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Oil and Food Prices Co-integration Nexus for Indonesia: A Non-linear Autoregressive Distributed Lag Analysis

Author

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  • Rizgar Abdlkarim Abdlaziz

    (Darbandixan Technical Institute, Sulaimani Polytechnic University, Iraq, Faculty of Economics and Management, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia)

  • Khalid Abdul Rahim

    (Faculty of Economics and Management, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia)

  • Peter Adamu

    (Faculty of Economics and Management, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia, Department of Economics, Kaduna State University, Kaduna, Nigeria)

Abstract

This paper examines the relationship between the prices of oil and food price for Indonesia using non-linear autoregressive distributed lag (NARDL) method. The bound test for co-integration for the NARDL model shows the evidence of co-integration between food price, growth rate of gross domestic product and oil price. The estimated NARDL for the oil price in domestic currency provides strong evidence of long- and short-run co-integration between food and oil price when the latter increases while the relations for oil price reduction is not present and insignificant. The estimators of positive change in oil price model measured in US Dollar are significant in our study.

Suggested Citation

  • Rizgar Abdlkarim Abdlaziz & Khalid Abdul Rahim & Peter Adamu, 2016. "Oil and Food Prices Co-integration Nexus for Indonesia: A Non-linear Autoregressive Distributed Lag Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 6(1), pages 82-87.
    • Handle: RePEc:eco:journ2:2016-01-12
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    References listed on IDEAS

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    More about this item

    Keywords

    Oil Price; Food Price; Non-linear Autoregressive Distributed Lag; Indonesia;
    All these keywords.

    JEL classification:

    • B4 - Schools of Economic Thought and Methodology - - Economic Methodology
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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