IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Agri-Commodity Price Dynamics: The Relationship Between Oil and Agricultural Market

  • Rosa, Franco
  • Vasciaveo, Michela
Registered author(s):

    The 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.

    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/126738
    Download Restriction: no

    Paper provided by International Association of Agricultural Economists in its series 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil with number 126738.

    as
    in new window

    Length:
    Date of creation: Aug 2012
    Date of revision:
    Handle: RePEc:ags:iaae12:126738
    Contact details of provider: Web page: http://www.iaae-agecon.org/
    Email:


    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

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

    When requesting a correction, please mention this item's handle: RePEc:ags:iaae12:126738. 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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.