n Ghanaian Journal of Economics - Volatility transmission between prices of selected agricultural products with crude oil and exchanges rates in Ghana and Turkey - research

Volume 7 Number 1
  • ISSN : 2309-8945


Shift from cereals and grains consumption to dairy and meat products, 2006-2008 global food crisis, crude-related and import nature of agricultural production inputs are the causes of current volatility transmission in agricultural markets. Weakening domestic currencies against the US dollar for imported inputs is another contributory factor to agricultural product price volatility. Based on this, the objective was to estimate the volatility transmission along with directions and magnitudes among crude oil and exchange rate with maize, rice and soybean prices in Ghana and Turkey. The volatile behavior of agricultural markets in these countries is a reason for determining the volatility transmission between macroeconomic variables and the selected agricultural product prices and confirms the risk in agricultural product supplies. This was achieved by utilizing data from January, 2000 to December, 2015 on crude oil price and exchange rates with selected agricultural product prices in Ghana and Turkey. We applied the VAR (1)-BEKK MGARCH model for direct and indirect volatility transmissions for that purpose. Results showed exchange rate transmitted more volatility to agricultural product prices compared to crude oil prices in the two countries. In addition, as compared to Ghana, agricultural markets in Turkey are more resistant to fluctuations in macroeconomic variables. Optimal weights showed Turkey with a low price risk compared to Ghana because of the stability of Turkey’s Lira relative to Ghana Cedi. Thus long run stabilities in monetary and fiscal policies can reduce uncertainties in agricultural and macroeconomic markets in both countries.

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