Examining Behaviour of Staple Food Price using Multivariate BEKK-GARCH Model

被引：0
|
作者：
Jati, Kumara [1 ,2 ]
Premaratne, Gamini [1 ]
机构：
[1] Univ Brunei Darussalam, Sch Business & Econ, Bandar Seri Begawan, Brunei
[2] Minist Trade Republ Indonesia, Trade Policy Anal & Dev Agcy, Cent Jakarta, Indonesia
来源：
PROCEEDINGS OF SECOND INTERNATIONAL CONFERENCE ON CONTEMPORARY ECONOMIC ISSUES: INTEGRATING HUMANS, SOCIETIES AND THE ENVIRONMENT FOR A SUSTAINABLE FUTURE | 2016年
关键词：
Staple food price; multivariate BEKK-GARCH; volatility; food crisis; VOLATILITY; MARKETS; CORN; OIL;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Understanding of staple food price behaviour is important for determining the unpredictability of staple food market. In this research, we examine the volatility spillover of commodity prices of sugar, rice, soybean and wheat using BEKK-GARCH model. The empirical results show that the own-volatility spillover are relatively significant for all food prices. However, only in wheat market, the price volatility increases during food crisis more than it does when there is stable condition.
引用
收藏
页码：72 / 79
页数：8
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