Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/180398
Authors: 
Śmiech, Sławomir
Papież, Monika
Dąbrowski, Marek A.
Fijorek, Kamil
Year of Publication: 
2018
Series/Report no.: 
Economics Discussion Papers No. 2018-55
Abstract: 
The aim of this study is to investigate sources of food prices volatility. The analysis uses daily series for volatility of corn, soybean, wheat, rice, US dollar, crude oil, and SP500 futures spanning the period January 4, 2000 to April 1, 2017. The authors employ the generalized vector autoregressive framework in rolling sample approach in order to capture the time-varying nature of volatility spillovers. The results reveal that: volatility spillovers measures change over time; most of the volatility spillovers are observed within the two groups of markets: food markets and 'non-food' markets; corn market is net volatility transmitter.
Subjects: 
volatility spillovers
food markets
financial and energy markets
generalized VAR
lasso estimation
JEL: 
Q17
G15
C58
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Working Paper

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