Agricultural Price Volatiltiy Spillover Effects: The Case Of Greece

European Review of Agricultural Economics, Vol. 30, Iss. 3, pp. 389-406, 2006

18 Pages Posted: 23 Jun 2008

See all articles by Nicholas Apergis

Nicholas Apergis

University of Piraeus; University of Derby

Anthony N. Rezitis

affiliation not provided to SSRN

Abstract

This paper investigates volatility spillover effects across agricultural input prices, agricultural output prices and retail food prices using the technique of Generalised Autoregressive Conditional Heteroscedastic (GARCH) models. The empirical findings show that the volatility of both agricultural input and retail food prices exerts significant, positive spillover effects on the volatility of agricultural output prices. Moreover, the volatility of agricultural output prices has a significant, positive impact on its own volatility. Agricultural output prices are shown to be more volatile than agricultural input and retail food prices.

Keywords: agricultural prices, volatiltiy, GARCH process

JEL Classification: Q11, Q13

Suggested Citation

Apergis, Nicholas and Rezitis, Anthony N., Agricultural Price Volatiltiy Spillover Effects: The Case Of Greece. European Review of Agricultural Economics, Vol. 30, Iss. 3, pp. 389-406, 2006 . Available at SSRN: https://ssrn.com/abstract=1150089

Nicholas Apergis (Contact Author)

University of Piraeus ( email )

Karaoli and Dimitriou 80
80 KARAOLI & DIMITRIOU STREET
Piraeus, Attiki 18534
Greece

University of Derby ( email )

Kedleston Road
Derby, Derbyshire DE22 1GB
United Kingdom

Anthony N. Rezitis

affiliation not provided to SSRN

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