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المؤلفAl-Maadid, Alanoud
المؤلفCaporale, Guglielmo Maria
المؤلفSpagnolo, Fabio
المؤلفSpagnolo, Nicola
تاريخ الإتاحة2021-01-25T06:45:44Z
تاريخ النشر2017
اسم المنشورInternational Economics
المصدرScopus
الرقم المعياري الدولي للكتاب21107017
معرّف المصادر الموحدhttp://dx.doi.org/10.1016/j.inteco.2016.06.005
معرّف المصادر الموحدhttp://hdl.handle.net/10576/17399
الملخصThis paper estimates a bivariate VAR-GARCH(1,1) model to examine linkages between food and energy prices. The adopted framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting from four recent events, namely: (1) the 2006 food crisis, (2) the Brent oil bubble, (3) the introduction of the Renewable Fuel Standard (RFS) policy, and (4) the 2008 global financial crisis. The empirical findings suggest that there are significant linkages between food and both oil and ethanol prices. Further, the four events considered had mixed effects, the 2006 food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the price series considered.
اللغةen
الناشرElsevier B.V.
الموضوعEnergy and food prices
Mean and volatility spillovers
VAR-GARCH BEKK model
العنوانSpillovers between food and energy prices and structural breaks
النوعArticle
الصفحات18-Jan
رقم المجلد150
dc.accessType Open Access


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