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Impacts of the Covid-19 Pandemic on the Agricultural Prices: New Insights from CWT Granger Causality Test

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  • Remzi Gök
  • Erkan Kara

Abstract

In this paper, the impacts of the Covid-19 mortality rates on the agricultural spot prices were investigated by using both standard techniques and wavelet-based cohesion and Granger causality tests. Our dataset consisted of daily observations of the mortality rates as well as corn, oats, rapeseed, rice, soybeans, and wheat prices during the period January 22 to September 18, 2020. The findings of the paper revealed that the mortality rate was cointegrated with the prices of corn, oats, rapeseed, and soybeans. Further, the VECM results showed that the mortality rate unidirectionally Granger-caused the corn and rapeseed prices in the long-run, and the oat prices in the short- and long-run. On the other hand, the wavelet cohesion results revealed that the dynamics of the interdependence of the underlying variables were time-varying and heterogeneous over time horizons. The wavelet-based Granger-causality test, however, indicated that the mortality rates negatively caused most of the agricultural prices. These findings yield some important implications for policymakers.

Suggested Citation

  • Remzi Gök & Erkan Kara, 2020. "Impacts of the Covid-19 Pandemic on the Agricultural Prices: New Insights from CWT Granger Causality Test," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 5(SI), pages 76-96.
    • Handle: RePEc:ahs:journl:v:5:y:2020:i:si:p:76-96
    DOI: 10.30784/epfad.810558
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    More about this item

    Keywords

    Wavelets; Causality; COVID 19; Agricultural Commodity Prices; Wavelets; Causality;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • I12 - Health, Education, and Welfare - - Health - - - Health Behavior
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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