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Causality between Oil Price and South Africa's Food Price: Time Varying Approach - Relazione di causalità tra prezzo del petrolio e pr ezzo dei prodotti alimentari in Sud Africa: un approccio time varying

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This paper examines the dynamic causal relationship between global oil price and South Africa’s food price using both full sample and time varying Granger causality tests. Monthly data from 2000:1 to 2014:6 is used. Result from the linear fu ll sample Granger causality result shows no evidence of significant causality between oil price and food price. However, various stability tests show that the relevant VAR is unstable, thus invalidating conclusions from the full sample linear Granger causality tests. Based on this the c ausality analysis is performed using a time varying approach. Result from the latter shows that oil price Granger causes South Africa’s food price at different sub-periods: 2002-2003, 2006 and 2010. This challenges the assumption that the causal relationship between the two variables i s constant over time. Therefore, these results highlight the importance of using methods that acco unt for structural breaks and nonlinearities in the dynamic causal relationship between global o il price and South Africa’s food price. - Questo studio esamina la relazione causale dinamica tra il prezzo mondiale del petrolio e il prezzo dei prodotti alimentari in Sud Africa, trami te l’utilizzo dei test di causalità di Granger full sample e time varying . I dati presi in considerazione sono mensili e si riferiscono al periodo gennaio 2001-giugno 2014. Il risultato del test lin eare completo di causalità di Granger non rileva una relazione significativa di causalità tra il prezzo del petrolio e quello dei prodotti alimentari. Diversi test di stabilità mostrano che la relativa VAR è instabile, invalidando così le conclusioni del test sul campione completo lineare. Su tale base, l’analisi di causalità viene eseguita usando un approccio time varying e il risu ltato mostra che il prezzo del petrolio Granger-causa il prezzo degli alimentari durante di fferenti sub-periodi: 2002-2003, 2006 e 2010. Questa conclusione mette in dubbio l’assunto che la relazione causale tra le due variabili è costante nel tempo. Questo risultato evidenzia l’im portanza dell’utilizzo di metodologie che tengano conto di break strutturali e della nonlinea rità nello studio della relazione di causalità tra prezzo mondiale del petrolio e prezzo degli aliment ari in Sud Africa.

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  • Aye, Goodness C., 2016. "Causality between Oil Price and South Africa's Food Price: Time Varying Approach - Relazione di causalità tra prezzo del petrolio e pr ezzo dei prodotti alimentari in Sud Africa: un approccio time var," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(3), pages 193-212.
    • Handle: RePEc:ris:ecoint:0778
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    More about this item

    Keywords

    Oil Price; Food Price; Causality; Time Varying;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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