Do crude oil prices spillover food prices? evidence for Asia and Pacific countries

Alom, Fardous (2015) Do crude oil prices spillover food prices? evidence for Asia and Pacific countries. Internatiational Journal of Energy Technology and Policy, 11 (1). pp. 68-96. ISSN 1472-8923

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Abstract

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.

Item Type:	Article (Journal)
Additional Information:	7004/44054
Uncontrolled Keywords:	oil price; food price; mean; volatility; spillover; Asia; Pacific
Subjects:	H Social Sciences > HB Economic Theory > HB131 Methodology.Mathematical economics. Quantitative methods 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 > Department of Economics
Depositing User:	Dr Md Fardous Alom
Date Deposited:	03 Aug 2015 09:44
Last Modified:	02 Nov 2017 15:59
URI:	http://irep.iium.edu.my/id/eprint/44054

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