Agri-Commodity Price Dynamics: The Relationship Between Oil and Agricultural Market
AbstractThe aim of this paper is to analyze the interactions among the prices of some agricultural commodities in Italy and United States by using the time series analysis method. After a general overview of the world and European agri-markets, the agricultural commodity and oil prices are investigated in order to analyze the cross-market interactions and test the hypothesis that the increased volatility in agricultural prices is caused by the exogenous crude oil prices. For the analysis the data about the commodity spot price series of wheat, corn, soybeans in US and Italy and crude oil price are collected. The results suggest: i) the presence of causal nexus with an exogenous influence of the oil price on the agricultural commodities for the US markets; ii) the evidence of cointegration between US and Italian commodities supporting the unique price condition; iii) no clear evidence of causality between oil and Italian agri-commodities, suggesting that the oil volatility is transmitted directly to the US market and indirectly to the Italian one.
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Bibliographic InfoPaper provided by International Association of Agricultural Economists in its series 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil with number 126738.
Date of creation: Aug 2012
Date of revision:
time series analysis; agricultural commodity prices; volatility; causality; market integration.; Production Economics;
This paper has been announced in the following NEP Reports:
- NEP-AGR-2012-07-23 (Agricultural Economics)
- NEP-ALL-2012-07-23 (All new papers)
- NEP-CWA-2012-07-23 (Central & Western Asia)
- NEP-ENE-2012-07-23 (Energy Economics)
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