IDEAS home Printed from https://ideas.repec.org/p/ags/nccc10/285312.html

How Strong are the Linkages among Agricultural, Oil, and Exchange Rate Markets?

Author

Listed:
  • Frank, Julieta
  • Garcia, Philip

Abstract

Highly fluctuating agricultural prices have rekindled questions regarding the influence of volatile oil and exchange rates markets on dynamic behavior. Using weekly cash data from 1998 to 2009 and VAR and VECM procedures, we estimate the linkages among several agricultural grain and livestock commodities, oil, and exchange rates. We identify a structural break in mid 2006, and perform the analysis for each period. In the first period, agricultural commodity prices are most influenced by idiosyncratic factors as reflected in own lagged prices, and exchange rates and crude oil have limited effect on agricultural markets. In the second period the effect of own lags in the agricultural markets are smaller and the effect of the exchange rate and crude oil are more pronounced, especially in the corn market. In recent years, agricultural commodity markets appear more dependent on exchange rates and to a lesser extent on oil prices.

Suggested Citation

  • Frank, Julieta & Garcia, Philip, 2010. "How Strong are the Linkages among Agricultural, Oil, and Exchange Rate Markets?," 2010 Conference, April 19-20, 2010, St. Louis, Missouri 285312, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:nccc10:285312
    DOI: 10.22004/ag.econ.285312
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/285312/files/confp17-10.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.285312?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. 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(2), pages 501-510, August.
    2. Yeboah, Osei & Shaik, Saleem & Allen, Albert, 2009. "Exchange Rates Impacts on Agricultural Inputs Prices using VAR," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 41(2), pages 511-520, August.
    3. Yu-Chin Chen & Kenneth S. Rogoff & Barbara Rossi, 2010. "Can Exchange Rates Forecast Commodity Prices?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 125(3), pages 1145-1194.
    4. 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, March.
    5. Bradshaw, Girard W. & Orden, David, 1990. "Granger Causality From The Exchange Rate To Agricultural Prices And Export Sales," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 15(01), pages 1-11, July.
    6. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    7. J. Frank & P. Garcia, 2009. "Time-varying risk premium: further evidence in agricultural futures markets," Applied Economics, Taylor & Francis Journals, vol. 41(6), pages 715-725.
    8. Bessler, David A & Babula, Ronald A, 1987. "Forecasting Wheat Exports: Do Exchange Rates Matter?," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(3), pages 397-406, July.
    9. G. Edward Schuh, 1974. "The Exchange Rate and U. S. Agriculture," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 56(1), pages 1-13.
    10. William G. Tomek, 1997. "Commodity Futures Prices as Forecasts," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 19(1), pages 23-44.
    11. Park, Hwanil & Fortenbery, T. Randall, 2007. "The Effect of Ethanol Production on the U.S. National Corn Price," 2007 Conference, April 16-17, 2007, Chicago, Illinois 37565, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Liu, Donald J. & Chung, Pin J. & Meyers, William H., 1993. "The Impact Of Domestic And Foreign Macroeconomic Variables On U.S. Meat Exports," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 22(2), pages 1-12, October.
    2. Araji, A. A. & White, F. C., 1993. "The Impact Of Agricultural Research On Exports," AE Miscellaneous Working Papers 305176, University of Idaho, Department of Agricultural Economics and Rural Sociology.
    3. Guellil, Mohammed Seghir & Benbouziane, Mohamed, 2018. "Volatility Linkages between Agricultural Commodity Prices, Oil Prices and Real USD Exchange Rate || Vínculos de volatilidad entre precios de productos agrícolas, precios del petróleo y tipo de cambio del dólar estadounidense," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 26(1), pages 71-83, Diciembre.
    4. Mallory, Mindy L. & Irwin, Scott H. & Hayes, Dermot J., 2012. "How market efficiency and the theory of storage link corn and ethanol markets," Energy Economics, Elsevier, vol. 34(6), pages 2157-2166.
    5. Mallory, Mindy L. & Irwin, Scott H. & Hayes, Dermot J., 2012. "How Market Efficiency and the Theory of Storage Link Corn and Ethanol Markets Energy Economics," ISU General Staff Papers 201211010700001537, Iowa State University, Department of Economics.
    6. Ciżkowicz Piotr & Janecki Jaroslaw & Olipra Jakub & Wojciechowski Wiktor, 2025. "Local agricultural markets and external shocks – the case of Poland," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 61(1), pages 3-16.
    7. Jungho Baek & Won W. Koo, 2008. "Identifying Macroeconomic Linkages to U.S. Agricultural Trade Balance," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 56(1), pages 63-77, March.
    8. Burak Mat & Mehmet Saltuk Arikan & Mustafa Bahadir Çevrimli & Ahmet Cumhur Akin & Mustafa Agah Tekindal, 2020. "Causality Analysis of the Factors Affecting the Consumer Price of Veal: The Case of Turkey," Sustainability, MDPI, vol. 12(15), pages 1-11, August.
    9. Adämmer, Philipp & Bohl, Martin T., 2015. "Speculative bubbles in agricultural prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 67-76.
    10. Araji, A. A. & White, F. C., 1993. "The Impact Of Agricultural Research On Exports," A.E. Research Series 305099, University of Idaho, Department of Agricultural Economics and Rural Sociology.
    11. Goodwin, Barry K., 1992. "Forecasting Cattle Prices in the Presence of Structural Change," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 24(2), pages 11-22, December.
    12. Shernaz Bodhanwala & Harsh Purohit & Nidhi Choudhary, 2020. "The Causal Dynamics in Indian Agriculture Commodity Prices and Macro-Economic Variables in the Presence of a Structural Break," Global Business Review, International Management Institute, vol. 21(1), pages 241-261, February.
    13. Baek, Jungho & Koo, Won W. & Mulik, Kranti, 2009. "Exchange Rate Dynamics and the Bilateral Trade Balance: The Case of U.S. Agriculture," Agricultural and Resource Economics Review, Cambridge University Press, vol. 38(2), pages 213-228, October.
    14. Tegene, Abebayehu, 1990. "The Impact of Macrovariables on the Farm Sector: Some Further Evidence," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 22(1), pages 77-86, July.
    15. Yang, Cai & Niu, Zibo & Gao, Wang, 2022. "The time-varying effects of trade policy uncertainty and geopolitical risks shocks on the commodity market prices: Evidence from the TVP-VAR-SV approach," Resources Policy, Elsevier, vol. 76(C).
    16. Tule, Moses K. & Salisu, Afees A. & Chiemeke, Charles C., 2019. "Can agricultural commodity prices predict Nigeria's inflation?," Journal of Commodity Markets, Elsevier, vol. 16(C).
    17. Kieran Burgess & Nicholas Rohde, 2013. "Can Exchange Rates Forecast Commodity Prices? Recent Evidence using Australian Data," Economics Bulletin, AccessEcon, vol. 33(1), pages 511-518.
    18. Hu, Zhepeng & Yan, Lei & Yuan, Jinghong & Etienne, Xiaoli, 2023. "Deconstructing Fertilizer Price Spikes: Evidence from Chinese Urea Fertilizer Market," 2023 Conference, April 24-25, 2023, St. Louis, Missouri 379028, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    19. Iwaisako, Tokuo & Nakata, Hayato, 2017. "Impact of exchange rate shocks on Japanese exports: Quantitative assessment using a structural VAR model," Journal of the Japanese and International Economies, Elsevier, vol. 46(C), pages 1-16.
    20. Musunuru, Naveen Musunuru, . "Causal Relationships Between Grain, Meat Prices And Exchange Rates," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 5(4).

    More about this item

    Keywords

    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:nccc10:285312. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: http://www.farmdoc.illinois.edu/nccc134/ .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.