Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific

This paper examines cross country mean and volatility spillover effects of food prices across selected Asian and Pacific countries namely Australia, New Zealand, South Korea, Singapore, Hong Kong, Taiwan, India and Thailand. The principal method of analysis is a set of component GARCH-type models of...

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Main Authors:	Alom, Fardous, Bert, Ward, Baiding, Hu
Format:	Article
Language:	English
Published:	World Business Institute 2010
Subjects:	HB221 Price
Online Access:	http://irep.iium.edu.my/34728/ http://irep.iium.edu.my/34728/ http://irep.iium.edu.my/34728/1/Cross_country_mean_and_volatility_spillover_effects.pdf

id	iium-34728
recordtype	eprints
spelling	iium-347282015-09-09T06:29:38Z http://irep.iium.edu.my/34728/ Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific Alom, Fardous Bert, Ward Baiding, Hu HB221 Price This paper examines cross country mean and volatility spillover effects of food prices across selected Asian and Pacific countries namely Australia, New Zealand, South Korea, Singapore, Hong Kong, Taiwan, India and Thailand. The principal method of analysis is a set of component GARCH-type models of conditional variance. Mean and volatility spillover effects of food prices are examined across a full (1995-2010) sample and two subsamples (1995-2001 and 2002-2010), using daily food price indices. Main findings of the study are as follows: (1) there is no strong evidence of cross country mean spillover effects of food prices across all samples, (2) the recent subsample of sharp rise of food prices shows more evidence of mean spillover effects than the early subsample, (3) evidence of volatility spillover effects is stronger than mean spillover effects, (4) mixed evidence of volatility spillover effects is reported and (5) no exact direction of spillover effects between exporters and importers is evident; rather mixed evidence of spillover from exporter to importer, exporter to exporter, importer to exporter and geographical proximity can be documented. World Business Institute 2010-11 Article PeerReviewed application/pdf en http://irep.iium.edu.my/34728/1/Cross_country_mean_and_volatility_spillover_effects.pdf Alom, Fardous and Bert, Ward and Baiding, Hu (2010) Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific. International Review of Business Research Papers, 6 (5). pp. 334-355. ISSN 1832-9543 (O), 1837-5685 (P) http://ideas.repec.org/a/ebl/ecbull/eb-11-00186.html
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
language	English
topic	HB221 Price
spellingShingle	HB221 Price Alom, Fardous Bert, Ward Baiding, Hu Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific
description	This paper examines cross country mean and volatility spillover effects of food prices across selected Asian and Pacific countries namely Australia, New Zealand, South Korea, Singapore, Hong Kong, Taiwan, India and Thailand. The principal method of analysis is a set of component GARCH-type models of conditional variance. Mean and volatility spillover effects of food prices are examined across a full (1995-2010) sample and two subsamples (1995-2001 and 2002-2010), using daily food price indices. Main findings of the study are as follows: (1) there is no strong evidence of cross country mean spillover effects of food prices across all samples, (2) the recent subsample of sharp rise of food prices shows more evidence of mean spillover effects than the early subsample, (3) evidence of volatility spillover effects is stronger than mean spillover effects, (4) mixed evidence of volatility spillover effects is reported and (5) no exact direction of spillover effects between exporters and importers is evident; rather mixed evidence of spillover from exporter to importer, exporter to exporter, importer to exporter and geographical proximity can be documented.
format	Article
author	Alom, Fardous Bert, Ward Baiding, Hu
author_facet	Alom, Fardous Bert, Ward Baiding, Hu
author_sort	Alom, Fardous
title	Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific
title_short	Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific
title_full	Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific
title_fullStr	Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific
title_full_unstemmed	Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific
title_sort	cross country mean and volatility spillover effects of food prices: evidence for asia and pacific
publisher	World Business Institute
publishDate	2010
url	http://irep.iium.edu.my/34728/ http://irep.iium.edu.my/34728/ http://irep.iium.edu.my/34728/1/Cross_country_mean_and_volatility_spillover_effects.pdf
first_indexed	2023-09-18T20:49:58Z
last_indexed	2023-09-18T20:49:58Z
_version_	1777409928651079680

Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific

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