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AuthorAl-Maadid, Alanoud
AuthorCaporale, Guglielmo Maria
AuthorSpagnolo, Fabio
AuthorSpagnolo, Nicola
Available date2021-01-25T06:45:44Z
Publication Date2017
Publication NameInternational Economics
ResourceScopus
ISSN21107017
URIhttp://dx.doi.org/10.1016/j.inteco.2016.06.005
URIhttp://hdl.handle.net/10576/17399
AbstractThis 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.
Languageen
PublisherElsevier B.V.
SubjectEnergy and food prices
Mean and volatility spillovers
VAR-GARCH BEKK model
TitleSpillovers between food and energy prices and structural breaks
TypeArticle
Pagination18-Jan
Volume Number150
dc.accessType Open Access


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