000265665 001__ 265665
000265665 005__ 20180123012448.0
000265665 037__ $$a1548-2017-5860
000265665 041__ $$aeng
000265665 084__ $$aQ13
000265665 084__ $$aC13
000265665 084__ $$aG11
000265665 084__ $$aG01
000265665 245__ $$aAn analysis of the interdependence between cash crop and staple food futures prices
000265665 260__ $$c2017
000265665 269__ $$a2017-12-05
000265665 300__ $$a37
000265665 336__ $$aWorking or Discussion Paper
000265665 490__ $$aFood and Resource Economics, Discussion Paper 2017:4
000265665 520__ $$aThis paper investigates the price dynamics between a selection of international staple food and cash crop futures prices. This price interaction is particularly relevant for developing countries that rely on cash crop export earnings to finance their staple food import requirements. We employ a multivariate Copula-DCC-GARCH model to characterize the cash crop and staple food price interaction over time and a rolling-sample volatility index to identify the direction of the volatility spillover for staple-cash commodity pairs. Results show that the intensity of interaction varies considerably over the sample time, but is, generally positive, and stronger during the period 2007-2012 associated with high commodity prices and financial market stress. 
000265665 542__ $$fBy depositing this Content ('Content') in AgEcon Search, I agree that  I am solely responsible for any consequences of uploading this Content to AgEcon Search and making it publicly available, and I represent and warrant that: I am either the sole creator and the owner of the copyrights and all other rights in the Content; or, without obtaining another’s permission, I have the right to deposit the Content in an archive such as AgEcon Search. To the extent that any portions of the Content are not my own creation, they are used with the copyright holder’s express permission or as permitted by law. Additionally, the Content does not infringe the copyrights or other intellectual property rights of another, nor does the Content violate any laws or another’s rights of privacy or publicity. The Content contains no restricted, private, confidential, or otherwise protected data or information that should not be publicly shared. I understand that AgEcon Search will do its best to provide perpetual access to my Content. In order to support these efforts, I grant the Regents of the University of Minnesota ('University'), through AgEcon Search, the following non-exclusive, irrevocable, royalty-free, world-wide rights and licenses: to access, reproduce, distribute and publicly display the Content, in whole or in part, in order to secure, preserve and make it publicly available, and to make derivative works based upon the Content in order to migrate the Content to other media or formats, or to preserve its public access. These terms do not transfer ownership of the copyright(s) in the Content. These terms only grant to the University the limited license outlined above.
000265665 546__ $$aEnglish
000265665 650__ $$aAgribusiness
000265665 650__ $$aAgricultural and Food Policy
000265665 650__ $$aAgricultural Finance
000265665 650__ $$aCommunity/Rural/Urban Development
000265665 650__ $$aConsumer/Household Economics
000265665 650__ $$aDemand and Price Analysis
000265665 650__ $$aFinancial Economics
000265665 650__ $$aFood Security and Poverty
000265665 650__ $$aInternational Development
000265665 650__ $$aInternational Relations/Trade
000265665 650__ $$aPolitical Economy
000265665 650__ $$aResearch Methods/ Statistical Methods
000265665 650__ $$aResource /Energy Economics and Policy
000265665 650__ $$aRisk and Uncertainty
000265665 6531_ $$aVolatility spillover
000265665 6531_ $$aCopula-DCC-GARCH
000265665 6531_ $$aforecast error variance decompositions
000265665 6531_ $$acash crops
000265665 6531_ $$astaple food crops
000265665 700__ $$aAmrouk, El Mamoun
000265665 700__ $$aGrosche, Stephanie-Carolin
000265665 700__ $$aHeckelei, Thomas
000265665 8560_ $$fbirgit.klein@ilr.uni-bonn.de
000265665 8564_ $$s1294289$$uhttp://ageconsearch.umn.edu/record/265665/files/Discussion%20paper%202017%3A4.pdf
000265665 8564_ $$s2169206$$uhttp://ageconsearch.umn.edu/record/265665/files/Discussion%20paper%202017%3A4.pdf?subformat=pdfa$$xpdfa
000265665 909CO $$ooai:ageconsearch.umn.edu:265665$$pGLOBAL_SET
000265665 980__ $$a1548