Do crude oil prices spillover food prices? evidence for Asia and Pacific countries
This study investigates the mean and volatility spillover effects of world crude oil prices on the food prices for selected Asia and Pacific countries employing vector autoregression (VAR) and generalised autoregressive conditional heteroskedasticity (GARCH)-family models over 2 January 1995 to...
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| 第一著者: | |
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| フォーマット: | 論文 |
| 言語: | English English |
| 出版事項: |
Inderscience Publishers
2015
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| 主題: | |
| オンライン･アクセス: | http://irep.iium.edu.my/44054/1/IJETP110105_ALOM.pdf http://irep.iium.edu.my/44054/4/44054_Do%20crude%20oil%20prices%20spillover%20food%20prices_SCOPUS.pdf http://irep.iium.edu.my/44054/ http://www.inderscience.com/info/inarticletoc.php?jcode=ijetp&year=2015&vol=11&issue=1 |
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| 要約: | This study investigates the mean and volatility spillover effects of
world crude oil prices on the food prices for selected Asia and Pacific countries
employing vector autoregression (VAR) and generalised autoregressive
conditional heteroskedasticity (GARCH)-family models over 2 January 1995 to
30 April 2010. The findings suggest that the oil prices positively influence food
prices of the selected countries both in mean and in volatility. Stronger mean
and volatility spillover effects are found for the recent subsample period
suggesting increasing interdependence between world crude oil and
Asia-Pacific food markets in recent times. In terms of mean spillover effects
net food importer countries’ food price show stronger effects to the shocks,
whereas in terms of volatility spillover effects no distinction in absorbing the
oil price shocks can be made between exporters and importers. The findings
recommend that crude oil prices should be taken into consideration in policy
preparation and forecasting purposes for food prices. |
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