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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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Suggested Citation

  • 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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    File URL: https://ageconsearch.umn.edu/record/335748/files/25988.pdf
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    References listed on IDEAS

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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. 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.
    3. Boungou, Whelsy & Yatié, Alhonita, 2022. "The impact of the Ukraine–Russia war on world stock market returns," Economics Letters, Elsevier, vol. 215(C).
    4. 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).
    5. 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.
    6. 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).
    7. 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.
    8. 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.
    9. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(1), pages 122-150, February.
    10. 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.
    11. 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.
    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. 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).
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