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What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets

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  • Śmiech, Sławomir
  • Papież, Monika
  • Fijorek, Kamil
  • Dąbrowski, Marek A.

Abstract

The aim of this study is to investigate sources of food prices volatility. The analysis uses daily series for volatility of corn, soybean, wheat, rice, US dollar, crude oil, and SP500 futures spanning the period January 4, 2000 to April 1, 2017. The authors employ the generalized vector autoregressive framework in rolling sample approach in order to capture the time-varying nature of volatility spillovers. The results reveal that: volatility spillovers measures change over time; most of the volatility spillovers are observed within the two groups of markets: food markets and 'non-food' markets; corn market is net volatility transmitter.

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  • Śmiech, Sławomir & Papież, Monika & Fijorek, Kamil & Dąbrowski, Marek A., 2019. "What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-32.
    • Handle: RePEc:zbw:ifweej:201914
    DOI: 10.5018/economics-ejournal.ja.2019-14
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    2. Chang, Lei & Baloch, Zulfiqar Ali & Saydaliev, Hayot Berk & Hyder, Mansoor & Dilanchiev, Azer, 2022. "Testing oil price volatility during Covid-19: Global economic impact," Resources Policy, Elsevier, vol. 78(C).
    3. Papież, Monika & Rubaszek, Michał & Szafranek, Karol & Śmiech, Sławomir, 2022. "Are European natural gas markets connected? A time-varying spillovers analysis," Resources Policy, Elsevier, vol. 79(C).
    4. Samuel Kwaku Agyei & Zangina Isshaq & Siaw Frimpong & Anokye Mohammed Adam & Ahmed Bossman & Oliver Asiamah, 2021. "COVID‐19 and food prices in sub‐Saharan Africa," African Development Review, African Development Bank, vol. 33(S1), pages 102-113, April.
    5. Agie Wandala Putra & Jatna Supriatna & Raldi Hendro Koestoer & Tri Edhi Budhi Soesilo, 2021. "Differences in Local Rice Price Volatility, Climate, and Macroeconomic Determinants in the Indonesian Market," Sustainability, MDPI, vol. 13(8), pages 1-21, April.

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    More about this item

    Keywords

    Volatility spillovers; food markets; financial and energy markets; generalized VAR; lasso estimation;
    All these keywords.

    JEL classification:

    • Q17 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agriculture in International Trade
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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