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Agricultural price volatility spillover effects: the case of Greece

Author

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  • Nicholas Apergis
  • Anthony Rezitis

Abstract

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.

Suggested Citation

  • Nicholas Apergis & Anthony Rezitis, 2003. "Agricultural price volatility spillover effects: the case of Greece," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 30(3), pages 389-406, September.
  • Handle: RePEc:oup:erevae:v:30:y:2003:i:3:p:389-406
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    Cited by:

    1. Jiang, Jingze & Marsh, Thomas L. & Tozer, Peter R., 2015. "Policy induced price volatility transmission: Linking the U.S. crude oil, corn and plastics markets," Energy Economics, Elsevier, vol. 52(PA), pages 217-227.
    2. Sarker, Rakhal & Oyewumi, Olubukola Ayodeji, 1. "Trade Policy Change And Price Volatility Spill-Over In A Customs Union: A Case Study Of Lamb Trade Between Namibia And South Africa," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 3(1).
    3. Milunovich, George & Thorp, Susan, 2006. "Valuing volatility spillovers," Global Finance Journal, Elsevier, vol. 17(1), pages 1-22, September.
    4. Ioanna Reziti, 2005. "The Relationship Between Macroeconomic Variables and Relative Price Variability in Greek Agriculture," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 11(1), pages 111-119, February.
    5. Rezitis Anthony N & Stavropoulos Konstantinos S, 2011. "Price Transmission and Volatility in the Greek Broiler Sector: A Threshold Cointegration Analysis," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 9(1), pages 1-37, July.
    6. Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
    7. Teresa Serra & José M. Gil, 2013. "Price volatility in food markets: can stock building mitigate price fluctuations?," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 40(3), pages 507-528, July.
    8. Serra, Teresa, 2011. "Food scare crises and price volatility: The case of the BSE in Spain," Food Policy, Elsevier, vol. 36(2), pages 179-185, April.
    9. repec:kap:sbusec:v:49:y:2017:i:2:d:10.1007_s11187-017-9837-y is not listed on IDEAS
    10. López Cabrera, Brenda & Schulz, Franziska, 2016. "Volatility linkages between energy and agricultural commodity prices," Energy Economics, Elsevier, vol. 54(C), pages 190-203.
    11. repec:pid:journl:v:56:y:2017:i:3:p:265-289 is not listed on IDEAS
    12. Kong, Minji & Han, Doo Bong & Nayga, Rodolfo M., Jr., 2012. "Interrelationship and Volatility Transmission between Grain and Oil Prices," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124377, Agricultural and Applied Economics Association.
    13. 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.
    14. repec:kap:iaecre:v:11:y:2005:i:1:p:111-119 is not listed on IDEAS
    15. Naveen Musunuru, 2016. "Examining Volatility Persistence and News Asymmetry in Soybeans Futures Returns," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 44(4), pages 487-500, December.
    16. Pozo, Veronica F. & Schroeder, Ted C., 2012. "Price and Volatility Spillover between Livestock and Related Commodity Markets," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124798, Agricultural and Applied Economics Association.

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