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Nonlinear Granger causality between grains and livestock

Author

Listed:
  • Piotr FISZEDER

    (Department of Econometrics and Statistics, Faculty of Economic Sciences and Management, Nicolaus Copernicus University in Torun, Torun, Poland)

  • Witold ORZESZKO

    (Department of Applied Informatics and Mathematics in Economics, Faculty of Economic Sciences and Management, Nicolaus Copernicus University in Torun, Torun, Poland)

Abstract

Linear and nonlinear Granger causality between three grains: corn, soybean, wheat and two livestock commodities: live cattle and lean hogs, was verified. Weak evidence of linear causal relationships was found, supporting the results published in other studies. However, strong nonlinear causal relationships between grain and livestock returns were found, which had not yet been documented in the literature on this subject. The revealed relationships have different patterns and features, and in some cases, they arise from second moment dependencies, but nonlinearities of a different type were also found. Most of the discovered nonlinear relationships are bidirectional.

Suggested Citation

  • Piotr FISZEDER & Witold ORZESZKO, 2018. "Nonlinear Granger causality between grains and livestock," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 64(7), pages 328-336.
    • Handle: RePEc:caa:jnlage:v:64:y:2018:i:7:id:376-2016-agricecon
    DOI: 10.17221/376/2016-AGRICECON
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    References listed on IDEAS

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