volatility spillover between water, energy and food

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ID: 186844
2017
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Abstract
Water, energy, and food and are strongly interconnected, and the sustainability of the whole world depends on this link. The aim of this article is to analyze the volatility spillovers between indexes representing the financial component of this nexus. We use a multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with daily data in which the water variable is proxy by equity index that represents the performance of the industry involved in water business both at the global and local levels. For the food and energy sectors, we use two sub-indexes of the S&P Goldman Sachs (GS)-Commodity Index. Our results highlight the existence of a financial nexus between water, energy, and food that was particularly exacerbated during 2008 crisis. Evidence therefore suggests the need to better investigate the policy options that can be used to reduce price volatility in a framework of the rising relevance of sustainability issues.
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peri2017sustainabilityvolatility Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Massimo Peri;Daniela Vandone;Lucia Baldi
Journal journal of physics: conference series
Year 2017
DOI
10.3390/su9061071
URL
http://www.mdpi.com/2071-1050/9/6/1071
Keywords
water energy food

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