Spillovers between Food and Energy Prices and Structural Breaks

22 Pages Posted: 8 Apr 2015

See all articles by Alanoud Al-Maadid

Alanoud Al-Maadid

Brunel University London - Economics and Finance

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Fabio Spagnolo

Brunel University London - Economics and Finance

Nicola Spagnolo

Brunel University London - Economics and Finance

Multiple version iconThere are 2 versions of this paper

Date Written: March 2015

Abstract

This paper estimates a bivariate VAR-GARCH (1,1) model to examine linkages between food and energy prices. The adopted framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting from four recent events, namely: 1) the 2006 food crisis, 2) the Brent oil bubble, 3) the introduction of the Renewable Fuel Standard (RFS) policy, and 4) the 2008 global financial crisis. The empirical findings suggest that there are significant linkages between food and both oil and ethanol prices. Further, the four events considered had mixed effects, the 2006 food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the price series considered.

Keywords: Energy and food prices, VAR-GARCH BEKK model, Mean and volatility spillovers

JEL Classification: C32, F36, G15

Suggested Citation

Al-Maadid, Alanoud and Caporale, Guglielmo Maria and Spagnolo, Fabio and Spagnolo, Nicola, Spillovers between Food and Energy Prices and Structural Breaks (March 2015). DIW Berlin Discussion Paper No. 1466. Available at SSRN: https://ssrn.com/abstract=2591400 or http://dx.doi.org/10.2139/ssrn.2591400

Alanoud Al-Maadid

Brunel University London - Economics and Finance ( email )

Uxbridge UB8 3PH
United Kingdom

Guglielmo Maria Caporale (Contact Author)

Brunel University London - Department of Economics and Finance ( email )

Kingston Lane
Marie Jahoda Building
Uxbridge, Middlesex UB8 3PH
United Kingdom
+44 1895 266713 (Phone)
+44 1895 269770 (Fax)

HOME PAGE: http://www.brunel.ac.uk/about/acad/bbs/bbsstaff/ef_staff/guglielmocaporale/

London South Bank University ( email )

Centre for Monetary and Financial Economics
London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstra├če 58
Berlin, 10117
Germany

Fabio Spagnolo

Brunel University London - Economics and Finance ( email )

Uxbridge UB8 3PH
United Kingdom
+44 1895 816383 (Phone)
+44 1895 203303 (Fax)

HOME PAGE: http://www.brunel.ac.uk/depts/ecf/Staff/SpagnoloF/Main.htm

Nicola Spagnolo

Brunel University London - Economics and Finance ( email )

Uxbridge UB8 3PH
United Kingdom

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