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Climate policy uncertainty, geopolitical risk, oil volatility, and global food price volatility: A time-varying analysis

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  • Eissa, Mohamed Abdelaziz
  • Al Refai, Hisham
  • Chortareas, Georgios

Abstract

This study investigates the impact of climate policy uncertainty (CPU), geopolitical risk (GPR), economic policy uncertainty (EPU), and oil volatility (OVX) on global food price volatility (VFPI), addressing gaps in the literature on dynamic and multi-source uncertainty effects. Prior research has explored individual determinants of food price fluctuations, but few studies integrate multiple uncertainty indices in a time-varying framework. Using monthly data from June 2007 to August 2023, we apply a Time-Varying Coefficient Vector Autoregression (TVC-VAR) and Markov Switching VAR (MS-VAR) model to assess how these shocks propagate over time. Our results show that CPU has become an increasingly influential driver of food price volatility, especially post-2015, while GPR and OVX exert strong short-run effects. EPU displays a stabilizing influence, particularly during crises. These findings reveal evolving transmission mechanisms of uncertainty into food markets and highlight the need for adaptive, coordinated policy frameworks to safeguard global food security in an era of rising climate and geopolitical risks.

Suggested Citation

  • Eissa, Mohamed Abdelaziz & Al Refai, Hisham & Chortareas, Georgios, 2025. "Climate policy uncertainty, geopolitical risk, oil volatility, and global food price volatility: A time-varying analysis," Economic Modelling, Elsevier, vol. 152(C).
    • Handle: RePEc:eee:ecmode:v:152:y:2025:i:c:s0264999325002676
    DOI: 10.1016/j.econmod.2025.107272
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    JEL classification:

    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy; Animal Welfare Policy
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F51 - International Economics - - International Relations, National Security, and International Political Economy - - - International Conflicts; Negotiations; Sanctions

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