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

See all articles by Nicholas Apergis

Nicholas Apergis

University of Piraeus; University of Derby

Anthony N. Rezitis

affiliation not provided to SSRN

Date Written: June, 23 2008

Abstract

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.

Suggested Citation

Apergis, Nicholas and Rezitis, Anthony N., Food Price Volatiltiy and Macroeconomic Factor Volatiltiy: 'Heat Waves' or 'Meteor Sowers'? (June, 23 2008). Applied Economics Letters, Vol. 10, pp. 155-160, 2003. Available at SSRN: https://ssrn.com/abstract=1150102

Nicholas Apergis

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 (Contact Author)

affiliation not provided to SSRN

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