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.

Volatility spillover between water, energy and food / M. Peri, D. Vandone, L. Baldi. - In: SUSTAINABILITY. - ISSN 2071-1050. - 9:6(2017 Jun 20), pp. 1071.1-1071.16. [10.3390/su9061071]

Volatility spillover between water, energy and food

M. Peri
Primo
;
D. Vandone
Secondo
;
L. Baldi
2017

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.
Energy; Food; M-GARCH; Nexus; Volatility spillover; Water; Geography, Planning and Development; Renewable Energy, Sustainability and the Environment; Management, Monitoring, Policy and Law
Settore AGR/01 - Economia ed Estimo Rurale
Settore SECS-P/11 - Economia degli Intermediari Finanziari
20-giu-2017
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/525498
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