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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.

Suggested Citation

  • Apergis, Nicholas & Rezitis, Anthony N., 2011. "Food Price Volatility and Macroeconomic Factors: Evidence from GARCH and GARCH-X Estimates," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 43(01), February.
  • Handle: RePEc:ags:joaaec:100650
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    File URL: http://purl.umn.edu/100650
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    References listed on IDEAS

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    1. 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.
    2. Alan G. Isaac & David E. Rapach, 1996. "Monetary Shocks and Real Farm Prices: A Re-Examination," Others 9602001, EconWPA.
    3. von Braun, Joachim & Torero, Maximo, 2009. "Exploring the Price Spike," Choices, Agricultural and Applied Economics Association, vol. 24(1).
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. 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.
    2. Sukati, Mphumuzi, 2013. "Measuring Maize Price Volatility in Swaziland using ARCH/GARCH approach," MPRA Paper 51840, University Library of Munich, Germany.
    3. 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.
    4. 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.
    5. 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.
    6. 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

    Keywords

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

    JEL classification:

    • 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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