An analysis of the interdependence between cash crop and staple food futures prices

This paper investigates the price dynamics between a selection of international staple food and cash crop futures prices. This price interaction is particularly relevant for developing countries that rely on cash crop export earnings to finance their staple food import requirements. We employ a multivariate Copula-DCC-GARCH model to characterize the cash crop and staple food price interaction over time and a rolling-sample volatility index to identify the direction of the volatility spillover for staple-cash commodity pairs. Results show that the intensity of interaction varies considerably over the sample time, but is, generally positive, and stronger during the period 2007-2012 associated with high commodity prices and financial market stress.

Issue Date:
Dec 05 2017
Publication Type:
Working or Discussion Paper
Record Identifier:
Total Pages:
JEL Codes:
Q13; C13; G11; G01
Series Statement:
Food and Resource Economics, Discussion Paper 2017:4

 Record created 2017-12-05, last modified 2018-01-23

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