Spillover dynamics across price inflation and selected agricultural commodity prices

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dc.authorscopusid55921038200
dc.authorscopusid57193455217
dc.contributor.authorBalcilar, Mehmet
dc.contributor.authorBekun, Festus Victor
dc.date.accessioned2024-09-11T19:58:22Z
dc.date.available2024-09-11T19:58:22Z
dc.date.issued2020
dc.departmentİstanbul Gelişim Üniversitesien_US
dc.description.abstractThis article contributes to the existing empirical literature by examining the spillovers across price inflation and agricultural commodity prices for the case of Nigeria. To achieve this objective, we employ the Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) spillover index. Subsequently, we examine the directional spillover, total spillover, and net spillover indexes. Further analysis to capture cyclical and secular movements was addressed with 40 months of subsamples via the rolling window analysis. Our empirical results, based on the monthly frequency data from January 2006 to July 2016 show that the total spillover effect was about 75%. This suggests a high interconnectedness of the selected agricultural commodity prices and inflation. Further empirical findings shows that inflation, sorghum, soybeans, and wheat were net receivers while cocoa, barley, groundnut, maize, rice were net givers. We find a negative net spillover for price inflation, implying a net positive spillover from commodity prices to price inflation. Based on these outcomes, several inherent policy implications for the government administrators, farmers, investors and all stakeholders abound. For instance, the need for government officials to insulate the agricultural market from externalities for optimum prices stability is pertinent. © 2020, The Author(s).en_US
dc.identifier.doi10.1186/s40008-020-0180-0
dc.identifier.issn2193-2409en_US
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-85078455477en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.urihttps://doi.org/10.1186/s40008-020-0180-0
dc.identifier.urihttps://hdl.handle.net/11363/8453
dc.identifier.volume9en_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherSpringeren_US
dc.relation.ispartofJournal of Economic Structuresen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.snmz20240903_Gen_US
dc.subjectAgricultural commodity prices; Forecast error variance; Inflation; Nigeria; Price spillover; VAR modelen_US
dc.titleSpillover dynamics across price inflation and selected agricultural commodity pricesen_US
dc.typeArticleen_US

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