Agric. Econ. - Czech, 2015, 61(9):410-421 | DOI: 10.17221/231/2014-AGRICECON

The interactions between agricultural commodity and oil prices: an empirical analysisOriginal Paper

Ayhan KAPUSUZOGLU1, Merve KARACAER ULUSOY2
1 Department of Banking and Finance, Business School, Yildirim Beyazit University, Ankara, Turkey
2 Department of Marketing, Business School, Yildirim Beyazit University, Ankara, Turkey

The purpose of the study is to analyse the short and long-term relationships between the world oil prices (Europe Brent Spot Price and West Texas Intermediate Spot Price) and the agricultural commodity prices (Wheat, Corn and Soybeans). The analysis is based upon the data set covering the monthly period of 1990.01-2014.05. According to the Johansen co-integration tests results, there are no long-run relationships between each agricultural commodity prices and world oil prices at the 5% significance level. On the other hand, according to the results of the Granger causality tests, there are uni-directional causality relationships from the Europe Brent and West Texas Intermediate oil prices to Wheat at the 1% and 5% significance level respectively, to Corn at the 1% and 1% significance level respectively and to Soybeans at the 1% and 5% significance level respectively. No causality relationship from the agricultural commodity prices to world the oil prices has been observed.

Keywords: causality, co-integration, commodity prices, world energy prices

Published: September 30, 2015  Show citation

ACS AIP APA ASA Harvard Chicago IEEE ISO690 MLA NLM Turabian Vancouver
KAPUSUZOGLU A, KARACAER ULUSOY M. The interactions between agricultural commodity and oil prices: an empirical analysis. Agric. Econ. - Czech. 2015;61(9):410-421. doi: 10.17221/231/2014-AGRICECON.
Share...
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. Abbott P.C., Hurt C., Tyner W.E. (2009): What's driving food prices? March 2009 update. Farm Foundation Issue Report, March 2009.
    2. Adämmer P., Bohl T.M. (2015): Speculative bubbles in agricultural prices. The Quarterly Review of Economics and Finance, 55: 67-76. Go to original source...
    3. Baffes J. (2007): Oil spills on other commodities. Policy Research Working Paper No. 4333, World Bank. Go to original source...
    4. Baffes J. (2013): A framework for analyzing the interplay among food, fuels, and biofuels. Global Food Security, 2: 110-116. Go to original source...
    5. Basar S., Temurlenk M.S. (2007): Çevreye uyarlanmiş Kuznets eğrisi: Türkiye üzerine bir uygulama. (Environmentally adapted Kuznets curve: Evidence from Turkey.) Ataturk Universitesi İktisadi ve İdari Bilimler Fakultesi Dergisi, 21: 1-12.
    6. Campiche J.L., Bryant H.L., Richardson J.W., Outlaw J.L. (2007): Examining the evolving correspondence between petroleum prices and agricultural commodity prices. In: American Agricultural Economics Association Annual Meeting, July 29-August 1, 2007, Portland..
    7. Chen Y., Rogoff K., Rossi B. (2008): Can exchange rates forecast commodity prices? Economic Research Initiatives at Duke (ERID) Working Paper, No. 94. Go to original source...
    8. Chen S., Kuo H., Chen C. (2010): Modeling the relationship between the oil price and global food prices. Applied Energy, 87: 2517-2525. Go to original source...
    9. Chimobi O.P., Igwe O.L. (2010): Budget deficit, money supply and inflation in Nigeria, European Journal of Economics, 19: 1450-2887.
    10. Dickey D.A., Fuller W.A. (1979): Distribution of the estimators for autoregressive time series with a unit root. Journal of American Statistical Society, 75: 427-431. Go to original source...
    11. Du X., Yu C.L., Hayes D.J. (2011): Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis. Energy Economics, 33: 497-503. Go to original source...
    12. Enders W. (1995): Applied Econometric Time Series. Wiley, New York.
    13. Fang C.R., Lee W.C., Chang C.F. (2014): The co-movement between oil and agricultural commodity prices: Evidence from the emerging market of China. Issues & Studies, 50: 111-141.
    14. Frank J., Garcia P. (2010): How strong are the linkages among agricultural, oil, and exchange rate markets? In: Proceedings of the NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, St. Louis, MO.
    15. Gilbert C.L. (2010): How to understand high food prices. Journal of Agricultural Economics, 61: 398-425. Go to original source...
    16. Granger C.W.J. (1969): Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37: 424-438. Go to original source...
    17. Gozgor G., Kablamaci B. (2014): The linkage between oil and agricultural commodity prices in the light of the perceived global risk. Agricultural Economics, 60: 332-342. Go to original source...
    18. Hanson K., Robinson S., Schluter G. (1993): Sectorial effects of a world oil price shock: Economy wide linkages to the agricultural sector. Journal of Agricultural and Resource Economics, 18: 96-116.
    19. Hamilton J.D. (2008): Understanding crude oil prices. NBER Working Paper Series No. 14492. Available at http://www.nber.org/papers/w14492 Go to original source...
    20. Harri A., Nalley L., Hudson D. (2009): The relationship between oil, exchange rates, and commodity prices. Journal of Agricultural and Applied Economics, 41: 501-510. Go to original source...
    21. Johansen S. (1988): Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12: 231-254. Go to original source...
    22. Johansen S., Juselius K. (1990): Maximum likelihood estimation and inferences on co-integration with application to the demand for Money. Oxford Bulletin of Economics and Statistics, 52: 169-210. Go to original source...
    23. Johansen S. (1991): Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59: 1551-1580. Go to original source...
    24. Kaltalioglu M., Soyas U. (2011): Volatility spillover from oil to food and agricultural raw material markets. Modern Economy, 2: 71-76. Go to original source...
    25. Kilian L. (2008): The economic effects of energy price shocks. Journal of Economic Literature, 46: 871-909. Go to original source...
    26. Kwiatkowski D., Phillips P.C.B., Schmidt P., Shin Y. (1992): Testing the null-hypothesis of stationary against the alternative of a unit root. Journal of Econometrics, 54: 159-178. Go to original source...
    27. Kwon D., Koo W.W. (2009): Price transmission channels of energy and exchange rate on food sector: A disaggregated approach based on stage of process. In: Agricultural & Applied Economics Association 2009 AAEA & ACCI Joint Annual Meeting, Milwaukee, Wisconsin, July 26-29, 2009.
    28. MacKinnon J.G. (1996): Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics, 11: 601-618. Go to original source...
    29. MacKinnon J.G., Haug A.A., Michelis L. (1999): Numerical distribution functions of likelihood ratio tests for cointegration. Journal of Applied Econometrics, 14: 563-577. Go to original source...
    30. Mitchell D. (2008): A note on Rising Food Prices, Policy Research Working Paper Series, No. 4682, World Bank. Go to original source...
    31. Mutuc M., Pan S., Hudson D. (2010): What drives commodity prices more: Oil Demand or Supply Shocks? In: Agricultural & Applied Economics Association 2010 AAEA, CAES, & W Joint Annual Meeting, Denver, Colorado, July 25-27, 2010.
    32. Nazlioglu S. (2011): World oil and agricultural commodity prices: Evidence from nonlinear causality. Energy Policy, 39: 2935-2943. Go to original source...
    33. Nazlioglu S., Soytas S. (2011): World oil prices and agricultural commodity prices: Evidence from an emerging market. Energy Economics, 33: 488-496. Go to original source...
    34. Nazlioglu S., Soytas S. (2012): Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis, 34: 1098-1104. Go to original source...
    35. Nazlioglu S., Erdem C., Soytas S. (2013): Volatility spillover between oil and agricultural commodity markets, Energy Economics, 36: 658-665. Go to original source...
    36. Phillips P.C.B., Perron P. (1988): Testing for a unit root in time series regressions. Biometrica, 75: 335-346. Go to original source...
    37. Reboredo J.C. (2012): Do food and oil prices co-move? Energy Policy, 49: 456-467. Go to original source...
    38. Rosa F., Vasciaveo M. (2012): Agri-commodity price dynamics: The relationship between oil and agricultural market, In: International association of Agricultural Economists (IAAE) Triennial Conference, Foz do Iguaçu, Brazil, August 18-24, 2012.
    39. Saghaian S.H. (2010): The impact of the oil sector on commodity prices: Correlation or causation? Journal of Agricultural and Applied Economics, 42: 477-485. Go to original source...
    40. Sevuktekin M., Nargelecekenler M. (2005): Zaman serisi analizi. (Time Series Analysis.) Nobel Yayin Dagitim, İzmir.
    41. Vasciaveo M. (2013): Market efficiency and price transmission: The case of Italian and US agricultural prices. [Doctoral Thesis.] Università degli Studi di Udine.
    42. Wang Y., Wu C., Yang L. (2014): Oil price shocks and agricultural commodity prices. Energy Economics, 44: 22-35. Go to original source...
    43. Yu T.E., Bessler D.A., Fuller S. (2006): Cointegration and causality analysis of world vegetable oil and crude oil prices. In: American Agricultural Economics Association Annual Meeting, Long Beach, California, July 23-26, 2006.
    44. Zhang Q., Reed M. (2008): Examining the impact of the world crude oil price on China's agricultural commodity prices: The case of corn, soybean, and pork. In: Southern Agricultural Economics Association Annual Meetings, Dallas, TX, February 2-5, 2008.
    45. Zhang Z., Lohr L., Escalante C., Wetzstein M. (2010): Food versus fuel: What do prices tell us? Energy Policy, 38: 445-451. Go to original source...
    46. Zhang C., Chen X. (2014): The impact of global oil price shocks on China's bulk commodity markets and fundamental industries. Energy Policy, 66: 32-41. Go to original source...
    47. IMF Primary Commodity Price System). Available at http://www.imf.org/external/np/res/commod/Charts.pdf

    This is an open access article distributed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International (CC BY NC 4.0), which permits non-comercial use, distribution, and reproduction in any medium, provided the original publication is properly cited. No use, distribution or reproduction is permitted which does not comply with these terms.


    Return to the content