Do crude oil prices spillover food prices? evidence for Asia and Pacific countries

Do crude oil prices spillover food prices? evidence for Asia and Pacific countries

This study investigates the mean and volatility spillover effects of world crude oil prices on the food prices for selected Asia and Pacific countries employing vector autoregression (VAR) and generalised autoregressive conditional heteroskedasticity (GARCH)-family models over 2 January 1995 to...

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Bibliographic Details
Main Author: Alom, Fardous
Format: Article
Language:English
English
Published: Inderscience Publishers 2015
Subjects:
HB131 Methodology.Mathematical economics. Quantitative methods
HB221 Price
Online Access:http://irep.iium.edu.my/44054/
http://irep.iium.edu.my/44054/
http://irep.iium.edu.my/44054/1/IJETP110105_ALOM.pdf
http://irep.iium.edu.my/44054/4/44054_Do%20crude%20oil%20prices%20spillover%20food%20prices_SCOPUS.pdf
id iium-44054
recordtype eprints
spelling iium-440542017-11-02T07:59:19Z http://irep.iium.edu.my/44054/ Do crude oil prices spillover food prices? evidence for Asia and Pacific countries Alom, Fardous HB131 Methodology.Mathematical economics. Quantitative methods HB221 Price This study investigates the mean and volatility spillover effects of world crude oil prices on the food prices for selected Asia and Pacific countries employing vector autoregression (VAR) and generalised autoregressive conditional heteroskedasticity (GARCH)-family models over 2 January 1995 to 30 April 2010. The findings suggest that the oil prices positively influence food prices of the selected countries both in mean and in volatility. Stronger mean and volatility spillover effects are found for the recent subsample period suggesting increasing interdependence between world crude oil and Asia-Pacific food markets in recent times. In terms of mean spillover effects net food importer countries’ food price show stronger effects to the shocks, whereas in terms of volatility spillover effects no distinction in absorbing the oil price shocks can be made between exporters and importers. The findings recommend that crude oil prices should be taken into consideration in policy preparation and forecasting purposes for food prices. Inderscience Publishers 2015-04 Article PeerReviewed application/pdf en http://irep.iium.edu.my/44054/1/IJETP110105_ALOM.pdf application/pdf en http://irep.iium.edu.my/44054/4/44054_Do%20crude%20oil%20prices%20spillover%20food%20prices_SCOPUS.pdf Alom, Fardous (2015) Do crude oil prices spillover food prices? evidence for Asia and Pacific countries. Internatiational Journal of Energy Technology and Policy, 11 (1). pp. 68-96. ISSN 1472-8923 http://www.inderscience.com/info/inarticletoc.php?jcode=ijetp&year=2015&vol=11&issue=1
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
English
topic HB131 Methodology.Mathematical economics. Quantitative methods
HB221 Price
spellingShingle HB131 Methodology.Mathematical economics. Quantitative methods
HB221 Price
Alom, Fardous
Do crude oil prices spillover food prices? evidence for Asia and Pacific countries
description This study investigates the mean and volatility spillover effects of world crude oil prices on the food prices for selected Asia and Pacific countries employing vector autoregression (VAR) and generalised autoregressive conditional heteroskedasticity (GARCH)-family models over 2 January 1995 to 30 April 2010. The findings suggest that the oil prices positively influence food prices of the selected countries both in mean and in volatility. Stronger mean and volatility spillover effects are found for the recent subsample period suggesting increasing interdependence between world crude oil and Asia-Pacific food markets in recent times. In terms of mean spillover effects net food importer countries’ food price show stronger effects to the shocks, whereas in terms of volatility spillover effects no distinction in absorbing the oil price shocks can be made between exporters and importers. The findings recommend that crude oil prices should be taken into consideration in policy preparation and forecasting purposes for food prices.
format Article
author Alom, Fardous
author_facet Alom, Fardous
author_sort Alom, Fardous
title Do crude oil prices spillover food prices? evidence for Asia and Pacific countries
title_short Do crude oil prices spillover food prices? evidence for Asia and Pacific countries
title_full Do crude oil prices spillover food prices? evidence for Asia and Pacific countries
title_fullStr Do crude oil prices spillover food prices? evidence for Asia and Pacific countries
title_full_unstemmed Do crude oil prices spillover food prices? evidence for Asia and Pacific countries
title_sort do crude oil prices spillover food prices? evidence for asia and pacific countries
publisher Inderscience Publishers
publishDate 2015
url http://irep.iium.edu.my/44054/
http://irep.iium.edu.my/44054/
http://irep.iium.edu.my/44054/1/IJETP110105_ALOM.pdf
http://irep.iium.edu.my/44054/4/44054_Do%20crude%20oil%20prices%20spillover%20food%20prices_SCOPUS.pdf
first_indexed 2023-09-18T21:02:40Z
last_indexed 2023-09-18T21:02:40Z
_version_ 1777410727529676800

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