Global Food Prices in the Shadow of Uncertainties, Risks and Volatilities

This study aims to investigate how global food prices are affected by uncertainties, risks, and volatilities for the period from January 1997 to June 2024 on a monthly basis. To detect regime changes and reveal different economic relations in each regime, the Markov-switching regression method, which considers the non-linear structures of the variables, is preferred. The periods represented by Regime 0 often coincide with periods of high uncertainty and crisis, such as the 2007–2009 Global Financial Crisis, the 2010–2011 Eurozone Debt Crisis, and the 2020–2022 COVID-19 pandemic. Regime 1, which covers periods other than these, represents the normalization periods. The findings provide evidence that when food prices tend to increase (during crisis periods), this increase is significantly affected by geopolitical risks and equity market volatility. When food prices tend to decline (during normalization periods), they are strongly affected by cost factors such as oil prices and weakly affected by global economic policy uncertainty. Policymakers are advised to focus on global uncertainties and risks to anticipate fluctuations in global food prices.