The local currency oil price and food price relationship for Turkey: a dynamic correlation and time-frequency dependency analysis

2021 ◽  
Vol 14 (3) ◽  
pp. 233
Author(s):  
Hasan Murat Ertuğrul
Keyword(s):  
Food Price ◽  
Oil Price ◽  
Dependency Analysis ◽  
Frequency Dependency ◽  
Time Frequency ◽  
Dynamic Correlation ◽  
Local Currency ◽  
Price Relationship

Crude Oil Price and Food Security Related Variables in Malaysia

2016 ◽  
Vol 4 (2) ◽  
pp. 17-21
Author(s):  
Shri Dewi Applanaidu ◽  
Mukhriz Izraf Azman Aziz
Keyword(s):  
Food Security ◽  
Crude Oil ◽  
Price Index ◽  
Price Volatility ◽  
Food Price ◽  
Oil Price ◽  
Crude Oil Price ◽  
Price Changes ◽  
Oil Price Volatility ◽  
Crude Oil Prices

Objective - This study analyzes the dynamic relationship between crude oil price and food security related variables (crude palm oil price, exchange rate, food import, food price index, food production index, income per capita and government development expenditure) in Malaysia using a Vector Auto Regressive (VAR) model. Methodology/Technique - The data covered the period of 1980-2014. Impulse response functions (IRFs) was applied to examine what will be the results of crude oil price changes to the variables in the model. To explore the impact of variation in crude oil prices on the selected food security related variables forecast error variance decomposition (VDC) was employed. Findings - Findings from IRFs suggest there are positive effects of oil price changes on food import and food price index. The VDC analyses suggest that crude oil price changes have relatively largest impact on real crude palm oil price, food import and food price index. This study would suggest to revisiting the formulation of food price policy by including appropriate weight of crude oil price volatility. In terms of crude oil palm price determination, the volatility of crude oil prices should be taken into account. Overdependence on food imports also needs to be reduced. Novelty - As the largest response of crude oil price volatility on related food security variables food vouchers can be implemented. Food vouchers have advantages compared to direct cash transfers since it can be targeted and can be restricted to certain types of products and group of people. Hence, it can act as a better aid compared cash transfers. Type of Paper - Empirical Keywords: Crude oil price, Food security related variables, IRF, VAR, VDC

Dynamic correlation of Eastern and Western markets and forecasting: Scale-by-scale wavelet-based approach

2017 ◽  
Vol 04 (04) ◽  
pp. 1750040 ◽  
Author(s):  
Emrah Oral ◽  
Gazanfer Unal
Keyword(s):  
Time Series ◽  
Wavelet Transform ◽  
Moving Average ◽  
Wavelet Coherence ◽  
Vector Autoregressive ◽  
Frequency Space ◽  
Time Frequency ◽  
Dynamic Correlation ◽  
Frequency Scale ◽  
Highly Correlated

In this paper, dynamic four-dimensional (4D) correlation of eastern and western markets is analyzed. A wavelet-based scale-by-scale analysis method has been introduced to model and forecast stock market data for strongly correlated time intervals. The daily data of stock markets of SP500, FTSE and DAX (western markets) and NIKKEI, TAIEX and KOSPI (eastern markets) are obtained from 2009 to the end of 2016 and their co-movement dependencies on time–frequency space using 4D multiple wavelet coherence (MWC) are determined. Once the data is detached into levels of different frequencies using scale-by-scale continuous wavelet transform, all of the time series possessing the same frequency scale are selected, inversed and forecasted using multivariate model, vector autoregressive moving average (VARMA). It is concluded that the efficiency of forecasting is increased substantially using the same-frequency highly correlated time series obtained by scale-by-scale wavelet transform. Moreover, the increasing or decreasing trend of prospected price shift is foreseen fairly well.

scholarly journals Analyzing time–frequency relationship between oil price and exchange rate in Pakistan through wavelets

2014 ◽  
Vol 42 (4) ◽  
pp. 690-704 ◽  
Author(s):  
Muhammad Shahbaz ◽  
Aviral Kumar Tiwari ◽  
Mohammad Iqbal Tahir
Keyword(s):  
Exchange Rate ◽  
Oil Price ◽  
Time Frequency ◽  
Frequency Relationship

Co-movement analysis of Asian stock markets against FTSE100 and S&P 500: Wavelet-based approach

2016 ◽  
Vol 03 (04) ◽  
pp. 1650033 ◽  
Author(s):  
Adil Yilmaz ◽  
Gazanfer Unal
Keyword(s):  
Stock Markets ◽  
Movement Analysis ◽  
Point Of View ◽  
Wavelet Coherence ◽  
Short Term ◽  
Middle Term ◽  
Frequency Space ◽  
Time Frequency ◽  
Dynamic Correlation ◽  
Over Time

Wavelet coherence of time series provide valuable information about dynamic correlation and its impact on time scales. Here we analyze the wavelet coherence of FTSE100 and S&P 500 with selected Asian markets of S&P/ASX 200 (Australia), S&P/ASX200 A-REIT (Australia), BIST (Turkey), HIS (Hong Kong), IDX (Indonesia), KLSE (Malaysia), KOSPI (Korea), N225 (Japan), RTS (Russia), Shenzhen (China), 0050.TW (Taiwan). Wavelet coherence results revealed interconnected relationships between stock markets and how these relationships vary in the time–frequency space. We conclude that developed economy stock markets have strong influences over Asian stock markets, although market dependencies vary by country and change over time. We also suggested that because co-movements shift over time, short term and middle term diversification could be more beneficial taking into account the degree of interrelations. From investors point of view, these relationships provides beneficial information, especially for portfolio diversification and risk elimination.

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