Journal Article

Agricultural price volatility spillover effects: the case of Greece

Nicholas Apergis and Anthony Rezitis

in European Review of Agricultural Economics

Volume 30, issue 3, pages 389-406
Published in print September 2003 | ISSN: 0165-1587
Published online September 2003 | e-ISSN: 1464-3618 | DOI: https://dx.doi.org/10.1093/erae/30.3.389
Agricultural price volatility spillover effects: the case of Greece

More Like This

Show all results sharing these subjects:

  • Agricultural Economics
  • Environmental Economics
  • Renewable Resources and Conservation
  • Primary Products

GO

Show Summary Details

Preview

This paper investigates volatility spillover effects across agricultural input prices, agricultural output prices and retail food prices using the technique of Generalised Autoregressive Conditional Heteroscedastic (GARCH) models. The empirical findings show that the volatility of both agricultural input and retail food prices exerts significant, positive spillover effects on the volatility of agricultural output prices. Moreover, the volatility of agricultural output prices has a significant, positive impact on its own volatility. Agricultural output prices are shown to be more volatile than agricultural input and retail food prices.

Keywords: agricultural prices; volatility; GARCH process

Journal Article.  0 words. 

Subjects: Agricultural Economics ; Environmental Economics ; Renewable Resources and Conservation ; Primary Products

Full text: subscription required

How to subscribe Recommend to my Librarian

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content. subscribe or login to access all content.