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...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Economics Bulletin
2011
|
| Subjects: | |
| Online Access: | http://irep.iium.edu.my/34737/ http://irep.iium.edu.my/34737/1/EB-11-V31-I2-P135.pdf |
| _version_ | 1848780952821563392 |
|---|---|
| author | Alom, Fardous Bert, Ward Baiding, Hu |
| author_facet | Alom, Fardous Bert, Ward Baiding, Hu |
| author_sort | Alom, Fardous |
| building | IIUM Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-14T15:41:51Z |
| format | Article |
| id | iium-34737 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T15:41:51Z |
| publishDate | 2011 |
| publisher | Economics Bulletin |
| recordtype | eprints |
| repository_type | Digital Repository |
| 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 |
| spellingShingle | HB221 Price Alom, Fardous Bert, Ward Baiding, Hu Cross country mean and volatility spillover effects of food prices: A multivariate TGARCH analysis |
| title | 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_short | 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 |
| topic | HB221 Price |
| 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 |