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Agricultural price volatility spillover effects: the case of Greece

  • Nicholas Apergis
  • Anthony Rezitis

This paper investigates volatility spillover effects across agricultural input prices, agricultural output prices and retail food prices using the technique of Generalised Autoregressive Conditional Heteroscedastic (GARCH) models. The empirical findings show that the volatility of both agricultural input and retail food prices exerts significant, positive spillover effects on the volatility of agricultural output prices. Moreover, the volatility of agricultural output prices has a significant, positive impact on its own volatility. Agricultural output prices are shown to be more volatile than agricultural input and retail food prices. Copyright 2003, Oxford University Press.

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Article provided by Foundation for the European Review of Agricultural Economics in its journal European Review of Agricultural Economics.

Volume (Year): 30 (2003)
Issue (Month): 3 (September)
Pages: 389-406

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Handle: RePEc:oup:erevae:v:30:y:2003:i:3:p:389-406
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