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Food Price Volatility and Macroeconomic Factors: Evidence from GARCH and GARCH-X Estimates

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  • Apergis, Nicholas
  • Rezitis, Anthony N.

Abstract

This article examines food price volatility in Greece and how it is affected by short-run deviations between food prices and macroeconomic factors. The methodology follows the GARCH and GARCH-X models. The results show that there exists a positive effect between the deviations and food price volatility. The results are highly important for producers and consumers because higher volatility augments the uncertainty in the food markets. Once the participants receive a signal that the food market is volatile, this might lead them to ask for increased government intervention in the allocation of investment resources and this could reduce overall welfare.

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Bibliographic Info

Article provided by Southern Agricultural Economics Association in its journal Journal of Agricultural and Applied Economics.

Volume (Year): 43 (2011)
Issue (Month): 01 (February)
Pages:

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Handle: RePEc:ags:joaaec:100650

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Web page: http://www.saea.org/jaae/jaae.htm
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Related research

Keywords: relative food prices; volatility; macroeconomic factors; GARCH and GARCHX models; Demand and Price Analysis; Marketing; E60; Q10; Q19;

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  1. Alan G. Isaac & David E. Rapach, 1996. "Monetary Shocks and Real Farm Prices: A Re-Examination," Others 9602001, EconWPA.
  2. von Braun, Joachim & Torero, Maximo, 2009. "Exploring the Price Spike," Choices, Agricultural and Applied Economics Association, vol. 24(1).
  3. Chambers, Robert G. & Just, Richard E., 1982. "An investigation of the effect of monetary factors on agriculture," Journal of Monetary Economics, Elsevier, vol. 9(2), pages 235-247.
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Cited by:
  1. Sukati, Mphumuzi, 2013. "Measuring Maize Price Volatility in Swaziland using ARCH/GARCH approach," MPRA Paper 51840, University Library of Munich, Germany.
  2. Saravia-Matus, Silvia L. & Gomez y Paloma, Sergio & Mary, Sebastien, 2012. "Economics of Food Security: Selected Issues," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), issue 1, April.
  3. Larisa Nicoleta POP & Flavius ROVINARU & Mihaela ROVINARU, 2013. "Assessing The Price Risk On The Romanian Agricultural Market: Analyses And Implications," Interdisciplinary Management Research, Faculty of Economics in Osijek, Croatia, vol. 9, pages 469-479.

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