Revisiting Food Price Volatility in Nigeria: Climate Change or Terrorism?

Abstract

We offer new insights into the volatility dynamics of food prices based on the increasing vulnerability of farming activity to climate change and terrorism in Nigeria. We employ a Generalized Autoregressive Conditional Heteroscedasticity framework with Mixed Data Sampling (GARCH-MIDAS) to distinguish between realized and exogenously induced food price volatility. We hypothesize and confirm the relative significance of terrorism’s impact on food price volatility in Nigeria. Our results show that terrorism, and not climate change, predominantly induces volatility in Nigeria’s food prices.