On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility

Energy Economics

Volumn 45, Issue , 2014, Pages 66-98

  Jebabli, Ikram ^a   Arouri, Mohamed ^b   Teulon, Frédéric ^c  

^a UNIVERSITÉ CLERMONT AUVERGNE   (France)

^b EDHEC BUSINESS SCHOOL   (France)

^c IPAG Lab ^*  (France)

Author keywords

Hedge effectiveness; Portfolio diversification; TVP VAR model with stochastic volatility; Volatility spillovers

Indexed keywords

COMMERCE; COSTS; CRUDE OIL PRICE; FINANCIAL DATA PROCESSING; INVESTMENTS; OILS AND FATS; STOCHASTIC SYSTEMS; TRANSMISSIONS; VALUE ENGINEERING;

EMPIRICAL INVESTIGATION; FORECAST ERROR VARIANCE DECOMPOSITION; HEDGE EFFECTIVENESS; PORTFOLIO DIVERSIFICATION; RISK-ADJUSTED PERFORMANCE; STOCHASTIC VOLATILITY; TIME VARYING PARAMETER; VOLATILITY SPILLOVERS; FOOD PRICES; OIL PRICE SHOCKS; STOCK MARKET;

STOCHASTIC MODELS;

CRUDE OIL; DECOMPOSITION ANALYSIS; EMPIRICAL ANALYSIS; ENERGY MARKET; FINANCIAL CRISIS; FINANCIAL MARKET; FOOD MARKET; PRICE DYNAMICS; SPILLOVER EFFECT; STOCHASTICITY; STOCK MARKET; MODELING;

EID: 84904395856     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2014.06.008     Document Type: Article

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