World oil prices and agricultural commodity prices: Evidence from an emerging market
Oil prices are thought to have direct effect on agricultural prices followed by an indirect effect through the exchange rate. This paper examines the short- and long-run interdependence between world oil prices, lira-dollar exchange rate, and individual agricultural commodity prices (wheat, maize, cotton, soybeans, and sunflower) in Turkey. To this end, the Toda-Yamamoto causality approach and generalized impulse-response analysis for identification of the long- and short-run interrelationships are applied to the monthly data spanning from January 1994 to March 2010. The impulse-response analysis suggests the Turkish agricultural prices do not significantly react to oil price and exchange rate shocks in the short-run. The long-run causality analysis reveals that the changes in oil prices and appreciation/depreciation of the Turkish lira are not transmitted to agricultural commodity prices in Turkey. Hence, our results support neutrality of agricultural commodity markets in Turkey to both direct and indirect effects of oil price changes.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
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.:
- Alex F. McCalla, 2009. "World Food Prices: Causes and Consequences," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 57(1), pages 23-34, 03.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990.
"Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?,"
8905, Michigan State - Econometrics and Economic Theory.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Abbott, Philip C. & Hurt, Christopher & Tyner, Wallace E., 2008. "What's Driving Food Prices?," Issue Reports 37951, Farm Foundation.
- Shawkat Hammoudeh & Ramazan Sari & Bradley T. Ewing, 2009. "Relationships Among Strategic Commodities And With Financial Variables: A New Look," Contemporary Economic Policy, Western Economic Association International, vol. 27(2), pages 251-264, 04.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996.
"Efficient Tests for an Autoregressive Unit Root,"
Econometric Society, vol. 64(4), pages 813-36, July.
- Tom Doan, . "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
- Tom Doan, . "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components RTS00077, Boston College Department of Economics.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
- Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
- Mutuc, Maria & Pan, Suwen & Hudson, Darren, 2011.
"Response of Cotton to Oil Price Shocks,"
Agricultural Economics Review,
Greek Association of Agricultural Economists, vol. 12(2), June.
- Mutuc, Maria Erlinda M. & Pan, Suwen & Hudson, Darren, 2010. "Response of Cotton to Oil Price Shocks," Conference Papers 96675, Texas Tech University, Department of Agricultural and Applied Economics.
- Mutuc, Maria Erlinda M. & Pan, Suwen & Hudson, Darren, 2010. "Response of Cotton to Oil Price Shocks," 2010 Annual Meeting, February 6-9, 2010, Orlando, Florida 56425, Southern Agricultural Economics Association.
- Kwon, Dae-Heum & Koo, Won W., 2009. "Price Transmission Channels of Energy and Exchange Rate on Food Sector: A Disaggregated Approach based on Stage of Process," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49334, Agricultural and Applied Economics Association.
- Zapata, Hector O & Rambaldi, Alicia N, 1997.
"Monte Carlo Evidence on Cointegration and Causation,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 59(2), pages 285-98, May.
- Zapata, Hector O. & Rambaldi, Alicia N., 1996. "Monte Carlo Evidence On Cointegration And Causation," Staff Papers 31690, Louisiana State University, Department of Agricultural Economics and Agribusiness.
- Hanson, Kenneth & Robinson, Sherman & Schluter, Gerald E., 1993. "Sectoral Effects Of A World Oil Price Shock: Economywide Linkages To The Agricultural Sector," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 18(01), July.
- Yu, Tun-Hsiang (Edward) & Bessler, David A. & Fuller, Stephen W., 2006. "Cointegration and Causality Analysis of World Vegetable Oil and Crude Oil Prices," 2006 Annual meeting, July 23-26, Long Beach, CA 21439, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Jungho Baek & Won W. Koo, 2010.
"Analyzing Factors Affecting U.S. Food Price Inflation,"
Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie,
Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 58(3), pages 303-320, 09.
- Baek, Jungho & Koo, Won W., 2009. "Analyzing Factors Affecting U.S. Food Price Inflation," Agribusiness & Applied Economics Report 54248, North Dakota State University, Department of Agribusiness and Applied Economics.
- Abbott, Philip C. & Hurt, Christopher & Tyner, Wallace E., 2009. "What's Driving Food Prices? March 2009 Update," Issue Reports 48495, Farm Foundation.
- Campiche, Jody L. & Bryant, Henry L. & Richardson, James W. & Outlaw, Joe L., 2007. "Examining the Evolving Correspondence Between Petroleum Prices and Agricultural Commodity Prices," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 9881, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Harri, Ardian & Nalley, Lawton Lanier & Hudson, Darren, 2009.
"The Relationship between Oil, Exchange Rates, and Commodity Prices,"
Journal of Agricultural and Applied Economics,
Southern Agricultural Economics Association, vol. 41(02), August.
- Harri, Ardian & Nalley, Lanier & Hudson, Darren, 2009. "The Relationship between Oil, Exchange Rates, and Commodity Prices," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 41(02), pages 501-510, August.
- Severin Borenstein & A. Colin Cameron, 1992.
"Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes?,"
NBER Working Papers
4138, National Bureau of Economic Research, Inc.
- Severin Borenstein & A. Colin Cameron & Richard Gilbert, 1997. "Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes?," The Quarterly Journal of Economics, Oxford University Press, vol. 112(1), pages 305-339.
- Piesse, Jenifer & Thirtle, Colin, 2009. "Three bubbles and a panic: An explanatory review of recent food commodity price events," Food Policy, Elsevier, vol. 34(2), pages 119-129, April.
- Cashin, Paul & McDermott, C. John & Scott, Alasdair, 2002.
"Booms and slumps in world commodity prices,"
Journal of Development Economics,
Elsevier, vol. 69(1), pages 277-296, October.
- C. John McDermott & Paul Cashin & Alasdair Scott, 1999. "Booms and Slumps in World Commodity Prices," IMF Working Papers 99/155, International Monetary Fund.
- Paul Cashin & C John McDermott & Alasdair Scott, 1999. "Booms and slumps in world commodity prices," Reserve Bank of New Zealand Discussion Paper Series G99/8, Reserve Bank of New Zealand.
- Zhang, Qiang & Reed, Michael R., 2008. "Examining the Impact of the World Crude Oil Price on China's Agricultural Commodity Prices: The Case of Corn, Soybean, and Pork," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6797, Southern Agricultural Economics Association.
- Zhang, Zibin & Lohr, Luanne & Escalante, Cesar & Wetzstein, Michael, 2010. "Food versus fuel: What do prices tell us?," Energy Policy, Elsevier, vol. 38(1), pages 445-451, January.
- Bradley Ewing & Cynthia Lay Harter, 2000. "Co-movements of Alaska North Slope and UK Brent crude oil prices," Applied Economics Letters, Taylor & Francis Journals, vol. 7(8), pages 553-558.
- Chenery, Hollis B, 1975. "The Structuralist Approach to Development Policy," American Economic Review, American Economic Association, vol. 65(2), pages 310-16, May.
- Mark W. Rosegrant & Tingju Zhu & Siwa Msangi & Timothy Sulser, 2008. "Global Scenarios for Biofuels: Impacts and Implications ," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 30(3), pages 495-505.
- Soytas, Ugur & Sari, Ramazan & Hammoudeh, Shawkat & Hacihasanoglu, Erk, 2009. "World oil prices, precious metal prices and macroeconomy in Turkey," Energy Policy, Elsevier, vol. 37(12), pages 5557-5566, December.
- Gohin, A. & Chantret, F., 2010. "The long-run impact of energy prices on world agricultural markets: The role of macro-economic linkages," Energy Policy, Elsevier, vol. 38(1), pages 333-339, January.
- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998.
"Generalized impulse response analysis in linear multivariate models,"
Elsevier, vol. 58(1), pages 17-29, January.
- Pesaran, M. H. & Shin, Y., 1997. "Generalised Impulse Response Analysis in Linear Multivariate Models," Cambridge Working Papers in Economics 9710, Faculty of Economics, University of Cambridge.
- Serena Ng & Pierre Perron, 2001.
"LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Econometric Society, vol. 69(6), pages 1519-1554, November.
- Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
- Baffes, John, 2007.
"Oil spills on other commodities,"
Policy Research Working Paper Series
4333, The World Bank.
- Christopher L. Gilbert, 2010. "How to Understand High Food Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 61(2), pages 398-425.
- Sari, Ramazan & Hammoudeh, Shawkat & Soytas, Ugur, 2010. "Dynamics of oil price, precious metal prices, and exchange rate," Energy Economics, Elsevier, vol. 32(2), pages 351-362, March.
- Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
When requesting a correction, please mention this item's handle: RePEc:eee:eneeco:v:33:y:2011:i:3:p:488-496. 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: (Shamier, Wendy)
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.