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A Global Vector Autoregression Model for the Analysis of Wheat Export Prices
Author(s) -
Gutierrez Luciano,
Piras Francesco,
Paolo Roggero Pier
Publication year - 2015
Publication title -
american journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.949
H-Index - 111
eISSN - 1467-8276
pISSN - 0002-9092
DOI - 10.1093/ajae/aau103
Subject(s) - vector autoregression , economics , food prices , commodity , agriculture , food security , poverty , structural vector autoregression , monetary economics , price shock , macroeconomics , monetary policy , finance , economic growth , ecology , biology
Food commodity price fluctuations have an important impact on poverty and food insecurity across the world. Conventional models have not provided a complete picture of recent price spikes in agricultural commodity markets, and there is an urgent need for appropriate policy responses. Perhaps new approaches are needed to better understand international spill‐overs, the feedback between the real and the financial sectors, as well as the link between food and energy prices. In this article, we present the results from a new worldwide dynamic model that provides the short and long‐run impulse responses of the international wheat price to various real and financial shocks.