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Cross country mean and volatility spillover effects of food prices: multivariate GARCH analysis

Author

Listed:
  • Fardous Alom

    () (Lincoln University, New Zealand)

  • Bert D Ward

    () (Lincoln University, New Zealand)

  • Baiding Hu

    () (Lincoln University, New Zealand)

Abstract

This study assesses the mean and volatility spillover effects of changes in food prices among a number of Asia and Pacific countries - Australia, New Zealand, Korea, Singapore, Hong Kong, Taiwan, India and Thailand - including the USA as a special case using daily observations for 1995 to 2010. Employing an empirical multivariate-TGARCH model this study reveals that while there is weak evidence of own and cross country mean return spillover effects among the selected food markets with strong evidence of mean spillover effects from the USA food price returns to all other markets, but with respect to volatility spillovers there are considerable own and cross country effects and these effects are highly persistent and are non linear. These volatility effects and their persistence should be considered in policy analysis along with the US market's influence in mean return transmission.

Suggested Citation

  • Fardous Alom & Bert D Ward & Baiding Hu, 2011. "Cross country mean and volatility spillover effects of food prices: multivariate GARCH analysis," Economics Bulletin, AccessEcon, vol. 31(2), pages 1439-1450.
  • Handle: RePEc:ebl:ecbull:eb-11-00186
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I2-P135.pdf
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    References listed on IDEAS

    as
    1. Regnier, Eva, 2007. "Oil and energy price volatility," Energy Economics, Elsevier, vol. 29(3), pages 405-427, May.
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    Citations

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    Cited by:

    1. Mehmet ORHAN & Halil İbrahim ÇELİKEL, 2014. "The Spillover Effects of Fed’s Policies with Emphasis to the Fragile Five," Journal of Economics and Behavioral Studies, AMH International, vol. 6(12), pages 1011-1020.
    2. Wanti Fitrianti & Yusman Syaukat & Sri Hartoyo & Anna Fariyanti, 2019. "The Spillover Effect of Shocks of Fundamental Factors and Speculative Activity on Prices Volatility of World Vegetable Oil," International Journal of Economics and Financial Issues, Econjournals, vol. 9(2), pages 230-240.
    3. Serra, Teresa & Zilberman, David, 2013. "Biofuel-related price transmission literature: A review," Energy Economics, Elsevier, vol. 37(C), pages 141-151.
    4. Dahl, Roy Endré & Jonsson, Erlendur, 2018. "Volatility spillover in seafood markets," Journal of Commodity Markets, Elsevier, vol. 12(C), pages 44-59.
    5. van Dieijen, M.J. & Borah, A. & Tellis, G.J. & Franses, Ph.H.B.F., 2016. "Volatility Spillovers Across User-Generated Content and Stock Market Performance," ERIM Report Series Research in Management ERS-2016-008-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.

    More about this item

    Keywords

    Mean; volatility; spillover; multivariate TGARCH; cross country;

    JEL classification:

    • D4 - Microeconomics - - Market Structure, Pricing, and Design
    • L7 - Industrial Organization - - Industry Studies: Primary Products and Construction

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