News and Volatility of Food Prices

Financial markets exhibit an asymmetric news effect with unexpected low prices generating more price volatility than quot;newsquot; of high prices. The present study examines US food markets for such asymmetric news effects. Analysis of 25 years of monthly data for 45 retail food items shows that price news destabilizes about a third of the markets with unexpected price increases more destabilizing

MoreLess

Year of publication:	[2007]
Authors:	Zheng, Yuqing
Other Persons:	Kinnucan, Henry W. (contributor) ; Thompson, Henry (contributor)
Publisher:	[2007]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Lebensmittelpreis \| Food price \| Ernährungssicherung \| Food security \| Ankündigungseffekt \| Announcement effect \| ARCH-Modell \| ARCH model

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (19 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Applied Economics, Forthcoming
Classification:	Q13 - Agricultural Markets and Marketing; Cooperatives; Agribusiness ; C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012775703