News impact for Turkish food prices

The significance of terms of trade shocks for retail food prices in Turkey

“…∆ NER t is the logarithmic difference of nominal exchange rates. ∆ MP − RATE t is the policy rate, and PRICE − VOL it is the retail food price volatility, which we compute using GARCH and EGARCH models (Chadwick & Bastan, 2017a). $${{\rm{\Gamma }}}_{0}$$ is a matrix of constants, $${\rm{\Gamma }}(L)$$ is the matrix of polynomial lags that capture the relationship between variables and their lags, and u it is the reduced form residual vector.…”

“…ΔNER t is the logarithmic difference of nominal exchange rates. ΔMP − RATE t is the policy rate, and PRICE − VOL it is the retail food price volatility, which we compute using GARCH and EGARCH models (Chadwick & Bastan, 2017a).…”

“…Second, in most of these studies, volatility of retail food prices are not analyzed for Turkey, which is one of the most notable contributions of this study. In this respect, first, we extract the volatility of 35 retail food prices using the technique explained in detail with Chadwick and Bastan's (2017a) study, and then we analyze the effect of terms of trade shocks on the level and volatility of retail food prices of Turkey.…”