Volatility linkages between agricultural commodity prices, oil prices and real USD exchange rate : the case of Colombia
Mohammed Seghir Guellil, Mostéfa Belmokaddem, Mohamed Benbouziane
This study examines the dynamic nexus betwixt oil prices, twenty-two world agricultural commodity prices and given the evolution of the relative strength of the US dollar in a panel setting. We use panel cointegration and Panel Granger causality methods for a panel of twenty-two agricultural products based on annual observations ranging from 1980 to 2015. The empirical results provide a strong evidence of long-term relationship between Agricultural Commodity Prices, Oil Prices and Real USD Exchange Rate. Contrary to the findings of many studies in the literature that report neutrality of agricultural prices to oil price changes, we find strong support of bi-directional causal linkages among Agricultural Commodity Prices, Oil Prices and Real USD Exchange Rate. The long-run causality analysis thereby implies that the oil prices and the dollar have a predictive power to forecast the agricultural prices, which could be a good tool to prioritize the allocation of resources across industries to ensure agricultural scenario in general and economic outcomes.
Alternative title: | Vínculos de volatilidad entre precios de productos agrícolas, precios del petróleo y tipo de cambio del dólar estadounidense |
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Year of publication: |
2018
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Authors: | Guellil, Mohammed Seghir ; Belmokaddem, Mostéfa ; Benbouziane, Mohamed |
Published in: |
Revista de métodos cuantitativos para la economía y la empresa. - Sevilla : [Verlag nicht ermittelbar], ISSN 1886-516X, ZDB-ID 2584041-1. - Vol. 26.2018, p. 71-83
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Subject: | Oil prices | exchange rates | agricultural commodity prices | panel cointegration | Ölpreis | Oil price | Wechselkurs | Exchange rate | Volatilität | Volatility | Kointegration | Cointegration | Agrarpreis | Agricultural price | Kolumbien | Colombia | Kaufkraftparität | Purchasing power parity |
Saved in:
freely available
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Zusammenfassung in spanischer Sprache |
Other identifiers: | hdl:10419/286139 [Handle] |
Classification: | B22 - Macroeconomics ; C33 - Models with Panel Data ; C51 - Model Construction and Estimation ; F31 - Foreign Exchange ; N50 - Agriculture, Natural Resources, Environment, and Extractive Industries. General, International, or Comparative ; q02 ; Q11 - Aggregate Supply and Demand Analysis; Prices ; Q41 - Demand and Supply |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012023904