Food price volatility and macroeconomic factor volatility: 'heat waves' or 'meteor showers'?
AbstractThis paper investigates volatility spillover effects between relative food prices and explicit macroeconomic fundamentals, i.e. exchange rates, money balances, inflation, and the deficit to income ratio, through the methodology of GARCH models. The findings showed that significant and positive macroeconomic volatility effects influence the volatility of relative food prices. Moreover, the volatility of relative food prices exerts a positive and statistically significant impact on its own volatility. The results imply that the participation of Greece in EMU will diminish the volatility of those macroeconomic factors, implying lower volatility in food prices and thus higher benefits for both producers and consumers.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 10 (2003)
Issue (Month): 3 ()
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- Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009.
"Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns,"
CIRJE-F-675, CIRJE, Faculty of Economics, University of Tokyo.
- Chang, Chia-Lin & Khamkaew, Thanchanok & McAleer, Michael & Tansuchat, Roengchai, 2011. "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1482-1490.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," Working Papers in Economics 10/38, University of Canterbury, Department of Economics and Finance.
- Khamkaew, T. & Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2009. "Modelling conditional correlations in the volatility of Asian rubber spot and futures returns," Econometric Institute Research Papers EI 2009-34, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Tanchanok Khamkaew & Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2009. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," CARF F-Series CARF-F-175, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Nov 2009.
- Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010. "Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns," KIER Working Papers 723, Kyoto University, Institute of Economic Research.
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