News and volatility of food prices

Yuqing Zheng, Henry W. Kinnucan, Henry Thompson

Research output: Contribution to journalArticlepeer-review

20 Scopus citations

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.

Original languageEnglish
Pages (from-to)1629-1635
Number of pages7
JournalApplied Economics
Volume40
Issue number13
DOIs
StatePublished - Jul 2008

ASJC Scopus subject areas

  • Economics and Econometrics

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