Determinants of food price volatility in Nigeria
In this paper we examined the determinants of food price volatility in Nigeria using monthly data from January, 1997 to April, 2017. We employed the multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. In particular, the Baba-Engle...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Sciendo
2018-12-01
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| Series: | Agricultura Tropica et Subtropica |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/ats-2018-0019 |
| _version_ | 1797817263162654720 |
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| author | Fasanya Ismail Olaleke Olawepo Feyikunayo |
| author_facet | Fasanya Ismail Olaleke Olawepo Feyikunayo |
| author_sort | Fasanya Ismail Olaleke |
| collection | DOAJ |
| description | In this paper we examined the determinants of food price volatility in Nigeria using monthly data from January, 1997 to April, 2017. We employed the multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. In particular, the Baba-Engle-Kraft-Kroner (BEKK) model and the Dynamic Conditional Correlation (DCC) model were used for estimation. The findings showed that information shocks originating in Consumer Price Indices (CPI), lending rate, exchange rate and oil market have a direct effect on the current conditional volatility in food market while the information shocks originating in food have a direct effect on the current conditional volatility in all the markets considered except for oil. These results were insensitive to changes in data frequency and different oil price specification. Hence, the government should encourage the use of alternative sources of energy to reduce the effect of high oil prices on food prices and provide soft agricultural credit scheme to farmers with a low lending rate through specialized banks. |
| first_indexed | 2024-03-13T08:51:53Z |
| format | Article |
| id | doaj.art-0b7bb92ef13a480ba76f1c6076cdca9e |
| institution | Directory Open Access Journal |
| issn | 1801-0571 |
| language | English |
| last_indexed | 2024-03-13T08:51:53Z |
| publishDate | 2018-12-01 |
| publisher | Sciendo |
| record_format | Article |
| series | Agricultura Tropica et Subtropica |
| spelling | doaj.art-0b7bb92ef13a480ba76f1c6076cdca9e2023-05-29T10:54:39ZengSciendoAgricultura Tropica et Subtropica1801-05712018-12-0151416517410.2478/ats-2018-0019Determinants of food price volatility in NigeriaFasanya Ismail Olaleke0Olawepo Feyikunayo1Department of Economics, College of Management Sciences, Federal University of Agriculture, Abeokuta, Nigeria fasanyaio@funaab.edu.ng.Department of Economics, College of Management Sciences, Federal University of Agriculture, Abeokuta, Nigeria fasanyaio@funaab.edu.ng.In this paper we examined the determinants of food price volatility in Nigeria using monthly data from January, 1997 to April, 2017. We employed the multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. In particular, the Baba-Engle-Kraft-Kroner (BEKK) model and the Dynamic Conditional Correlation (DCC) model were used for estimation. The findings showed that information shocks originating in Consumer Price Indices (CPI), lending rate, exchange rate and oil market have a direct effect on the current conditional volatility in food market while the information shocks originating in food have a direct effect on the current conditional volatility in all the markets considered except for oil. These results were insensitive to changes in data frequency and different oil price specification. Hence, the government should encourage the use of alternative sources of energy to reduce the effect of high oil prices on food prices and provide soft agricultural credit scheme to farmers with a low lending rate through specialized banks.https://doi.org/10.2478/ats-2018-0019price volatilityinflation rateexchange rateoil pricesinterest ratemultivariate garch models |
| spellingShingle | Fasanya Ismail Olaleke Olawepo Feyikunayo Determinants of food price volatility in Nigeria Agricultura Tropica et Subtropica price volatility inflation rate exchange rate oil prices interest rate multivariate garch models |
| title | Determinants of food price volatility in Nigeria |
| title_full | Determinants of food price volatility in Nigeria |
| title_fullStr | Determinants of food price volatility in Nigeria |
| title_full_unstemmed | Determinants of food price volatility in Nigeria |
| title_short | Determinants of food price volatility in Nigeria |
| title_sort | determinants of food price volatility in nigeria |
| topic | price volatility inflation rate exchange rate oil prices interest rate multivariate garch models |
| url | https://doi.org/10.2478/ats-2018-0019 |
| work_keys_str_mv | AT fasanyaismailolaleke determinantsoffoodpricevolatilityinnigeria AT olawepofeyikunayo determinantsoffoodpricevolatilityinnigeria |