scholarly journals A cointegration analysis of crude palm oil price in Thailand

2018 ◽  
Vol 52 ◽  
pp. 00035
Author(s):  
Patchaya Songsiengchai ◽  
Shaufique F. Sidique ◽  
Marcel Djama ◽  
W.N.W. Azman-Saini
Keyword(s):  
Soybean Oil ◽  
Crude Oil ◽  
Error Correction ◽  
Palm Oil ◽  
Commodity Prices ◽  
Cointegration Analysis ◽  
Oil Price ◽  
Crude Palm Oil ◽  
Long Run ◽  
The World

Reliazing the pass-through effects of global commodity prices on domestic prices, this study develops a vector error correction model (VECM) to test for the determinants and direction of causality between global prices and crude palm oil (CPO) price in Thailand. Malaysian crude palm oil, world soybean oil and world crude oil prices were investigated as factors affecting the Thai CPO price. Using the Johansen cointegration test, the result unveils a presence of long-run relationship among the determinants. This long-run relationship, proposes that CPO price flows in Thailand are positively influenced by the Malaysian CPO price and the error correction term suggests that approximately 35 percent of total disequilibrium in Thai CPO price was corrected in the following month. Moreover, the findings show Granger causality from each of the Malaysian CPO price and the world soybean oil price for the Thai CPO price. Information flow regarding the price movements of the Malaysian CPO and soybean oil affect the Thai CPO price and vice-versa. Whereas, the evidence for a causal relationship that runs from the world crude oil price to the Thai CPO price is found, but not in reverse.

scholarly journals PENURUNAN PAJAK EKSPOR DAN DAMPAKNYA TERHADAP EKSPOR MINYAK KELAPA SAWIT INDONESIA KE CINA (PENDEKATAN ERROR CORRECTION MODEL)

2018 ◽  
Vol 1 (3) ◽  
pp. 47-72
Author(s):  
Ernawati Munadi
Keyword(s):  
Error Correction ◽  
Palm Oil ◽  
Developing Economies ◽  
Error Correction Model ◽  
Oil Price ◽  
Export Demand ◽  
Correction Model ◽  
Export Duty ◽  
Long Run ◽  
The World

The palm oil Industry is an important sector in the Indonesian economiy as it is one of the country’s major export earners as well as food source for her population.Indonesia is the world second largest producer of palm oil after Malaysia, accounting for about 34% OF The  world production in the year 2006. Indonesia  is also the largest consumer of palm oil in the developing economies, in 2006. Indonesia consumed a total of 5.5 mn tonnes of palm oil. Of this amount 76.75% is comprised of  frying oil. About 55% of the production is exported in the form of crude palm oil mainly to Asian countries primarily to India and China and  Eruropean countries. Debate on Indonesia’s palm oil policy was stimulated by the sharp increase in cooking oil prices in 1994-1995 which resulted in the introduction of export tax rate on palm oil in order to maintain a certain level of domestic consumption.Using annual data for the period 1969-2006, an econometric  approach  mainly the error correction model. Was employed  in this study This paper examines the impacts of reduction in export duty onthe import demand of Indonesian palm oil to China. The findings indicate  that the  quantity of palm oil exported to China is significantly influenced by changes in the soybean oil price, world palm oil price, Industrial Production Index (IPI) exchange rate  and lagged of export demand of Indonesian palm oil to China by one year with the elasticity of 1,49, 1.47,0.24, 0.59, and 0.79, respectively. The coefficients for long run variables presented by the ECM are jointly not equal to zero.This result suggests that as a group, the long run variable (ECM) have influenced the changes in the export demand to China which is indicated by the significance of the coefficient. The simulation results suggest that the direct impact of reduction of export duty would increase the quantity exported to China. The Indonesia export to China from 95.36 thousand tones to 118,23 thousand tones.

scholarly journals Price Integration Analysis of Crude Oil and Vegetable Oils

HABITAT ◽  
2021 ◽  
Vol 32 (2) ◽  
pp. 82-92
Author(s):  
Resti Destiarni ◽  
Ahmad Jamil
Keyword(s):  
Time Series ◽  
Crude Oil ◽  
Vegetable Oil ◽  
Vegetable Oils ◽  
Palm Oil ◽  
Oil Prices ◽  
Oil Price ◽  
Cointegration Test ◽  
Price Data ◽  
Long Run

The importance of palm oil as Indonesia's main export commodity from the non-oil and gas sector makes a study about the price integration of crude oil and vegetable oils is conducted. The time-series data is used are monthly data from 2002:2 to 2019:4. Using the Vector Correction Model (VECM), this study aimed to analyze the price integration among Log of Crude Oil Price (LCOP), Palm Oil Price (LPOP), Soybean Oil Price (LSOP), Sun Flower Oil Price (LSFOP) and Rapeseed Oil Price (LROP). Augmented-Dickey Fuller (ADF) stationary test results show that the time series for those data are stationary at first difference. Using the Pearson Correlation test among price data indicates that there is a high positive correlation among those price data. It reveals a high degree of short-run integration among oil price data. Based on the Johansen cointegration test, the result reveals the presence of long-run relationships among determinants. Knowing presence of cointegration among the data, a bivariate cointegration test was conducted in this study. The test showed that LCOP did not have long-run relationship with vegetable oil prices. The Engel Granger Causality test revealed that generally, LPOP have influence on the movement both LCOP and other vegetable oil prices.

scholarly journals Price Adjustment of Oil Palm and Palm Oil in Thailand to the World Price of the Palm Oil Market

2020 ◽  
Vol 10 (2) ◽  
pp. 690-697
Author(s):  
Sriwena Saleerut ◽  
Chalermpon Jatuporn ◽  
Vasu Suvanvihok ◽  
Apinya Wanaset
Keyword(s):  
Palm Oil ◽  
Oil Palm ◽  
Wholesale Price ◽  
World Market ◽  
Oil Price ◽  
Long Run ◽  
The World ◽  
Stationary Test ◽  
Short Run ◽  
Retail Prices

The objectives of this study are to analyze: (1) the effects from the change of palm oil price in the world market to the prices of oil palm and palm oil in Thailand, and (2) the adjustment of oil palm and palm oil prices in Thailand to the change of the price of palm oil in the world market using monthly time series from January 2008 to September 2019. The statistics consist of the stationary test using the ADF unit root, the long-run equilibrium test using the cointegration, and the short-run adjustment to the equilibrium using the error correction model, respectively. The empirical findings show that farm-gate price is the most affected by the change of palm oil price in the world market, followed by wholesale, export, and retail prices, respectively. In line with the adjustment of the prices of oil palm and palm oil in Thailand to the change in the world palm oil price, it is found that farm-gate price has adjusted in the short-term to return the equilibrium with the highest speed at 27.883%, followed by wholesale price 22.710%, exporting price 18.792%, and retail price 15.658%, respectively.

scholarly journals The Impact of Palm Oil Price on the Malaysian Stock Market Performance

2014 ◽  
Vol 6 (1) ◽  
pp. 1-9 ◽  
Author(s):  
Sabariah Nordin ◽  
Rusmawati Ismail .
Keyword(s):  
Stock Market ◽  
Palm Oil ◽  
Commodity Prices ◽  
Oil Price ◽  
Stock Market Index ◽  
Market Index ◽  
Long Run ◽  
Stock Market Performance ◽  
Short Run ◽  
The Impact

The performance of a stock market has always become the center of attention for market analysts and investors. Due to its significant role in the economy of a country, the performance of the stock market is always associated with the economic condition of a country. Because of that, this study intends to examine the impact of commodity prices in influencing the behavior of the stock market index specifically by focusing on the palm oil prices. Since Malaysia is one of the major producers of palm oil, the behavior of the palm oil price is expected to have an influence on the Malaysian stock market index. In pursuing the objective, we have adopted the bounds test approach to analyze the existence of cointegration relationship among the underlying variables of the Malaysian stock market index, interest rate, exchange rate and the price of palm oil. Using monthly data for the period of 1997M12 to 2012M9, results of an ARDL test indicates that all the variables employed are significant in influencing the Malaysian stock market index in the long run as well as in the short run.

scholarly journals Food versus crude oil: what do prices tell us? Evidence from China

2015 ◽  
Vol 7 (3) ◽  
pp. 435-447 ◽  
Author(s):  
Yumeng Wang ◽  
Shuoli Zhao ◽  
Zhihai Yang ◽  
Donald J. Liu
Keyword(s):  
Crude Oil ◽  
Error Correction ◽  
Food Prices ◽  
Oil Price ◽  
Price Transmission ◽  
Crude Oil Price ◽  
Content Type ◽  
Long Run ◽  
Short Run ◽  
Price Relationship

Purpose – The purpose of this paper is to investigate the causal relationship between the prices of rice, crude oil, wheat, corn and soybean in China and estimate the long-run and short-run price relationships. Design/methodology/approach – Using monthly price date over the period of January 1998-December 2013 in China, this paper employs an autoregressive distributed lag (ARDL) bounds test to explore the cointegration relationship among the price variables and estimate the ARDL long-run price relationship and the short-run error correction process (ARDL-EC). Findings – The empirical results indicate that crude oil, as one of the forcing variables along with wheat, corn, and soybean prices, is effecting rice price in China. Both the long-run and short-run price transmission elasticity estimates suggest the importance of crude oil price on the formation of rice prices. Furthermore, the adjustment speed coefficient is found to be statistically significant, supporting the notion that there is an error correction mechanism for maintaining the long-run price relationship facing short-run shocks. Originality/value – This paper adopts four types of commodity food prices to explore the relationships with crude oil price. The evidence of market integration, including the degree of price transmission and the speed of adjustment, remains a crucial step to proceed with the government intervention.

scholarly journals Causes for Deforestation in Indonesia: Corruption and Palm Tree Plantation

2015 ◽  
Vol 11 (27) ◽  
pp. 120
Author(s):  
Osama Eldeeb ◽  
Petr Prochazka ◽  
Mansoor Maitah
Keyword(s):  
Time Series ◽  
Palm Oil ◽  
Forest Cover ◽  
Palm Tree ◽  
Test Statistics ◽  
Crude Palm Oil ◽  
Tree Plantation ◽  
Long Run ◽  
Corruption Perception ◽  
Forest Cover Loss

<p>Indonesian biodiversity is threatened by massive deforestation. In this research paper, claims that deforestation in Indonesia is caused by corruption and supported by crude palm oil production is verified using time series analysis. Using Engel Granger cointegration test, three time series of data, specifically corruption perception index, rate of deforestation and price of crude palm oil are inspected for a long-run relationship. Test statistics suggests that there is no long-run relationship among these variables. Authors provide several explanations for this result. For example, corruption in Indonesia, as measured by CPI is still very high. This may mean that forest cover loss is possible even though there is a positive change in corruption level. According to the results, crude palm oil price has also no effect upon forest cover loss. This is likely due to very low shut-down price of crude palm oil for which production is still economical.</p>

scholarly journals “Shale Revolution” in the United States as the Main Driver of the World Oil Market Transformation

2019 ◽  
Vol 12 (6) ◽  
pp. 71-93
Author(s):  
S. A. Zolina ◽  
I. A. Kopytin ◽  
O. B. Reznikova
Keyword(s):  
United States ◽  
Crude Oil ◽  
Oil Production ◽  
The United States ◽  
Oil Price ◽  
Oil Market ◽  
Oil Exports ◽  
The World ◽  
Oil Sector ◽  
The U.S

In 2018 the United States surpassed Saudi Arabia and Russia to become the largest world oil producer. The article focuses on the mechanisms through which the American shale revolution increasingly impacts functioning of the world oil market. The authors show that this impact is translated to the world oil market mainly through the trade and price channels. Lifting the ban on crude oil exports in December 2015 allowed the United States to increase rapidly supply of crude oil to the world oil market, the country’s share in the world crude oil exports reached 4,4% in 2018 and continues to rise. The U.S. share in the world petroleum products exports, on which the American oil sector places the main stake, reached 18%. In parallel with increasing oil production the U.S. considerably shrank crude oil import that forced many oil exporters to reorient to other markets. Due to high elasticity of tight oil production to the oil price increases oil from the U.S. has started to constrain the world oil price from above. According to the majority of authoritative forecasts, oil production in the U.S. will continue to increase at least until 2025. Since 2017 the tendency to the increasing expansion of supermajors into American unconventional oil sector has become noticeable, what will contribute to further strengthening of the U.S. position in the world oil market and accelerate its restructuring.  

PALM OIL PRICE–EXCHANGE RATE NEXUS IN INDONESIA AND MALAYSIA

2021 ◽  
Vol 24 (2) ◽  
pp. 169-180
Author(s):  
Afees Salisu ◽  
Abdulsalam Abidemi Sikiru
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Palm Oil ◽  
Commodity Prices ◽  
Oil Price ◽  
Future Research ◽  
Daily Data ◽  
Out Of Sample ◽  
Exchange Rate Movements ◽  
Predictive Content

In this study, we extend the literature analyzing the predictive content of commodity prices for exchange rates by examining the role of palm oil price. Our analysis focuses on Indonesia and Malaysia, the two top producers and exporters of palm oil, and utilizes daily data covering the period from December 12, 2011 to March 29, 2021, which is partitioned into two sub-samples based on the COVID-19 pandemic. Relying on a methodology that accommodates some salient features of the variables of interest, we find that on average the in-sample predictability of palm oil price for exchange rate movements is stronger for Indonesia than for Malaysia. While Indonesia’s exchange rate appreciates due to a rise in palm oil price regardless of the choice of predictive model, Malaysia’s exchange rate only appreciates after adjusting for oil price. However, both exchange rates do not seem to be resilient to the COVID-19 pandemic as they depreciate amidst dwindling palm oil price. Similar outcomes are observed for the out-of-sample predictability analysis. We highlight avenues for future research and the implications of our results for portfolio diversification strategies.

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