The linkage between oil and agricultural commodity prices in the light of the perceived global risk

Gozgor G., Kablamaci B.

AGRICULTURAL ECONOMICS-ZEMEDELSKA EKONOMIKA, cilt.60, ss.332-342, 2014 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 60
  • Basım Tarihi: 2014
  • Doi Numarası: 10.17221/183/2013-agricecon
  • Dergi Adı: AGRICULTURAL ECONOMICS-ZEMEDELSKA EKONOMIKA
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.332-342
  • Anahtar Kelimeler: oil prices, panel data estimations, the VIX, FUTURES PRICES, FOOD-PRICES, CO-MOVEMENT, COINTEGRATION, PANELS
  • İstanbul Üniversitesi Adresli: Evet

Özet

The paper examines a systematic interrelationship between the world oil and agricultural commodity prices, taking the role of the USD and the perceived global market risks into consideration for the period from January 1990 to June 2013. The authors initially determine the significant cross-sectional dependence in a large balanced panel framework for 27 commodity prices, and then apply the second generation panel unit root ( PUR) tests. Findings from the PUR tests clearly suggest that there is a strong unit root in agricultural commodity prices. In addition, the empirical findings from the fixed effects panel data, panel co-integration analysis, the Panel-Wald Causality tests, and the common correlated effects mean group estimations strongly show that the world oil price and the weak USD have positive impacts on almost all agricultural commodity prices. There are also retained the adjuvant effects of the escalatory perceived global market risk upon most agricultural commodity prices.