News and Volatility of Food Prices
19 Pages Posted: 4 Nov 2007
Financial markets exhibit an asymmetric news effect with unexpected low prices generating more price volatility than "news" of high prices. The present study examines US food markets for such asymmetric news effects. Analysis of 25 years of monthly data for 45 retail food items shows that price news destabilizes about a third of the markets with unexpected price increases more destabilizing.
Keywords: food price news, volatility, asymmetry
JEL Classification: Q13, C32
Suggested Citation: Suggested Citation