-16, June.
    • Handle: RePEc:gam:jsusta:v:9:y:2017:i:6:p:1071-:d:101981
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    References listed on IDEAS

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    Cited by:

    1. Rajibur Reza & Gurudeo Anand Tularam & Xiyang Li & Bin Li, 2022. "Investments in the Asian water sector: an analysis based on the DCC-GARCH model," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-9, December.
    2. Adrian Ioan Felea & Ioan Felea & Calin Radu Hoble, 2023. "Multicriteria Quantification of the Compatibility of the Targets from Romania’s Relevant Strategies with the European Green Deal," Sustainability, MDPI, vol. 15(18), pages 1-14, September.
    3. Tiwari, Aviral Kumar & Adewuyi, Adeolu O. & Adeleke, Musefiu Adebowale & Abakah, Emmanuel Joel Aikins, 2023. "A time-varying Granger causality analysis between water stock and green stocks using novel approaches," Energy Economics, Elsevier, vol. 126(C).
    4. Ghosh, Bikramaditya & Gubareva, Mariya & Ghosh, Anandita & Paparas, Dimitrios & Vo, Xuan Vinh, 2024. "Food, energy, and water nexus: A study on interconnectedness and trade-offs," Energy Economics, Elsevier, vol. 133(C).
    5. Reza, Rajibur & Tularam, Gurudeo Anand & Li, Bin, 2021. "A review of global research on private investment in the water sector," Utilities Policy, Elsevier, vol. 72(C).

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