@article{Dalheimer:262151,
      recid = {262151},
      author = {Dalheimer, Bernhard and Brümmer, Bernhard and Jaghdani,  Tinoush Jamali},
      title = {Impacts of Export Restrictions on Food Price Volatility:  Evidence from VAR-X and EGARCH-X Models},
      address = {2017-08-15},
      number = {1979-2017-3917},
      pages = {15},
      year = {2017},
      abstract = {While export restrictive policy has long been associated  with increasing food price volatility, it has received  minimal attention in the empirical literature compared to  other potential drivers of international food price  fluctuations. This paper aims at closing this gap by  firstly quantifying the relevant policies in an indicator  of export restrictive policy. Subsequently, the effects of  that are tested on estimated realized and GARCH volatility  in VAR-X models where various wheat price volatilities are  allowed to be endogenously determined. In a second step,  the impacts of export controls during times of market  turmoil are assessed in asymmetric volatility models. This  strategy succinctly reveals the effects of export controls  along the policy, frequency, country and time dimensions  providing a detailed set of evidence. It is found that,  most pronounced effects on wheat price volatility stem from  long-term quotas. Similarly, longer term prohibitions of  some countries have impacted wheat price fluctuation as  well. On the contrary, long term tax strategies are shown  to not significantly impact wheat price volatility.  However, during times of market turmoil all three  considered export restrictions have particularly  contributed to wheat price volatility. Strengthened and  more binding WTO regulation could have led to significantly  less food price volatility, especially in times of food  price crisis, such as recently experienced during the  2007/08 and 2010/11 episodes.},
      url = {http://ageconsearch.umn.edu/record/262151},
      doi = {https://doi.org/10.22004/ag.econ.262151},
}