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News and volatility of food prices

Author

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  • Yuqing Zheng
  • Henry Kinnucan
  • Henry Thompson

Abstract

Financial markets exhibit an asymmetric news effect with unexpected low prices generating more price volatility than 'news' of high prices. The present study examines US food markets for such asymmetric news effects. Analysis of 25 years of monthly data for 45 retail food items shows that price news destabilizes about a third of the markets with unexpected price increases more destabilizing.

Suggested Citation

  • Yuqing Zheng & Henry Kinnucan & Henry Thompson, 2008. "News and volatility of food prices," Applied Economics, Taylor & Francis Journals, vol. 40(13), pages 1629-1635.
    • Handle: RePEc:taf:applec:v:40:y:2008:i:13:p:1629-1635
    DOI: 10.1080/00036840600892910
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    Citations

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    Cited by:

    1. Serra, Teresa, 2011. "Food scare crises and price volatility: The case of the BSE in Spain," Food Policy, Elsevier, vol. 36(2), pages 179-185, April.
    2. Matthias Kalkuhl & Lukas Kornher & Marta Kozicka & Pierre Boulanger & Maximo Torero, 2013. "Conceptual framework on price volatility and its impact on food and nutrition security in the short term," FOODSECURE Working papers 15, LEI Wageningen UR.
    3. Sengupta, Sanchita, 2010. "Three Essays in Environmental and Agricultural Issues," ISU General Staff Papers 201001010800002848, Iowa State University, Department of Economics.
    4. Bernhard Brümmer & Olaf Korn & Kristina Schlüßler & Tinoush Jamali Jaghdani, 2016. "Volatility in Oilseeds and Vegetable Oils Markets: Drivers and Spillovers," Journal of Agricultural Economics, Wiley Blackwell, vol. 67(3), pages 685-705, September.
    5. Ganneval, S., 2016. "Spatial price transmission on agricultural commodity markets under different volatility regimes," Economic Modelling, Elsevier, vol. 52(PA), pages 173-185.
    6. Emiliano Magrini & Ayca Donmez, 2013. "Agricultural Commodity Price Volatility and Its Macroeconomic Determinants: A GARCH-MIDAS Approach," JRC Research Reports JRC84138, Joint Research Centre.
    7. Mo, Di & Gupta, Rakesh & Li, Bin & Singh, Tarlok, 2018. "The macroeconomic determinants of commodity futures volatility: Evidence from Chinese and Indian markets," Economic Modelling, Elsevier, vol. 70(C), pages 543-560.
    8. Nourou, Mohammadou, 2015. "Can Mastitis ‘Contaminate’ Poultry? Evidence on the Transmission of Volatility between Poultry and Other Commodity Prices," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 18(A), pages 1-14, July.
    9. Berger, Jurij & Dalheimer, Bernhard & Brümmer, Bernhard, 2021. "Effects of variable EU import levies on corn price volatility," Food Policy, Elsevier, vol. 102(C).
    10. Jan M. Smolarski & Jose G. Vega, 2013. "Extreme events: a study of small oil and gas firms," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(3), pages 809-836, September.
    11. Ojogho, Osaihiomwan & Egware, Robert Awotu, 2015. "Price Generating Process And Volatility In Nigerian Agricultural Commodities Market," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 3(4), pages 1-10, October.
    12. Dahl, Roy Endré & Jonsson, Erlendur, 2018. "Volatility spillover in seafood markets," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 44-59.
    13. Phillip A. Cartwright & Natalija Riabko, 2016. "Further evidence on the explanatory power of spot food and energy commodities market prices for futures prices," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 579-605, October.
    14. Shen Liu & Jing Wang & Chen Sun, 2022. "Asymmetric Price Transmission and Market Power: A Case of the Aquaculture Product Market in China," Sustainability, MDPI, vol. 14(22), pages 1-13, November.
    15. Suranjana Joarder, 2018. "The Commodity Futures Volatility and Macroeconomic Fundamentals - The Case of Oil and Oilseed Commodities in India," International Econometric Review (IER), Econometric Research Association, vol. 10(2), pages 33-50, September.
    16. Ajibade, Toyin Benedict & Ayinde, Opeyemi Eyitayo & Abdoulaye, Tahirou, 2020. "Food Price Volatility in Nigeria and Its Driving Factors: Evidence from Garch Estimates," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 8(4), October.
    17. Chevallier, Julien & Ielpo, Florian, 2017. "Investigating the leverage effect in commodity markets with a recursive estimation approach," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 763-778.

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