The effect of global economic and geopolitical uncertainty on global food commodity prices
by Ibrahim A. Onour
International Journal of Global Environmental Issues (IJGENVI), Vol. 23, No. 1, 2024

Abstract: The paper aims to assess the impact of global uncertainty, on global food commodity prices. The global uncertainty variables include global economic policy uncertainty index, global climate policy uncertainty, and global geopolitical risk indexes. Markov switching dynamic regression (MSDR) model is employed using monthly data during the period from January 1997 to September 2022. Results of MSDR show that there are two distinct states during the sample period, the state of low volatility period (state 1) and the state of high volatility (state 2). In state 1, all explanatory variables have a significant impact on the global food commodity price index. However, in state 2, only the economic policy uncertainty has a significant impact on food commodity prices, implying that uncertainty in global economic policy is the principal driver of global food commodity prices in the two states.

Online publication date: Thu, 26-Sep-2024

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