Food Price Volatility and Macroeconomic Factors: Evidence from GARCH and GARCH-X Estimates

14 Pages Posted: 11 Jun 2007 Last revised: 26 Apr 2015

See all articles by Nicholas Apergis

Nicholas Apergis

University of Piraeus

Anthony N. Rezitis

Agricultural University of Athens - Department of Agricultural Economics and Rural Development

Date Written: February 1, 2011

Abstract

This paper examines the process of relative food price volatility and investigates how short-run deviations from the relationship between relative food prices and particular macroeconomic fundamentals affect this volatility for the case of Greece. The methodology followed in this paper to measure relative food price volatility is that of Generalized Autoregressive Conditional Heteroskedastic (GARCH) and GARCH-X models. The latter model allows the link between short-run deviations from a long-run cointegrated relationship and volatility. The results from a GARCH-X(1, 1) model showed that a significant and positive effect is imposed by the deviations on the volatility of relative food prices. These findings imply that the forecasting business of relative food prices is expected to become a harder task.

Keywords: relative food prices, volatility, macroeconomic fundamentals, GARCH and GARCH-X models

JEL Classification: E60, Q10, Q19

Suggested Citation

Apergis, Nicholas and Rezitis, Anthony N., Food Price Volatility and Macroeconomic Factors: Evidence from GARCH and GARCH-X Estimates (February 1, 2011). Journal of Agricultural and Applied Economics Vol. 43, No. 1, 2011, Available at SSRN: https://ssrn.com/abstract=989966

Nicholas Apergis (Contact Author)

University of Piraeus ( email )

Karaoli and Dimitriou 80
80 KARAOLI & DIMITRIOU STREET
Piraeus, Attiki 18534
Greece

Anthony N. Rezitis

Agricultural University of Athens - Department of Agricultural Economics and Rural Development ( email )

Athens
Greece

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