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The Causal Relationship between Crude Oil Price, Exchange Rate and Rice Price

Author

Listed:
  • Pasrun Adam

    (Department of Mathematics, Universitas Halu Oleo, Kendari 93232, Indonesia)

  • Rosnawintang Rosnawintang

    (Department of Economics, Universitas Halu Oleo, Kendari 93232, Indonesia)

  • La Ode Saidi

    (Department of Mathematics, Universitas Halu Oleo, Kendari 93232, Indonesia,)

  • La Tondi

    (Department of Economics, Universitas Halu Oleo, Kendari 93232, Indonesia,)

  • La Ode Arsad Sani

    (Department of Animal Science, Universitas Halu Oleo, Kendari 93232, Indonesia)

Abstract

This study aims to examine the causal relationship between crude oil price, IDR/EUR exchange rate, and rice price by using monthly data from January 2000 to September 2017. The result of data analysis using VAR model shows that there is no long-term relationship between crude oil price, IDR/EUR exchange rate, and the price of rice. The relationhip that happens is only in short-term one. Granger causality test result shows that the direction of relationship is from crude oil price and IDR/EUR exchange rate to rice price. The relationship between crude oil price and rice price is positive, while the relationship between IDR/EUR exchange rate and rice price is positive before the third month. However, this relationship turns into negative after the third month.

Suggested Citation

  • Pasrun Adam & Rosnawintang Rosnawintang & La Ode Saidi & La Tondi & La Ode Arsad Sani, 2018. "The Causal Relationship between Crude Oil Price, Exchange Rate and Rice Price," International Journal of Energy Economics and Policy, Econjournals, vol. 8(1), pages 90-94.
    • Handle: RePEc:eco:journ2:2018-01-11
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    References listed on IDEAS

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    Cited by:

    1. Tan Ngoc Vu & Duc Hong Vo & Chi Minh Ho & Loan Thi-Hong Van, 2019. "Modeling the Impact of Agricultural Shocks on Oil Price in the US: A New Approach," JRFM, MDPI, vol. 12(3), pages 1-27, September.
    2. Jihoon Lee & Hong Chong Cho, 2021. "Impact of Structural Oil Price Shock Factors on the Gasoline Market and Macroeconomy in South Korea," Sustainability, MDPI, vol. 13(4), pages 1-23, February.
    3. Witold Orzeszko, 2021. "Nonlinear Causality between Crude Oil Prices and Exchange Rates: Evidence and Forecasting," Energies, MDPI, vol. 14(19), pages 1-16, September.
    4. Lee, Kam Weng & Masih, Mansur, 2018. "Investigating the causal relationship between exchange rate variability and palm oil export: evidence from Malaysia based on ARDL and nonlinear ARDL approaches," MPRA Paper 91801, University Library of Munich, Germany.
    5. Miroslava Ivanova & Lilko Dospatliev, 2023. "Effects of Diesel Price on Changes in Agricultural Commodity Prices in Bulgaria," Mathematics, MDPI, vol. 11(3), pages 1-22, January.
    6. Tan Ngoc Vu & Chi Minh Ho & Thang Cong Nguyen & Duc Hong Vo, 2020. "The Determinants of Risk Transmission between Oil and Agricultural Prices: An IPVAR Approach," Agriculture, MDPI, vol. 10(4), pages 1-14, April.
    7. Monika Roman & Aleksandra Górecka & Joanna Domagała, 2020. "The Linkages between Crude Oil and Food Prices," Energies, MDPI, vol. 13(24), pages 1-18, December.
    8. Saleh Mothana Obadi & Matej Korecek, 2018. "The Crude Oil Price and Speculations: Investigation Using Granger Causality Test," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 275-282.
    9. K. Abhaya Kumar & Prakash Pinto & Iqbal Thonse Hawaldar & Saheem Shaikh & Shravan Bhagav & B. Padmanabha, 2022. "Investigating the Nexus between Crude Oil Price and Stock Prices of Oil Exploration Companies," International Journal of Energy Economics and Policy, Econjournals, vol. 12(4), pages 40-47, July.
    10. La Ode Saidi & Hasan Aedy & Fajar Saranani & Rosnawintang Rosnawintang & Pasrun Adam & La Ode Arsad Sani, 2020. "Crude Oil Price and Exchange Rate: An Analysis of the Asymmetric Effect and Volatility Using the Non Linear Autoregressive Distributed Lag and General Autoregressive Conditional Heterochedasticity in ," International Journal of Energy Economics and Policy, Econjournals, vol. 10(1), pages 104-108.
    11. Saeed Solaymani, 2022. "Global Energy Price Volatility and Agricultural Commodity Prices in Malaysia," Biophysical Economics and Resource Quality, Springer, vol. 7(4), pages 1-21, December.
    12. Duc Hong Vo & Tan Ngoc Vu & Anh The Vo & Michael McAleer, 2019. "Modeling the Relationship between Crude Oil and Agricultural Commodity Prices," Energies, MDPI, vol. 12(7), pages 1-41, April.
    13. Manat Rahim & Pasrun Adam & La Ode Suriadi & Zainuddin Saenong & Ery Atmodjo & Wali Aya Rumbia & Irma P. Tamburaka, 2018. "Causal Relationship between Electric Consumption and Economic Growth in South East Sulawesi," International Journal of Energy Economics and Policy, Econjournals, vol. 8(6), pages 29-34.
    14. Hillary C. Ezeaku & Simplice A. Asongu & Joseph Nnanna, 2020. "Volatility of International Commodity Prices in Times of Covid-19: Effects of Oil Supply and Global Demand Shocks," Working Papers 20/101, European Xtramile Centre of African Studies (EXCAS).
    15. Abd Azis Muthalib & Pasrun Adam & Rostin Rostin & Zainuddin Saenong & La Ode Suriadi, 2018. "The Influence of Fuel Prices and Unemployment Rate towards the Poverty Level in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 37-42.
    16. Shokoohi, Zeinab & Saghaian, Sayed, 2022. "Nexus of energy and food nutrition prices in oil importing and exporting countries: A panel VAR model," Energy, Elsevier, vol. 255(C).

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    More about this item

    Keywords

    Crude Oil Price; Exchange Rate; Rice Price; Vector Autoregressive Model;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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