Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/110790
Authors: 
Al-Maadid, Alanoud
Caporale, Guglielmo Maria
Spagnolo, Fabio
Spagnolo, Nicola
Year of Publication: 
2015
Series/Report no.: 
CESifo Working Paper 5282
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.
Subjects: 
energy and food prices
VAR-GARCH BEKK model
mean and volatility spillovers
JEL: 
C32
F36
G15
Document Type: 
Working Paper

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