Nonlinear Granger causality between grains and livestock
Linear and nonlinear Granger causality between three grains: corn, soybean, wheat and two livestock commodities: live cattle and lean hogs, was verified. Weak evidence of linear causal relationships was found, supporting the results published in other studies. However, strong nonlinear causal relati...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Czech Academy of Agricultural Sciences
2018-07-01
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| Series: | Agricultural Economics (AGRICECON) |
| Subjects: | |
| Online Access: | https://agricecon.agriculturejournals.cz/artkey/age-201807-0004_nonlinear-granger-causality-between-grains-and-livestock.php |
| _version_ | 1797899926098673664 |
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| author | Piotr FISZEDER Witold ORZESZKO |
| author_facet | Piotr FISZEDER Witold ORZESZKO |
| author_sort | Piotr FISZEDER |
| collection | DOAJ |
| description | Linear and nonlinear Granger causality between three grains: corn, soybean, wheat and two livestock commodities: live cattle and lean hogs, was verified. Weak evidence of linear causal relationships was found, supporting the results published in other studies. However, strong nonlinear causal relationships between grain and livestock returns were found, which had not yet been documented in the literature on this subject. The revealed relationships have different patterns and features, and in some cases, they arise from second moment dependencies, but nonlinearities of a different type were also found. Most of the discovered nonlinear relationships are bidirectional. |
| first_indexed | 2024-04-10T08:37:44Z |
| format | Article |
| id | doaj.art-138cc70a70774def9f09ffbaa229206e |
| institution | Directory Open Access Journal |
| issn | 0139-570X 1805-9295 |
| language | English |
| last_indexed | 2024-04-10T08:37:44Z |
| publishDate | 2018-07-01 |
| publisher | Czech Academy of Agricultural Sciences |
| record_format | Article |
| series | Agricultural Economics (AGRICECON) |
| spelling | doaj.art-138cc70a70774def9f09ffbaa229206e2023-02-23T03:25:13ZengCzech Academy of Agricultural SciencesAgricultural Economics (AGRICECON)0139-570X1805-92952018-07-0164732833610.17221/376/2016-AGRICECONage-201807-0004Nonlinear Granger causality between grains and livestockPiotr FISZEDER0Witold ORZESZKO1Department of Econometrics and Statistics, Faculty of Economic Sciences and Management, Nicolaus Copernicus University in Torun, Torun, PolandDepartment of Applied Informatics and Mathematics in Economics, Faculty of Economic Sciences and Management, Nicolaus Copernicus University in Torun, Torun, PolandLinear and nonlinear Granger causality between three grains: corn, soybean, wheat and two livestock commodities: live cattle and lean hogs, was verified. Weak evidence of linear causal relationships was found, supporting the results published in other studies. However, strong nonlinear causal relationships between grain and livestock returns were found, which had not yet been documented in the literature on this subject. The revealed relationships have different patterns and features, and in some cases, they arise from second moment dependencies, but nonlinearities of a different type were also found. Most of the discovered nonlinear relationships are bidirectional.https://agricecon.agriculturejournals.cz/artkey/age-201807-0004_nonlinear-granger-causality-between-grains-and-livestock.phpagricultural futures contractsgrain and livestock pricesmultivariate garch modelnonlinear causality tests |
| spellingShingle | Piotr FISZEDER Witold ORZESZKO Nonlinear Granger causality between grains and livestock Agricultural Economics (AGRICECON) agricultural futures contracts grain and livestock prices multivariate garch model nonlinear causality tests |
| title | Nonlinear Granger causality between grains and livestock |
| title_full | Nonlinear Granger causality between grains and livestock |
| title_fullStr | Nonlinear Granger causality between grains and livestock |
| title_full_unstemmed | Nonlinear Granger causality between grains and livestock |
| title_short | Nonlinear Granger causality between grains and livestock |
| title_sort | nonlinear granger causality between grains and livestock |
| topic | agricultural futures contracts grain and livestock prices multivariate garch model nonlinear causality tests |
| url | https://agricecon.agriculturejournals.cz/artkey/age-201807-0004_nonlinear-granger-causality-between-grains-and-livestock.php |
| work_keys_str_mv | AT piotrfiszeder nonlineargrangercausalitybetweengrainsandlivestock AT witoldorzeszko nonlineargrangercausalitybetweengrainsandlivestock |