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

Published online by Cambridge University Press:  26 January 2015

Nicholas Apergis  and
Anthony Rezitis
Nicholas Apergis
Affiliation:
Department of Banking and Financial Management, University of Piraeus, Piraeus, Greece
Anthony Rezitis
Affiliation:
Department of Farm Organization and Management, University of Ioannina, Agrinio, Greece
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Abstract

This article examines food price volatility in Greece and how it is affected by short-run deviations between food prices and macroeconomic factors. The methodology follows the GARCH and GARCH-X models. The results show that there exists a positive effect between the deviations and food price volatility. The results are highly important for producers and consumers because higher volatility augments the uncertainty in the food markets. Once the participants receive a signal that the food market is volatile, this might lead them to ask for increased government intervention in the allocation of investment resources and this could reduce overall welfare.

Keywords

relative food pricesvolatilitymacroeconomic factorsGARCH and GARCH-X modelsE60Q10Q19
Type
Research Article
Information
Journal of Agricultural and Applied Economics , Volume 43 , Issue 1 , February 2011 , pp. 95 - 110
Copyright
Copyright © Southern Agricultural Economics Association 2011

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