Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis

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• 作者：Saban Nazlioglu^a ; ¹ ; ^{snazlioglu@pau.edu.tr} ; Ugur Soytas^b ; ^{soytas@metu.edu.tr}
• 关键词：O13 ; C01 ; C23
• 刊名：Energy Economics
• 出版年：2012
• 期刊代码：14_01409883
• 类别：pw
• 出版时间：July, 2012
• 卷：34
• 期：4
• 页码：1098-1104
• 文件大小：286 K

摘要

This study examines the dynamic relationship between world oil prices and twenty four world agricultural commodity prices accounting for changes in the relative strength of US dollar in a panel setting. We employ panel cointegration and Granger causality methods for a panel of twenty four agricultural products based on monthly prices ranging from January 1980 to February 2010. The empirical results provide strong evidence on the impact of world oil price changes on agricultural commodity prices. Contrary to the findings of many studies in the literature that report neutrality of agricultural prices to oil price changes, we find strong support for the role of world oil prices on prices of several agricultural commodities. The positive impact of a weak dollar on agricultural prices is also confirmed.