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Interdependence between cash crop and staple food international prices across periods of varying financial market stress

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  • El Mamoun Amrouk
  • Stephanie-Carolin Grosche
  • Thomas Heckelei

Abstract

This paper investigates the price dynamics between a selection of international staple food and cash crop futures prices. This price interaction is particularly relevant for developing countries that rely on cash crop export earnings to finance their staple food import requirements. We employ a multivariate Copula-DCC-GARCH model to characterize the cash crop and staple food price interaction over time and a rolling-sample volatility index to identify the direction of the volatility spillover for staple-cash commodity pairs. Results show that the intensity of interaction varies considerably over the sample time, but is, generally positive, and stronger during the period 2007–2012 associated with high commodity prices and financial market stress.

Suggested Citation

  • El Mamoun Amrouk & Stephanie-Carolin Grosche & Thomas Heckelei, 2020. "Interdependence between cash crop and staple food international prices across periods of varying financial market stress," Applied Economics, Taylor & Francis Journals, vol. 52(4), pages 345-360, January.
    • Handle: RePEc:taf:applec:v:52:y:2020:i:4:p:345-360
    DOI: 10.1080/00036846.2019.1645281
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    Cited by:

    1. Jong-Min Kim & Seong-Tae Kim & Sangjin Kim, 2020. "On the Relationship of Cryptocurrency Price with US Stock and Gold Price Using Copula Models," Mathematics, MDPI, vol. 8(11), pages 1-15, October.
    2. Yousaf, Imran & Suleman, Muhammad Tahir & Demirer, Riza, 2022. "Green investments: A luxury good or a financial necessity?," Energy Economics, Elsevier, vol. 105(C).
    3. Liu, Qingyu & Shen, Bin & Wen, Xin, 2023. "Role of climate-smart agriculture in fighting against climate change in competitive supply chains," International Journal of Production Economics, Elsevier, vol. 264(C).
    4. Liu, Rongyan & He, Lingyun & Xia, Yufei & Fu, Yating & Chen, Ling, 2023. "Research on the time-varying effects among green finance markets in China: A fresh evidence from multi-frequency scale perspective," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).

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