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News and volatility of food prices

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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.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036840600892910

Affiliations: 1: Cornell University, USA 2: Department of Agricultural Economics and Rural Sociology, Auburn University, Auburn, Alabama 36849, USA

Publication date: July 1, 2008

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