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
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
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