Advanced Search
MyIDEAS: Login to save this paper or follow this series

The Impact Of Petroleum Prices On Vegetable Oils Prices: Evidence From Cointegration Tests

Contents:

Author Info

  • Awad Abdel Hameed, Amna
  • Mohamed Arshad, Fatimah
Registered author(s):

    Abstract

    This paper investigate the long-term relationship between the petroleum and vegetable oils prices represented by palm, soybean, sunflower and rapeseed oils prices. To that end, the bivariate cointegration approach using Engle-Granger two-stage estimation procedure is applied. The study utilises monthly data over the period of January 1983 through March 2008. The results provide a strong evidence of long-run equilibrium relation between the two products prices. The estimates of the error correction models reveal a unidirectional long-run causality flowing from petroleum to each of the vegetable oils prices under study.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://purl.umn.edu/46251
    Download Restriction: no

    Bibliographic Info

    Paper provided by Agecon Search in its series Miscellaneous Papers with number 46251.

    as in new window
    Length:
    Date of creation: 15 Dec 2008
    Date of revision:
    Handle: RePEc:ags:miscpa:46251

    Contact details of provider:
    Web page: http://ageconsearch.umn.edu/

    Related research

    Keywords: Vegetable oils prices; petroleum prices; cointegration; causality tests; Agribusiness; Demand and Price Analysis; Marketing; Q11 Agricultural Prices;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
    2. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    3. Geweke, John & Meese, Richard & Dent, Warren, 1983. "Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence," Journal of Econometrics, Elsevier, vol. 21(2), pages 161-194, February.
    4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    5. Hakkio, Craig S. & Rush, Mark, 1991. "Cointegration: how short is the long run?," Journal of International Money and Finance, Elsevier, vol. 10(4), pages 571-581, December.
    6. Guilkey, David K & Salemi, Michael K, 1982. "Small Sample Properties of Three Tests for Granger-Causal Ordering in a Bivariate Stochastic System," The Review of Economics and Statistics, MIT Press, vol. 64(4), pages 668-80, November.
    7. In, Francis & Inder, Brett, 1997. "Longā€run Relationships Between World Vegetable Oil Prices," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 41(4), December.
    8. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    9. Theodosios B. Palaskas, 1995. "Statistical Analysis Of Price Transmission In The European Union," Journal of Agricultural Economics, Wiley Blackwell, vol. 46(1), pages 61-69.
    10. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
    11. Christopher B. Barrett & Jau Rong Li, 2002. "Distinguishing between Equilibrium and Integration in Spatial Price Analysis," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 84(2), pages 292-307.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Pavel Ciaian & d'Artis Kancs, 2009. "Interdependencies in the Energy-Bioenergy-Food Price Systems: A Cointegration Analysis," EERI Research Paper Series EERI_RP_2009_06, Economics and Econometrics Research Institute (EERI), Brussels.
    2. Esmaeili, Abdoulkarim & Shokoohi, Zainab, 2011. "Assessing the effect of oil price on world food prices: Application of principal component analysis," Energy Policy, Elsevier, vol. 39(2), pages 1022-1025, February.
    3. Nazlioglu, Saban, 2011. "World oil and agricultural commodity prices: Evidence from nonlinear causality," Energy Policy, Elsevier, vol. 39(5), pages 2935-2943, May.
    4. Pavel Ciaian & d'Artis Kancs, 2011. "Food, Energy and Environment : is Bioenergy the missing link?," LICOS Discussion Papers 29211, LICOS - Centre for Institutions and Economic Performance, KU Leuven.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ags:miscpa:46251. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.