Modeling return and volatility spillovers among food prices in Nigeria
This paper focuses on the return and volatility spillovers among the major agricultural commodities in Nigeria. Specifically, we examine the spillovers across wheat, rice, soybeans, groundnut and palm oil both in terms of returns and volatility using monthly data from January 1980 to June 2017. We e...
Main Authors: | , |
---|---|
Format: | Article |
Language: | English |
Published: |
Elsevier
2020-12-01
|
Series: | Journal of Agriculture and Food Research |
Subjects: | |
Online Access: | http://www.sciencedirect.com/science/article/pii/S2666154320300107 |
id |
doaj-0936e11fe8a44c81987b823a31b646a8 |
---|---|
record_format |
Article |
spelling |
doaj-0936e11fe8a44c81987b823a31b646a82021-02-27T04:40:56ZengElsevierJournal of Agriculture and Food Research2666-15432020-12-012100029Modeling return and volatility spillovers among food prices in NigeriaIsmail O. Fasanya0Temitope F. Odudu1Wits Business School, University of the Witwatersrand, Johannesburg, South Africa; Corresponding author.Department of Economics, College of Management Sciences, Federal University of Agriculture, Abeokuta, NigeriaThis paper focuses on the return and volatility spillovers among the major agricultural commodities in Nigeria. Specifically, we examine the spillovers across wheat, rice, soybeans, groundnut and palm oil both in terms of returns and volatility using monthly data from January 1980 to June 2017. We employ the Diebold and Yilmaz (2012) spillover approach and consequently, we compute the Total Spillover, Directional Spillover and Net Spillover indices. In a bid to capture the inherent secular and cyclical movements in the Nigerian agricultural commodities market, we carry out the rolling sample analysis which complements the spillover results. We find evidence of interdependence among major agricultural commodities in Nigeria given the spillover indices. Interestingly, return and volatility spillovers exhibit both trends and bursts respectively. In addition, we recognize crisis periods that seem to have motivated the documented fluctuations in returns and volatilities of the Nigerian agricultural commodities market. Our results are robust to the VAR lag structure.http://www.sciencedirect.com/science/article/pii/S2666154320300107Agricultural marketReturnsVolatilitiesVector autoregression (VAR)Forecast error varianceSpillover index |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Ismail O. Fasanya Temitope F. Odudu |
spellingShingle |
Ismail O. Fasanya Temitope F. Odudu Modeling return and volatility spillovers among food prices in Nigeria Journal of Agriculture and Food Research Agricultural market Returns Volatilities Vector autoregression (VAR) Forecast error variance Spillover index |
author_facet |
Ismail O. Fasanya Temitope F. Odudu |
author_sort |
Ismail O. Fasanya |
title |
Modeling return and volatility spillovers among food prices in Nigeria |
title_short |
Modeling return and volatility spillovers among food prices in Nigeria |
title_full |
Modeling return and volatility spillovers among food prices in Nigeria |
title_fullStr |
Modeling return and volatility spillovers among food prices in Nigeria |
title_full_unstemmed |
Modeling return and volatility spillovers among food prices in Nigeria |
title_sort |
modeling return and volatility spillovers among food prices in nigeria |
publisher |
Elsevier |
series |
Journal of Agriculture and Food Research |
issn |
2666-1543 |
publishDate |
2020-12-01 |
description |
This paper focuses on the return and volatility spillovers among the major agricultural commodities in Nigeria. Specifically, we examine the spillovers across wheat, rice, soybeans, groundnut and palm oil both in terms of returns and volatility using monthly data from January 1980 to June 2017. We employ the Diebold and Yilmaz (2012) spillover approach and consequently, we compute the Total Spillover, Directional Spillover and Net Spillover indices. In a bid to capture the inherent secular and cyclical movements in the Nigerian agricultural commodities market, we carry out the rolling sample analysis which complements the spillover results. We find evidence of interdependence among major agricultural commodities in Nigeria given the spillover indices. Interestingly, return and volatility spillovers exhibit both trends and bursts respectively. In addition, we recognize crisis periods that seem to have motivated the documented fluctuations in returns and volatilities of the Nigerian agricultural commodities market. Our results are robust to the VAR lag structure. |
topic |
Agricultural market Returns Volatilities Vector autoregression (VAR) Forecast error variance Spillover index |
url |
http://www.sciencedirect.com/science/article/pii/S2666154320300107 |
work_keys_str_mv |
AT ismailofasanya modelingreturnandvolatilityspilloversamongfoodpricesinnigeria AT temitopefodudu modelingreturnandvolatilityspilloversamongfoodpricesinnigeria |
_version_ |
1724248227997286400 |