Iris Publishers Agriculture Soil Science

Modelling the Relationship Between Agricultural Commodity Prices, Energy Prices, And Exchange Rate: Evidence from A Three Stage Markov-Switching Model Authored by Yegnanew A Shiferaw Commodity price volatility originating from excessive commodity price fluctuation has been a global problem, especially after the recent financial crises. Commodity prices are categorized by periods of sharp fluctuations in prices, and the level of volatility itself changes over time [1]. Interest rises on modelling and analyzing the dynamic behavior of financial quantities observed through time after the groundbreaking papers by Engle [2] and Bollerslev [3]. However, there are changes on financial and macroeconomic quantities in their behavior over a sample period. Financial crises can cause dramatic fluctuations in the behavior of many economic time series [4]. They can also abruptly change the government policy. Markov Switching models have been presented to consist of sudden parameter changes in models...