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The Covid-19 pandemic, Russia-Ukraine War, and Price Uncertainty of Staples: An Application of the VECM-Asymmetric GARCH-M BEKK Method

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  • Urak, Faruk
  • Bilgic, Abdulbaki
  • Florkowski, Wojciech J.

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  • Urak, Faruk & Bilgic, Abdulbaki & Florkowski, Wojciech J., 2023. "The Covid-19 pandemic, Russia-Ukraine War, and Price Uncertainty of Staples: An Application of the VECM-Asymmetric GARCH-M BEKK Method," 2023 Annual Meeting, July 23-25, Washington D.C. 335748, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea23:335748
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    1. Qureshi, Anum & Rizwan, Muhammad Suhail & Ahmad, Ghufran & Ashraf, Dawood, 2022. "Russia–Ukraine war and systemic risk: Who is taking the heat?," Finance Research Letters, Elsevier, vol. 48(C).
    2. Saâdaoui, Foued & Ben Jabeur, Sami & Goodell, John W., 2022. "Causality of geopolitical risk on food prices: Considering the Russo–Ukrainian conflict," Finance Research Letters, Elsevier, vol. 49(C).
    3. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(1), pages 122-150, February.
    4. Boungou, Whelsy & Yatié, Alhonita, 2022. "The impact of the Ukraine–Russia war on world stock market returns," Economics Letters, Elsevier, vol. 215(C).
    5. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Yaya, OlaOluwa S. & Al-Faryan, Mamdouh Abdulaziz Saleh, 2022. "Does oil connect differently with prominent assets during war? Analysis of intra-day data during the Russia-Ukraine saga," Resources Policy, Elsevier, vol. 77(C).
    6. Muzna Alvi & Manavi Gupta, 2020. "Learning in times of lockdown: how Covid-19 is affecting education and food security in India," Food Security: The Science, Sociology and Economics of Food Production and Access to Food, Springer;The International Society for Plant Pathology, vol. 12(4), pages 793-796, August.
    7. Boubaker, Sabri & Goodell, John W. & Pandey, Dharen Kumar & Kumari, Vineeta, 2022. "Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine," Finance Research Letters, Elsevier, vol. 48(C).
    8. Faruk Urak & Abdulbaki Bilgic & Gürkan Bozma & Wojciech J. Florkowski & Erkan Efekan, 2022. "Volatility in Live Calf, Live Sheep, and Feed Wheat Return Markets: A Threat to Food Price Stability in Turkey," Agriculture, MDPI, vol. 12(4), pages 1-24, April.
    9. Rahman, Sajjadur & Serletis, Apostolos, 2012. "Oil price uncertainty and the Canadian economy: Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model," Energy Economics, Elsevier, vol. 34(2), pages 603-610.
    10. Curtis McKnight & Feng Qiu & Marty Luckert & Grant Hauer, 2021. "Prices for a second‐generation biofuel industry in Canada: Market linkages between Canadian wheat and US energy and agricultural commodities," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 69(3), pages 337-351, September.
    11. Lin, Faqin & Li, Xuecao & Jia, Ningyuan & Feng, Fan & Huang, Hai & Huang, Jianxi & Fan, Shenggen & Ciais, Philippe & Song, Xiao Peng, 2023. "The impact of Russia-Ukraine conflict on global food security," LSE Research Online Documents on Economics 117700, London School of Economics and Political Science, LSE Library.
    12. Xiaohua Yu & Chang Liu & Hanjie Wang & Jan-Henning Feil, 2020. "The impact of COVID-19 on food prices in China: evidence of four major food products from Beijing, Shandong and Hubei Provinces," China Agricultural Economic Review, Emerald Group Publishing, vol. 12(3), pages 445-458, June.
    13. Johansen, Soren, 1995. "Identifying restrictions of linear equations with applications to simultaneous equations and cointegration," Journal of Econometrics, Elsevier, vol. 69(1), pages 111-132, September.
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