DOES FEAR (VIX INDEX) INCITE VOLATILITY IN FOOD PRICES?

Globally, the volatility trend in food prices has continued to increase. Different data give the impression that this volatility may be caused by the international finance markets’ propagation effect. For this reason, the study focused on the VIX (fear) index that is used to measure the movement in Standard & Poor’s 500 index. The main objective of the study is to analyze the degree of volatility between the VIX index and the wheat market. The research is comprised of monthly data obtained from year 2000 to 2015. The study employs the BEKK GARCH method. The findings show that the variance shocks in the fear index damage food prices. The results may be useful to policy makers in researching the causes of changes in the prices of food commodity and taking necessary measures.


Issue Date:
Apr 15 2017
Publication Type:
Journal Article
Record Identifier:
http://ageconsearch.umn.edu/record/266472
ISSN:
2147-8988
Language:
English
Published in:
International Journal of Food and Agricultural Economics (IJFAEC), Volume 05, Number 2
Page range:
69-78
JEL Codes:
Q14; Q18; E3




 Record created 2018-01-12, last modified 2018-03-29

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