Title: Structures of price volatility: transmission, exchange rate and transactions costs
Authors: Luhiriri Muhanyi Denis and Luhiriri Muhanyi Denis
Volume: 7
Issue: 9
Pages: 92-115
Publication Date: 2023/09/28
Abstract:
This study analyzes the structure of volatility, intra-price transmission and the effects of exchange rate variability and transaction costs. Thanks to GARCH, MGARCH and EGARCH, the results show that structural volatility characterizes prices, that corn plays a central role in transmission and that upward expectations are more worrying than downward ones due to non-diversification. food consumed. The exchange rate and transaction costs contribute little to the increase in price volatility.