Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific

This paper examines cross country mean and volatility spillover effects of food prices across selected Asian and Pacific countries namely Australia, New Zealand, South Korea, Singapore, Hong Kong, Taiwan, India and Thailand. The principal method of analysis is a set of component GARCH-type models of...

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Main Authors: Alom, Fardous, Bert, Ward, Baiding, Hu
Format: Article
Language:English
Published: World Business Institute 2010
Subjects:
Online Access:http://irep.iium.edu.my/34728/1/Cross_country_mean_and_volatility_spillover_effects.pdf
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author Alom, Fardous
Bert, Ward
Baiding, Hu
author_facet Alom, Fardous
Bert, Ward
Baiding, Hu
author_sort Alom, Fardous
collection IIUM
description This paper examines cross country mean and volatility spillover effects of food prices across selected Asian and Pacific countries namely Australia, New Zealand, South Korea, Singapore, Hong Kong, Taiwan, India and Thailand. The principal method of analysis is a set of component GARCH-type models of conditional variance. Mean and volatility spillover effects of food prices are examined across a full (1995-2010) sample and two subsamples (1995-2001 and 2002-2010), using daily food price indices. Main findings of the study are as follows: (1) there is no strong evidence of cross country mean spillover effects of food prices across all samples, (2) the recent subsample of sharp rise of food prices shows more evidence of mean spillover effects than the early subsample, (3) evidence of volatility spillover effects is stronger than mean spillover effects, (4) mixed evidence of volatility spillover effects is reported and (5) no exact direction of spillover effects between exporters and importers is evident; rather mixed evidence of spillover from exporter to importer, exporter to exporter, importer to exporter and geographical proximity can be documented.
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spelling oai:generic.eprints.org:347282015-09-09T06:29:38Z http://irep.iium.edu.my/34728/ Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific Alom, Fardous Bert, Ward Baiding, Hu HB221 Price This paper examines cross country mean and volatility spillover effects of food prices across selected Asian and Pacific countries namely Australia, New Zealand, South Korea, Singapore, Hong Kong, Taiwan, India and Thailand. The principal method of analysis is a set of component GARCH-type models of conditional variance. Mean and volatility spillover effects of food prices are examined across a full (1995-2010) sample and two subsamples (1995-2001 and 2002-2010), using daily food price indices. Main findings of the study are as follows: (1) there is no strong evidence of cross country mean spillover effects of food prices across all samples, (2) the recent subsample of sharp rise of food prices shows more evidence of mean spillover effects than the early subsample, (3) evidence of volatility spillover effects is stronger than mean spillover effects, (4) mixed evidence of volatility spillover effects is reported and (5) no exact direction of spillover effects between exporters and importers is evident; rather mixed evidence of spillover from exporter to importer, exporter to exporter, importer to exporter and geographical proximity can be documented. World Business Institute 2010-11 Article PeerReviewed application/pdf en http://irep.iium.edu.my/34728/1/Cross_country_mean_and_volatility_spillover_effects.pdf Alom, Fardous and Bert, Ward and Baiding, Hu (2010) Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific. International Review of Business Research Papers, 6 (5). pp. 334-355. ISSN 1832-9543 (O), 1837-5685 (P) http://ideas.repec.org/a/ebl/ecbull/eb-11-00186.html
spellingShingle HB221 Price
Alom, Fardous
Bert, Ward
Baiding, Hu
Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific
title Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific
title_full Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific
title_fullStr Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific
title_full_unstemmed Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific
title_short Cross country mean and volatility spillover effects of food prices: Evidence for Asia and Pacific
title_sort cross country mean and volatility spillover effects of food prices evidence for asia and pacific
topic HB221 Price
url http://irep.iium.edu.my/34728/1/Cross_country_mean_and_volatility_spillover_effects.pdf
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AT bertward crosscountrymeanandvolatilityspillovereffectsoffoodpricesevidenceforasiaandpacific
AT baidinghu crosscountrymeanandvolatilityspillovereffectsoffoodpricesevidenceforasiaandpacific