scholarly journals Effect Of Oil Prices On Food prices: Time Series Analysis Using Vector Autoregressive (VAR) Model

2020 ◽  
Author(s):  
Sassi Mohamed Taher
Keyword(s):  
Impulse Response ◽  
Impulse Response Function ◽  
Commodity Prices ◽  
Oil Prices ◽  
Food Prices ◽  
Estimation Methods ◽  
Short Term ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Rice Prices

This study examines the effect of oil prices on food prices using worldwide monthly data covering crude oil prices wheat, soybeans and rice prices from 08.2013 until 06.2017 from World-Bank-Database 2017. It specifically considers the identification of the short-term causal relationship between oil and the selected commodity prices using the Vector-Autoregressive-Model as main model and its post-estimation methods, Granger-Causality-Test and Impulse response function. The results show that there is no long run relationship between the variables but a significant causal short-term relationship between oil prices and wheat prices is confirmed. The impulse response results after a simulated shock on oil prices showed mainly negative response of soybeans prices a and persistent increase on wheat prices, for the rice prices response there was a slight increase on rice prices after the shock of oil prices. This research targets the detection of one influencing factor to food prices in order to support food security. To achieve this objective and recommend solutions research needed to further investigate the interaction of food prices with other variables.

scholarly journals The Transmission of Global Commodity Prices to Consumer Prices in a Commodity Import-Dependent Country: Evidence from Morocco

2020 ◽  
Vol 67 (1) ◽  
pp. 15-32
Author(s):  
Mounir El-Karimi ◽  
El-Ghini Ahmed
Keyword(s):  
Commodity Prices ◽  
Oil Prices ◽  
Commodity Price ◽  
Food Prices ◽  
Food Price ◽  
Oil Price ◽  
Causality Test ◽  
Consumer Prices ◽  
Short Run ◽  
The Impact

This paper uses the Breitung and Candelon (2006) causality test to examine the effect of global oil and food price changes on the inflation in Morocco over the period from 1998Q1 to 2018Q1. The results show significant transmission from oil and food prices to domestic inflation. Specifically, the food prices are shown more important than oil prices in explaining inflation in the short-run, which reflects the high weight of food in the consumption basket. However, the effect of oil prices on inflation is much more persistent than the effect of food prices. Furthermore, the impact of commodity price shocks on inflation exhibits asymmetries. The oil price hikes affect more weakly the inflation than oil price decreases, whereas the food price increases are more transmitted to inflation than food price decreases. Our findings may provide useful information to researchers and policymakers in formulating more appropriate monetary policy.

scholarly journals Does the Repurchase Rate Affect Inflation in South Africa? An Empirical Analysis Using an Impulse Response Function

2014 ◽  
Vol 6 (7) ◽  
pp. 524-531
Author(s):  
Temitope L.A. Leshoro
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Inflation Rate ◽  
Structural Break ◽  
Impulse Response Function ◽  
Policy Instrument ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Reserve Bank ◽  
Repo Rate

The repurchase rate (repo rate) is the most common monetary policy instrument that the South African Reserve Bank (SARB) uses to control inflation and endeavours to keep it within the inflation target band of 3% to 6%. This study examines the effect of the repo rate on inflation rate along with other variables using the Impulse-Response Function (IRF) of a Vector Autoregressive (VAR) technique. This study uses quarterly data spanning over the period 1980Q2 to 2013Q3. The response of a shock in repo rate on inflation rate and vice versa is generally positive. The results show that given one standard deviation shock in the repo rate, inflation rate will initially increase up until the second quarter after which it starts to decline, and increases again in the fifth quarter. The results obtained from the VAR granger causality test show that repo rate leads the gross domestic product (GDP) growth and inflation rate. There is bidirectional causality between inflation and repo rate; and the result is the same, even after structural break was accounted for. The VAR shows no evidence of instability and autocorrelation, hence the results are reliable. The study suggests some policy recommendations.

scholarly journals Investments, Economic Growth and Employment: VAR Method for Romania

2019 ◽  
Vol 14 (2) ◽  
pp. 231-244
Author(s):  
Vodă Alina Daniela ◽  
Duguleană Liliana ◽  
Dobrotă Gabriela
Keyword(s):  
Economic Growth ◽  
Impulse Response ◽  
Response Function ◽  
Negative Relationship ◽  
Impulse Response Function ◽  
Economic Life ◽  
Fiscal Policies ◽  
Causality Test ◽  
The Sustainable Development ◽  
Vector Autoregressive

Abstract Economic growth can be seen as an effect of both fiscal policies and different legislative norms applied at national and macroeconomic level. Investments are a determining factor in the evolution of socio-economic life, influencing also the employment rate. This paper aims to identify the influence of investments on economic growth and employment using the vector autoregressive model (VAR). Based on the quarterly data from Romania, between the first quarter of 2000 and the second quarter of 2018, the Granger causality test and the impulse - response function was applied to identify the effect of the investments on the sustainable development of the Romanian economy. The results revealed that investments in Romania influence the economic growth and, implicitly, the employment. In terms of impulse – response function, a negative relationship between investment and employment was identified, which may be due to the fact that the need for human resources is no longer a priority in some sectors of activity due to technology.

scholarly journals Dampak Harga Minyak Dunia Terhadap Jumlah Uang Beredar di Indonesia Tahun 2005.Q1-2016.Q4

2019 ◽  
Vol 6 (1) ◽  
pp. 91
Author(s):  
Mita Pradnya Wardani ◽  
Regina Niken W. ◽  
Agus Lutfi
Keyword(s):  
Economic Growth ◽  
Money Supply ◽  
Impulse Response ◽  
Impulse Response Function ◽  
Oil Prices ◽  
Variance Decomposition ◽  
Response Analysis ◽  
Vector Autoregressive ◽  
Variation Explained ◽  
The Government

Policies taken by the government and the central bank greatly determine the size of the money supply. World oil prices play a role in increasing the money supply through inflation. The purpose of this study is to find out the most effective policy in controlling the money supply by the public, using the Vector Autoregressive (VAR) model to estimate the variables in the study. The estimation of the impulse response function and also the variance decomposition which describes how and how much influence the shock from the amount of money supply. The VAR estimation shows that the money supply is most significantly influenced by the money supply itself, economic growth, deposit rates and exchange rates while inflation does not have a significant effect on the money supply. Impulse response analysis shows that the money supply gets the fastest and most powerful response to inflation. Whereas in the description of variance decomposition, the variation explained by the large money supply affects the change in the money supply itself and the second rank is economic growth. Keywords: Oil Prices, Inflation, Gross Domestic Product, Interest Rate, Exchange Rate.

scholarly journals Interdependence of stock exchange indices from leading capital markets: USA, Germany and Japan Stock Market

Bizinfo Blace ◽  
2021 ◽  
Vol 12 (1) ◽  
pp. 15-28
Author(s):  
Milena Marjanović ◽  
Ivan Mihailović ◽  
Ognjen Dimitrijević
Keyword(s):  
United States ◽  
Financial Markets ◽  
Capital Markets ◽  
Stock Exchange ◽  
Impulse Response Function ◽  
The United States ◽  
Causality Test ◽  
Vector Autoregressive ◽  
Equilibrium Relationship ◽  
The Us

In the context of globalization, due to the accelerated process of economic integration of countries and financial markets, the interdependence of the world's leading financial markets is more than obvious. This paper investigates the interdependence of stock exchange indices from leading capital markets in the world: USA, European Union and Asia. Our intention is to determine the direction of causality between the observed capital markets, as well as whether and in what way shocks in one market are transmitted to other markets. Research methodology includes stationarity testing, the existence of cointegration, the application of the Vector Autoregressive Model (VAR) which is complemented by the Granger causality test and the Impulse Response Function (IRF) analysis. The results of the research are as follows. Johansen's cointegration test showed that there is no long-term equilibrium relationship between the observed markets, while Granger's test showed that there is mutual causality between the capital markets of Germany and the United States. As for the Japanese index, previous events in Germany and the United States are statistically significant, but previous events on the Tokyo Stock Exchange cannot explain movements in Germany and the United States. According to the results of the IRF analysis, shocks that may occur in the US market have an almost identical impact on all observed markets. On the other hand, disturbances on the Japanese market are not transmitted to the German and American market, i.e. remain in Japan.

scholarly journals Market Integration and Causality: An Application to the Major Apple Markets in India

2021 ◽  
Vol 66 (1) ◽  
Author(s):  
Shilpa S
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Market Integration ◽  
Impulse Response Function ◽  
Price Transmission ◽  
Fruit Crops ◽  
Causality Test ◽  
Additional Information ◽  
Major Implication ◽  
The Government

Market integration and prices of fruit crops such as apple play an important role in determining the production decisions of apple farmers. In this context, the present study examines the degree of spatial market integration and price transmission across five major apple markets of the country, viz. Shimla, Chandigarh, Delhi, Bengaluru and Mumbai by adopting Johansen’s Cointegration Test, Grangers Causality and Impulse Response Function. The outcomes of the study strongly buttress the cointegration and interdependence of the apple markets in India. To get additional information on whether and in which direction price transmission is occurring between market pairs, Ganger’s Causality Test has been used, which has confirmed Shimla to be the price determining market as it has causal relations with all the selected markets. The Impulse Response Function supported that all the selected markets responded well to standard deviation shock given to any other market. The major implication of the study is further improvement in market integration situation through dissemination of price and arrival data efficiently and developing communication means with in the markets by the government.

Empirical relationship between workers' remittances and financial development (an ARDL cointegration approach for Sri Lanka)

2020 ◽  
Vol 47 (11) ◽  
pp. 1381-1402
Author(s):  
Ahamed Lebbe Mohamed Aslam ◽  
Selliah Sivarajasingham
Keyword(s):  
Data Analysis ◽  
Sri Lanka ◽  
Financial Development ◽  
Impulse Response ◽  
Unit Root ◽  
Function Analysis ◽  
Impulse Response Function ◽  
Granger Causality Test ◽  
Causality Test ◽  
Content Type

PurposeThe purpose of this study aims to investigate the nature of the relationship between workers' remittances and financial development (FD) in Sri Lanka for the period from 1975 to 2017.Design/methodology/approachThis study used both the exploratory data analysis and inferential data analysis (IDA) techniques to test the objective of this study. The IDA technique consisted of the augmented Dickey–Fuller (ADF) and Phillips–Perron unit root tests, the autoregressive distributed lag (ARDL) bounds cointegration technique, the Granger causality test and impulse response function analysis.FindingsThe unit root test results show that the variables are in mixed order. The empirical results of cointegration confirm that workers' remittances have a beneficial long-run relationship with FD in Sri Lanka. The Granger causality test result indicates that there is a bidirectional relationship between workers' remittances and FD. The impulse response analysis indicates that a positive shock to workers' remittance has an immediate significant positive impact on the FD of up to 10 years.Practical implicationsThe analytical techniques used in this study explain how workers' remittances induce FD in Sri Lanka.Originality/valueThis study fills an important gap in the academic literature by using newly developed ARDL bounds cointegration techniques in Sri Lanka, by using impulse response function analysis, and by studying the dynamic relationship between workers' remittances and FD using time series data.

scholarly journals Crude oil price variability and its impact on ethanol prices

2011 ◽  
Vol 57 (No. 8) ◽  
pp. 394-403 ◽  
Author(s):  
J. Pokrivčák ◽  
M. Rajčaniová
Keyword(s):  
Crude Oil ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Oil Prices ◽  
Oil Price ◽  
Biofuel Production ◽  
Oil Price Shock ◽  
Price Shock ◽  
The Impact

The world annual biofuel production has exceeded 100 billion litres in 2009. The development of the biofuel production is partly influenced by the government support programs and partly by the development of oil prices. The main purpose of this paper is to analyze the statistical relationship between ethanol, gasoline and crude oil prices. We aim to check the correlation among these variables and to analyze the strength and direction of a possible linear relationship among the variables. We are interested in analyzing how each variable is related to another, so we evaluate the inter-relationship among the variables in the Vector Autoregression (VAR) and the Impulse Response Function (IRF). In order to achieve our goal, we first collected weekly data for each variable from January, 2000 to October, 2009. The results provide evidence of the cointegration relationship between oil and gasoline prices, but no cointegration between ethanol, gasoline and ethanol, oil prices. As a result, we used a VAR model on first differences. After running the Impulse Response Function, we found out that the impact of the oil price shock on the other variables is considerable larger than vice versa. The largest impact of oil price shock was observed on the price of gasoline.  

scholarly journals Do Tense Geopolitical Factors Drive Crude Oil Prices?

Energies ◽  
2020 ◽  
Vol 13 (16) ◽  
pp. 4277
Author(s):  
Fen Li ◽  
Zhehao Huang ◽  
Junhao Zhong ◽  
Khaldoon Albitar
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Causal Link ◽  
Short Term ◽  
Causality Test ◽  
Dynamic Correlation ◽  
Crude Oil Prices ◽  
Political Events ◽  
Real Factor ◽  
Copula Approach

Geopolitical factors are considered a crucial factor that makes a difference in crude oil prices. Over the last three decades, many political events occurred frequently, causing short-term fluctuations in crude oil prices. This paper aims to examine the dynamic correlation and causal link between geopolitical factors and crude oil prices based on data from June 1987 to February 2020. By using a time-varying copula approach, it is shown that the correlation between geopolitical factors and crude oil prices is strong during periods of political tensions. The GPA (geopolitical acts) index, as the real factor, drives the rise in prices of crude oil. Moreover, the dynamic correlation between geopolitical factors and crude oil prices shows strong volatility over time during periods of political tensions. We also found unidirectional causality running from geopolitical factors to crude oil prices by using the Granger causality test.

Chapter II. The World Economy

1989 ◽  
Vol 128 ◽  
pp. 20-39
Author(s):  
R.J. Barrell ◽  
Andrew Gurney
Keyword(s):  
Industrial Production ◽  
World Economy ◽  
Commodity Prices ◽  
Oil Prices ◽  
Short Term ◽  
Developed Country ◽  
Policy Responses ◽  
The Us ◽  
The World ◽  
Early Indicators

Our February forecast suggested that developments in the short term would be dominated by fears of accelerating inflation and policy responses to them. This has indeed been the case. In Japan, Germany and the US wholesale prices have begun to rise relatively rapidly. Although commodity prices, especially of metals and minerals and of developed country foods, have fallen in recent weeks, at least in dollar terms they remain high and oil prices appear to have hit temporary peaks at the beginning of the quarter. These developments are the result of demand pressure. Our equations for real commodity prices, which were reported in the August 1988 issue of the Review, do have rather strong influences from world industrial production in then. As commodity prices are more timely than figures for demand and output they have often been early indicators of rising demand and we believe that they are currently, and correctly, filling this role.

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