Volatility and Co‑movement: an Analysis of Food Commodity Prices in Nigeria
This study explains volatility as a measure and interaction of the possible movement in a particular economic variable. Prices change rapidly in adjustment to market circumstances. Food prices hike experienced overyears has resulted in widespread menace which led to increase in food price volatility...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2017-09-01
|
| Series: | Agricultura Tropica et Subtropica |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/ats-2017-0014 |
| _version_ | 1797817373837754368 |
|---|---|
| author | Ogunmola Omotoso Oluseye Obayelu Abiodun Elijah Akinbode Sakiru Oladele |
| author_facet | Ogunmola Omotoso Oluseye Obayelu Abiodun Elijah Akinbode Sakiru Oladele |
| author_sort | Ogunmola Omotoso Oluseye |
| collection | DOAJ |
| description | This study explains volatility as a measure and interaction of the possible movement in a particular economic variable. Prices change rapidly in adjustment to market circumstances. Food prices hike experienced overyears has resulted in widespread menace which led to increase in food price volatility. However, volatility and co-movement had generally been lower for the past two decades than for the previous ones. Wide price movements over a short period of time connote high volatility, rendering the producers and consumers vulnerable. Excess volatility can be subjected to sector ineffectiveness and is commodity specific. Producers and processors are mostly concerned about increased price volatility, which greatly exposed them to unpredictable risks and uncertainty associated with price changes. This study examined the volatility and co-movement of food commodity prices in Nigeria using price series data on rice, maize, sorghum, cassava and yam for the period of 1966 to 2013. The data were analysed using Vector Autoregressive Model to forecast food price volatility and to examine the food commodity prices that Granger cause food price volatility in other food commodities. The GARCH regression model is used to estimate the magnitude of volatility which revealed that, food commodity prices exhibit high volatility and there is persistent increase in prices over the period of study. The Nigerian food commodity prices have experienced high fluctuations over the period; therefore, the study recommends proper storage facilities and infrastructure for the food distribution corporations in Nigeria. |
| first_indexed | 2024-03-13T08:52:30Z |
| format | Article |
| id | doaj.art-abaf33b937cd494093ef83400a856b55 |
| institution | Directory Open Access Journal |
| issn | 1801-0571 |
| language | English |
| last_indexed | 2024-03-13T08:52:30Z |
| publishDate | 2017-09-01 |
| publisher | Sciendo |
| record_format | Article |
| series | Agricultura Tropica et Subtropica |
| spelling | doaj.art-abaf33b937cd494093ef83400a856b552023-05-29T09:43:55ZengSciendoAgricultura Tropica et Subtropica1801-05712017-09-0150312913910.1515/ats-2017-0014Volatility and Co‑movement: an Analysis of Food Commodity Prices in NigeriaOgunmola Omotoso Oluseye0Obayelu Abiodun Elijah1Akinbode Sakiru Oladele2Department of Agricultural Economics and Farm Management, Federal University of Agriculture, Abeokuta (FUNAAB), Ogun State, NigeriaDepartment of Agricultural Economics and Farm Management, Federal University of Agriculture, Abeokuta (FUNAAB), Ogun State, NigeriaDepartment of Economics, Federal University of Agriculture, Abeokuta (FUNAAB), Ogun State, NigeriaThis study explains volatility as a measure and interaction of the possible movement in a particular economic variable. Prices change rapidly in adjustment to market circumstances. Food prices hike experienced overyears has resulted in widespread menace which led to increase in food price volatility. However, volatility and co-movement had generally been lower for the past two decades than for the previous ones. Wide price movements over a short period of time connote high volatility, rendering the producers and consumers vulnerable. Excess volatility can be subjected to sector ineffectiveness and is commodity specific. Producers and processors are mostly concerned about increased price volatility, which greatly exposed them to unpredictable risks and uncertainty associated with price changes. This study examined the volatility and co-movement of food commodity prices in Nigeria using price series data on rice, maize, sorghum, cassava and yam for the period of 1966 to 2013. The data were analysed using Vector Autoregressive Model to forecast food price volatility and to examine the food commodity prices that Granger cause food price volatility in other food commodities. The GARCH regression model is used to estimate the magnitude of volatility which revealed that, food commodity prices exhibit high volatility and there is persistent increase in prices over the period of study. The Nigerian food commodity prices have experienced high fluctuations over the period; therefore, the study recommends proper storage facilities and infrastructure for the food distribution corporations in Nigeria.https://doi.org/10.1515/ats-2017-0014food price volatilityco-movementvector autoregressive model |
| spellingShingle | Ogunmola Omotoso Oluseye Obayelu Abiodun Elijah Akinbode Sakiru Oladele Volatility and Co‑movement: an Analysis of Food Commodity Prices in Nigeria Agricultura Tropica et Subtropica food price volatility co-movement vector autoregressive model |
| title | Volatility and Co‑movement: an Analysis of Food Commodity Prices in Nigeria |
| title_full | Volatility and Co‑movement: an Analysis of Food Commodity Prices in Nigeria |
| title_fullStr | Volatility and Co‑movement: an Analysis of Food Commodity Prices in Nigeria |
| title_full_unstemmed | Volatility and Co‑movement: an Analysis of Food Commodity Prices in Nigeria |
| title_short | Volatility and Co‑movement: an Analysis of Food Commodity Prices in Nigeria |
| title_sort | volatility and co movement an analysis of food commodity prices in nigeria |
| topic | food price volatility co-movement vector autoregressive model |
| url | https://doi.org/10.1515/ats-2017-0014 |
| work_keys_str_mv | AT ogunmolaomotosooluseye volatilityandcomovementananalysisoffoodcommoditypricesinnigeria AT obayeluabiodunelijah volatilityandcomovementananalysisoffoodcommoditypricesinnigeria AT akinbodesakiruoladele volatilityandcomovementananalysisoffoodcommoditypricesinnigeria |