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

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

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. Em...

Full description

Bibliographic Details
Main Authors: Alom, Fardous, Bert, Ward, Baiding, Hu
Format: Article
Language:English
Published: Economics Bulletin 2011
Subjects:
HB221 Price
Online Access:http://irep.iium.edu.my/34737/
http://irep.iium.edu.my/34737/
http://irep.iium.edu.my/34737/1/EB-11-V31-I2-P135.pdf
id iium-34737
recordtype eprints
spelling iium-347372014-01-29T04:18:35Z http://irep.iium.edu.my/34737/ Cross country mean and volatility spillover effects of food prices: A multivariate TGARCH analysis Alom, Fardous Bert, Ward Baiding, Hu HB221 Price 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. Economics Bulletin 2011-05-15 Article PeerReviewed application/pdf en http://irep.iium.edu.my/34737/1/EB-11-V31-I2-P135.pdf 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 http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I2-P135.pdf
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic HB221 Price
spellingShingle HB221 Price
Alom, Fardous
Bert, Ward
Baiding, Hu
Cross country mean and volatility spillover effects of food prices: A multivariate TGARCH analysis
description 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.
format Article
author Alom, Fardous
Bert, Ward
Baiding, Hu
author_facet Alom, Fardous
Bert, Ward
Baiding, Hu
author_sort Alom, Fardous
title Cross country mean and volatility spillover effects of food prices: A multivariate TGARCH analysis
title_short Cross country mean and volatility spillover effects of food prices: A multivariate TGARCH analysis
title_full Cross country mean and volatility spillover effects of food prices: A multivariate TGARCH analysis
title_fullStr Cross country mean and volatility spillover effects of food prices: A multivariate TGARCH analysis
title_full_unstemmed Cross country mean and volatility spillover effects of food prices: A multivariate TGARCH analysis
title_sort cross country mean and volatility spillover effects of food prices: a multivariate tgarch analysis
publisher Economics Bulletin
publishDate 2011
url http://irep.iium.edu.my/34737/
http://irep.iium.edu.my/34737/
http://irep.iium.edu.my/34737/1/EB-11-V31-I2-P135.pdf
first_indexed 2023-09-18T20:49:59Z
last_indexed 2023-09-18T20:49:59Z
_version_ 1777409929218359296

Similar Items