Cross country mean and volatility spillover effects of food prices: A multivariate TGARCH analysis

Alom, Fardous and Bert, Ward and Baiding, Hu (2011) Cross country mean and volatility spillover effects of food prices: A multivariate TGARCH analysis. Economics Bulletin, 31 (2). pp. 1439-1450. ISSN 1545-2921

PDF - Published Version Restricted to Registered users only Download (667kB) | Request a copy

Abstract

This study assesses the mean and volatility spillover effects of changes in food prices among a number of Asia and Pacific countries - Australia, New Zealand, Korea, Singapore, Hong Kong, Taiwan, India and Thailand - including the USA as a special case using daily observations for 1995 to 2010. Employing an empirical multivariate-TGARCH model this study reveals that while there is weak evidence of own and cross country mean return spillover effects among the selected food markets with strong evidence of mean spillover effects from the USA food price returns to all other markets, but with respect to volatility spillovers there are considerable own and cross country effects and these effects are highly persistent and are non linear. These volatility effects and their persistence should be considered in policy analysis along with the US market's influence in mean return transmission.

Item Type:	Article (Journal)
Additional Information:	7004/34737
Subjects:	H Social Sciences > HB Economic Theory > HB221 Price
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Kulliyyah of Economics and Management Sciences
Depositing User:	Dr Md Fardous Alom
Date Deposited:	29 Jan 2014 12:18
Last Modified:	29 Jan 2014 12:18
URI:	http://irep.iium.edu.my/id/eprint/34737

Actions (login required)

View Item