Modeling food price volatility and testing heat wave and/or meteor shower effects: Evidence for Asia and Pacific countries

Modeling food price volatility and testing heat wave and/or meteor shower effects: Evidence for Asia and Pacific countries

This paper assesses the volatility and cross country mean and volatility spillover effects of food prices within and across global and selected Asian and Pacific countries namely Australia, New Zealand, South Korea, Singapore, Hong Kong, Taiwan, India and Thailand. The principal method of analysis...

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Main Authors: Alom, Fardous, Bert , Ward, Baiding, Hu
Format: Article
Language:English
Published: Canadian Center of Science and Education 2012
Subjects:
HB221 Price
Online Access:http://irep.iium.edu.my/34747/
http://irep.iium.edu.my/34747/
http://irep.iium.edu.my/34747/1/20754-67783-1-PB_Asian_social_science.pdf
id iium-34747
recordtype eprints
spelling iium-347472014-01-29T03:56:06Z http://irep.iium.edu.my/34747/ Modeling food price volatility and testing heat wave and/or meteor shower effects: Evidence for Asia and Pacific countries Alom, Fardous Bert , Ward Baiding, Hu HB221 Price This paper assesses the volatility and cross country mean and volatility spillover effects of food prices within and across global and selected Asian and Pacific countries namely Australia, New Zealand, South Korea, Singapore, Hong Kong, Taiwan, India and Thailand. The principal method of analysis comprises the development of a set of component GARCH-type models of conditional variance. Volatility characteristics and spillover effects of food prices are examined across a full (1995-2010) and two subsamples (1995-2001 and 2002-2010) with daily food price indices. Main findings of the study are as follows: (1) like other asset prices, food price volatility can be modelled by CGARCH variant of GARCH-family models for world as well as country specific levels, (2) increased risk does not necessarily lead to increased returns for world and specified countries except few instances, (3) mixed evidence of cross country mean and volatility spillover effects are reported. No exact direction of spillover effects from exporter to importer or importer to exporter countries can be drawn rather mixed evidence of spillover from exporter to importer, exporter to exporter, importer to exporter and geographical proximity can be documented. The ‘meteor shower’ hypothesis that the conditional variance of the change in one market depends on the past information of other markets dominates ‘heat wave’ hypothesis that the conditional variance depends on the past information of that market while for shorter time period ‘heat wave’ effects dominate ‘meteor shower’ effects Canadian Center of Science and Education 2012 Article PeerReviewed application/pdf en http://irep.iium.edu.my/34747/1/20754-67783-1-PB_Asian_social_science.pdf Alom, Fardous and Bert , Ward and Baiding, Hu (2012) Modeling food price volatility and testing heat wave and/or meteor shower effects: Evidence for Asia and Pacific countries. Asian Social Science, 8 (12). pp. 1-20. ISSN 1911-2025 (O), 1911-2017 (P) http://www.ccsenet.org/journal/index.php/ass/article/view/20754
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
Modeling food price volatility and testing heat wave and/or meteor shower effects: Evidence for Asia and Pacific countries
description This paper assesses the volatility and cross country mean and volatility spillover effects of food prices within and across global and selected Asian and Pacific countries namely Australia, New Zealand, South Korea, Singapore, Hong Kong, Taiwan, India and Thailand. The principal method of analysis comprises the development of a set of component GARCH-type models of conditional variance. Volatility characteristics and spillover effects of food prices are examined across a full (1995-2010) and two subsamples (1995-2001 and 2002-2010) with daily food price indices. Main findings of the study are as follows: (1) like other asset prices, food price volatility can be modelled by CGARCH variant of GARCH-family models for world as well as country specific levels, (2) increased risk does not necessarily lead to increased returns for world and specified countries except few instances, (3) mixed evidence of cross country mean and volatility spillover effects are reported. No exact direction of spillover effects from exporter to importer or importer to exporter countries can be drawn rather mixed evidence of spillover from exporter to importer, exporter to exporter, importer to exporter and geographical proximity can be documented. The ‘meteor shower’ hypothesis that the conditional variance of the change in one market depends on the past information of other markets dominates ‘heat wave’ hypothesis that the conditional variance depends on the past information of that market while for shorter time period ‘heat wave’ effects dominate ‘meteor shower’ effects
format Article
author Alom, Fardous
Bert , Ward
Baiding, Hu
author_facet Alom, Fardous
Bert , Ward
Baiding, Hu
author_sort Alom, Fardous
title Modeling food price volatility and testing heat wave and/or meteor shower effects: Evidence for Asia and Pacific countries
title_short Modeling food price volatility and testing heat wave and/or meteor shower effects: Evidence for Asia and Pacific countries
title_full Modeling food price volatility and testing heat wave and/or meteor shower effects: Evidence for Asia and Pacific countries
title_fullStr Modeling food price volatility and testing heat wave and/or meteor shower effects: Evidence for Asia and Pacific countries
title_full_unstemmed Modeling food price volatility and testing heat wave and/or meteor shower effects: Evidence for Asia and Pacific countries
title_sort modeling food price volatility and testing heat wave and/or meteor shower effects: evidence for asia and pacific countries
publisher Canadian Center of Science and Education
publishDate 2012
url http://irep.iium.edu.my/34747/
http://irep.iium.edu.my/34747/
http://irep.iium.edu.my/34747/1/20754-67783-1-PB_Asian_social_science.pdf
first_indexed 2023-09-18T20:50:00Z
last_indexed 2023-09-18T20:50:00Z
_version_ 1777409930102308864

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