<abstract xmlns="http://www.w3.org/1999/xhtml"><p>In this paper we examined the determinants of food price volatility in Nigeria using monthly data from January, 1997 to April, 2017. We employed the multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. In particular, the Baba-Engle-Kraft-Kroner (BEKK) model and the Dynamic Conditional Correlation (DCC) model were used for estimation. The findings showed that information shocks originating in Consumer Price Indices (CPI), lending rate, exchange rate and oil market have a direct effect on the current conditional volatility in food market while the information shocks originating in food have a direct effect on the current conditional volatility in all the markets considered except for oil. These results were insensitive to changes in data frequency and different oil price specification. Hence, the government should encourage the use of alternative sources of energy to reduce the effect of high oil prices on food prices and provide soft agricultural credit scheme to farmers with a low lending rate through specialized banks.</p></abstract>

In this paper we examined the determinants of food price volatility in Nigeria using monthly data from January, 1997 to April, 2017. We employed the multivariate GARCH approach to evaluate the level of interdependence and the dynamics of volatility across these markets. In particular, the Baba-Engle-Kraft-Kroner (BEKK) model and the Dynamic Conditional Correlation (DCC) model were used for estimation. The findings showed that information shocks originating in Consumer Price Indices (CPI), lending rate, exchange rate and oil market have a direct effect on the current conditional volatility in food market while the information shocks originating in food have a direct effect on the current conditional volatility in all the markets considered except for oil. These results were insensitive to changes in data frequency and different oil price specification. Hence, the government should encourage the use of alternative sources of energy to reduce the effect of high oil prices on food prices and provide soft agricultural credit scheme to farmers with a low lending rate through specialized banks.

Determinants of food price volatility in Nigeria

Department of Economics, College of Management Sciences

Center for Econometric and Allied Research (CEAR), Department of Economics

Agricultura Tropica et Subtropica

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

{"article-title":"Determinants of food price volatility in Nigeria"}

In this paper we examined the determinants of food price volatility in Nigeria using monthly data from January, 1997 to April, 2017. We employed the...

Determinants of food price volatility in Nigeria

Published Online: Apr 07, 2019

Page range: 165 - 174

Received: May 27, 2018

Accepted: Jan 24, 2019

DOI: https://doi.org/10.2478/ats-2018-0019

Keywords
price volatility, inflation rate, exchange rate, oil prices, interest rate, multivariate GARCH models

© 2018 Ismail Olaleke Fasanya et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Determinants of food price volatility in Nigeria

Published Online: Apr 07, 2019

Page range: 165 - 174

Received: May 27, 2018

Accepted: Jan 24, 2019

DOI: https://doi.org/10.2478/ats-2018-0019

Keywordsprice volatility, inflation rate, exchange rate, oil prices, interest rate, multivariate GARCH models

© 2018 Ismail Olaleke Fasanya et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Keywords
price volatility, inflation rate, exchange rate, oil prices, interest rate, multivariate GARCH models