波动性(金融)
经济
ARCH模型
计量经济学
石油价格
汇率
货币经济学
食品价格
农业
金融经济学
粮食安全
生态学
生物
作者
Ismail O. Fasanya,Feyikunayo Olawepo
出处
期刊:Agricultura Tropica et Subtropica
日期:2018-12-01
卷期号:51 (4): 165-174
被引量:3
标识
DOI:10.2478/ats-2018-0019
摘要
Abstract In this paper we examined the determinants of food price volatility in Nigeria using monthly data from January, 1997 to April, 2017. We employed the multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. In particular, the Baba-Engle-Kraft-Kroner (BEKK) model and the Dynamic Conditional Correlation (DCC) model were used for estimation. The findings showed that information shocks originating in Consumer Price Indices (CPI), lending rate, exchange rate and oil market have a direct effect on the current conditional volatility in food market while the information shocks originating in food have a direct effect on the current conditional volatility in all the markets considered except for oil. These results were insensitive to changes in data frequency and different oil price specification. Hence, the government should encourage the use of alternative sources of energy to reduce the effect of high oil prices on food prices and provide soft agricultural credit scheme to farmers with a low lending rate through specialized banks.
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