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Sustainability 2017, 9(6), 1071; doi:10.3390/su9061071

Volatility Spillover between Water, Energy and Food

1
Department of Economics, Management and Quantitative Methods, University of Milan, 20122 Milan, Italy
2
Department of Food, Environmental and Nutritional Sciences, University of Milan, 20133 Milan, Italy
*
Author to whom correspondence should be addressed.
Academic Editor: Fabio Carlucci
Received: 6 April 2017 / Revised: 6 June 2017 / Accepted: 15 June 2017 / Published: 20 June 2017
(This article belongs to the Section Economic, Business and Management Aspects of Sustainability)
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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. View Full-Text
Keywords: water; food; energy; nexus; M-GARCH; volatility spillover water; food; energy; nexus; M-GARCH; volatility spillover
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Peri, M.; Vandone, D.; Baldi, L. Volatility Spillover between Water, Energy and Food. Sustainability 2017, 9, 1071.

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