@article{Lehecka:156108,
      recid = {156108},
      author = {Lehecka, Georg V.},
      title = {Have food and financial markets integrated? An empirical  assessment on aggregate data},
      address = {2013},
      number = {870-2016-60721},
      series = {Schriftlicher Beitrag},
      pages = {13},
      year = {2013},
      abstract = {This paper analyzes co-movements and discusses possible  market integration between aggregate food and stock markets  in the period of 1990 to 2012. Correlations, price return  distributions, cointegration, and Granger-causalities are  tested in subsamples on monthly FAO Food Price Index and  MSCI World Stock Market Index data to better assess why and  whether linkages between food and financial markets have  increased. Empirical results suggest that while there is  only weak indication of greater co-movements concurrent  with structural changes such as changed agricultural  policies, new demand due to growth in emerging markets and  energy mandates, and the financialization of food markets  since the early 2000s, they did start to increase in  particular substantially during the financial stress of the  Lehman crisis and the Great Recession. It is concluded that  while structural changes may have amplified price linkages  across markets, results do not suggest that they are the  key factors for greater price co-movements. Instead, it is  discussed that the effects of the late-2000s recession as a  time of great economic weakness and uncertainty may have  changed concurrently the behavior of both food and  financial market participants, such that different market  prices exhibit increased co-movements.},
      url = {http://ageconsearch.umn.edu/record/156108},
      doi = {https://doi.org/10.22004/ag.econ.156108},
}