damba, osman tahidu university for development studies - faculty of agribusiness and communication sciences - department of climatechange food security, Ghana , bilgic, abdulbaki ataturk university - college of agriculture - department of agricultural economics, Turkey , aksoy, adem ataturk university - college of agriculture - department of agricultural economics, Turkey

Estimating Price Volatility Transmission between World Crude Oil and Selected Food Commodities: A BEKK Approach

28903

This paper quantified the behaviour and extent of oil price and selected food commodity price volatilities using a multivariate-BEKK GARCH model to analyse the shocks and volatility transmission effect between crude oil and these commodities prices during 1990-2015. In line with the properties of time series data, a series of test such as collinearity, unit root as well as the presence of ARCH effects were conducted. The objective of this paper was to understand the most volatile commodity due to changes in world crude oil price returns and explore ways to reduce volatility relevant to food security and its stability for future planning purposes. The paper further used real price returns and demeans for normalization. Empirical results showed significant volatility transmission effects between crude oil and the all the food commodity except for dairy. Strong correlations existed between crude oil price returns and meat, cereal, edible oils and sugars. Shocks were also observed food commodity prices and its first lags.

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Prices , volatility , crude oil , food commodities , multivariate GARCH

Journal Of Agricultural Faculty Of Atatürk University

49