Staff Publications

Staff Publications

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    'Staff publications' is the digital repository of Wageningen University & Research

    'Staff publications' contains references to publications authored by Wageningen University staff from 1976 onward.

    Publications authored by the staff of the Research Institutes are available from 1995 onwards.

    Full text documents are added when available. The database is updated daily and currently holds about 240,000 items, of which 72,000 in open access.

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Record number 449671
Title Energy and Food Commodity Prices Linkage: An Examination with Mixed-Frequency Data
Author(s) Trujillo Barrera, A.A.; Pennings, J.M.E.
Event 2013 AAEA & CAES Joint Annual Meeting in Washington DC, USA, 2013-08-04/2013-08-06
Department(s) Marketing and Consumer Behaviour
Publication type Contribution in proceedings
Publication year 2013
Abstract Abstract Is the relationship between energy and agricultural commodities an important factor in the increasing price variability of food commodities? Findings from the literature appear to be mixed and highly influenced by the data frequency used in those analysis. A recurrent task in time series applied work is to match up data at different frequencies, while macroeconomic variables are often found at monthly or quarterly observations, financial variables are sampled daily or even at higher frequencies. In order to match up time series at different frequencies a common procedure is to aggregate the higher frequency to fit in the low frequency, this has the potential of losing valuable information, and generating misspecification. We study whether the use of mixed frequency estimations with data for the 2006-2011 period helps to improve the out of sample performance of a model that explains grain prices as a function of energy prices, macroeconomic variables such as exchange rate, interest rate, and inflation. Preliminary results suggest that an improvement is feasible, however it is tenuous beyond two months horizons.
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