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Agricultural price volatility spillover effects: the case of Greece

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  • Nicholas Apergis
  • Anthony Rezitis

Abstract

This paper investigates volatility spillover effects across agricultural input prices, agricultural output prices and retail food prices using the technique of Generalised Autoregressive Conditional Heteroscedastic (GARCH) models. The empirical findings show that the volatility of both agricultural input and retail food prices exerts significant, positive spillover effects on the volatility of agricultural output prices. Moreover, the volatility of agricultural output prices has a significant, positive impact on its own volatility. Agricultural output prices are shown to be more volatile than agricultural input and retail food prices. Copyright 2003, Oxford University Press.

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Bibliographic Info

Article provided by Foundation for the European Review of Agricultural Economics in its journal European Review of Agricultural Economics.

Volume (Year): 30 (2003)
Issue (Month): 3 (September)
Pages: 389-406

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Handle: RePEc:oup:erevae:v:30:y:2003:i:3:p:389-406

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Cited by:
  1. Pozo, Veronica F. & Schroeder, Ted C., 2012. "Price and Volatility Spillover between Livestock and Related Commodity Markets," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124798, Agricultural and Applied Economics Association.
  2. 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.
  3. George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," Research Papers 0506, Macquarie University, Department of Economics.
  4. Serra, Teresa & Gil, Jose Maria, 2012. "Price volatility in food markets: can stock building mitigate price fluctuations?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126055, International Association of Agricultural Economists.
  5. Ioanna Reziti, 2005. "The Relationship Between Macroeconomic Variables and Relative Price Variability in Greek Agriculture," International Advances in Economic Research, Springer, vol. 11(1), pages 111-119, March.
  6. Kong, Minji & Han, Doo Bong & Nayga, Rodolfo M., Jr., 2012. "Interrelationship and Volatility Transmission between Grain and Oil Prices," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124377, Agricultural and Applied Economics Association.

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