News and Volatility of Food Prices

19 Pages Posted: 4 Nov 2007

See all articles by Yuqing Zheng

Yuqing Zheng

University of Kentucky - College of Agriculture - Department of Agricultural Economics

Henry W. Kinnucan

Auburn University

Henry Thompson

Auburn University - Department of Economics

Abstract

Financial markets exhibit an asymmetric news effect with unexpected low prices generating more price volatility than "news" 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.

Keywords: food price news, volatility, asymmetry

JEL Classification: Q13, C32

Suggested Citation

Zheng, Yuqing and Kinnucan, Henry W. and Thompson, Henry, News and Volatility of Food Prices. Applied Economics, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1026594

Yuqing Zheng (Contact Author)

University of Kentucky - College of Agriculture - Department of Agricultural Economics ( email )

Lexington, KY 40546
United States

Henry W. Kinnucan

Auburn University ( email )

415 West Magnolia Avenue
Auburn, AL 36849
United States

Henry Thompson

Auburn University - Department of Economics ( email )

Economics Department
Auburn, AL 36849-5242
United States
334-844-2910 (Phone)
334-844-5639 (Fax)

HOME PAGE: http://www.auburn.edu/~thomph1

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