IDEAS home Printed from https://ideas.repec.org/p/ags/nccc10/285312.html
   My bibliography  Save this paper

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

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
---><---

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.

We have no bibliographic references for this item. You can help adding them by using 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.