Food Price Volatiltiy and Macroeconomic Factor Volatiltiy: 'Heat Waves' or 'Meteor Sowers'?
Applied Economics Letters, Vol. 10, pp. 155-160, 2003
Posted: 23 Jun 2008
Date Written: June, 23 2008
This paper investigates volatility spillover effects between relative food prices and explicit macroeconomic fundamentals, i.e. exchange rates, money balances, inflation, and the deficit to income ratio, through the methodology of GARCH models. The findings showed that significant and positive macroeconomic volatility effects influence the volatility of relative food prices. Moreover, the volatility of relative food prices exerts a positive and statistically significant impact on its own volatility. The results imply that the participation of Greece in EMU will diminish the volatility of those macroeconomic factors, implying lower volatility in food prices and thus higher benefits for both producers and consumers.
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