Food Price Volatility and Macroeconomic Factors: Evidence from GARCH and GARCH-X Estimates
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- Apergis, Nicholas & Rezitis, Anthony, 2011. "Food Price Volatility and Macroeconomic Factors: Evidence from GARCH and GARCH-X Estimates," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 43(01), pages 95-110, February.
References listed on IDEAS
- 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.
- Alan G. Isaac & David E. Rapach, 1996. "Monetary Shocks and Real Farm Prices: A Re-Examination," Others 9602001, EconWPA.
- von Braun, Joachim & Torero, Maximo, 2009. "Exploring the Price Spike," Choices, Agricultural and Applied Economics Association, vol. 24(1).
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Francq, Christian & Sucarrat, Genaro, 2017. "An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 16-32.
- Sukati, Mphumuzi, 2013. "Measuring Maize Price Volatility in Swaziland using ARCH/GARCH approach," MPRA Paper 51840, University Library of Munich, Germany.
- 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.
- Francq, Christian & Sucarrat, Genaro, 2015. "Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns," MPRA Paper 67140, University Library of Munich, Germany.
- Anthony N. Rezitis & Shaikh Mostak Ahammad, 2016. "Investigating The Interdependency Of Agricultural Production Volatility Spillovers Between Bangladesh, India, And Pakistan," Review of Urban & Regional Development Studies, Wiley Blackwell, vol. 28(1), pages 32-54, March.
- Larisa Nicoleta POP & Flavius ROVINARU & Mihaela ROVINARU, 2013. "Assessing The Price Risk On The Romanian Agricultural Market: Analyses And Implications," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, vol. 9, pages 469-479.
More about this item
Keywordsrelative food prices; volatility; macroeconomic factors; GARCH and GARCHX models; Demand and Price Analysis; Marketing; E60; Q10; Q19;
- E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
- Q10 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - General
- Q19 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Other
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