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L'influence de l'activité financière sur la volatilité des prix des denrées alimentaires

Abstract : The intensification of the relationship between financial and agricultural markets seems to be an important determinant of agricultural commodity prices. In order to study this potential phenomenon, a DCC-GARCH model linked with a causality test in variance is used. The results of this article show a causal relationship between the volatility of agricultural products and the financial markets, suggesting a potential implication of the financial markets in the recent rises in agricultural product prices.
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https://hal.univ-lorraine.fr/hal-01753788
Contributor : Séverine BALDASSO Connect in order to contact the contributor
Submitted on : Thursday, March 29, 2018 - 4:51:40 PM
Last modification on : Tuesday, February 22, 2022 - 5:07:00 PM

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Camille Aït Youcef, Gaye del Lo. L'influence de l'activité financière sur la volatilité des prix des denrées alimentaires. Mondes en Développement, 2017, 179 (3), pp.45-66. ⟨10.3917/med.179.0045⟩. ⟨hal-01753788⟩

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