The Determinants of Risk Transmission between Oil and Agricultural Prices: An IPVAR Approach
Previous empirical studies have generally considered biofuel as a main factor in changes in the relationship between oil and agricultural prices because these changes happened after U.S. biofuel policies were implemented. However, it has been argued that other economic factors can trigger the correl...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-04-01
|
| Series: | Agriculture |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2077-0472/10/4/120 |
| _version_ | 1827718931048038400 |
|---|---|
| author | Tan Ngoc Vu Chi Minh Ho Thang Cong Nguyen Duc Hong Vo |
| author_facet | Tan Ngoc Vu Chi Minh Ho Thang Cong Nguyen Duc Hong Vo |
| author_sort | Tan Ngoc Vu |
| collection | DOAJ |
| description | Previous empirical studies have generally considered biofuel as a main factor in changes in the relationship between oil and agricultural prices because these changes happened after U.S. biofuel policies were implemented. However, it has been argued that other economic factors can trigger the correlation of these two markets. This study was conducted to examine the transmission mechanisms that influence the relationship between oil and agricultural prices. This paper used the interacted panel vector autoregressive framework, which allowed us to investigate the effect of biofuel production under different regimes of exchange rates and global economic activities. The responses of agricultural prices to oil prices at different levels of biofuel production, global economic activity, and exchange rates were examined in this paper. Data on prices for 10 agricultural commodities—barley, beans, corn, cotton, oats, rice, sorghum, soybean, sunflower, and wheat—from January 2000 to May 2019, were used in this study. Our findings indicate that oil prices can affect agricultural prices through biofuel and exchange rates. Moreover, the effect of biofuel depends on the level of global economic activity and exchange rates. We offer some policy implications on the basis of our findings in this study. |
| first_indexed | 2024-03-10T20:32:39Z |
| format | Article |
| id | doaj.art-18a97c796f1b403b901dbc12e2063340 |
| institution | Directory Open Access Journal |
| issn | 2077-0472 |
| language | English |
| last_indexed | 2024-03-10T20:32:39Z |
| publishDate | 2020-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Agriculture |
| spelling | doaj.art-18a97c796f1b403b901dbc12e20633402023-11-19T21:13:42ZengMDPI AGAgriculture2077-04722020-04-0110412010.3390/agriculture10040120The Determinants of Risk Transmission between Oil and Agricultural Prices: An IPVAR ApproachTan Ngoc Vu0Chi Minh Ho1Thang Cong Nguyen2Duc Hong Vo3Business and Economics Research Group, Ho Chi Minh City Open University, District 3, Ho Chi Minh City 7000, VietnamBusiness and Economics Research Group, Ho Chi Minh City Open University, District 3, Ho Chi Minh City 7000, VietnamBusiness and Economics Research Group, Ho Chi Minh City Open University, District 3, Ho Chi Minh City 7000, VietnamBusiness and Economics Research Group, Ho Chi Minh City Open University, District 3, Ho Chi Minh City 7000, VietnamPrevious empirical studies have generally considered biofuel as a main factor in changes in the relationship between oil and agricultural prices because these changes happened after U.S. biofuel policies were implemented. However, it has been argued that other economic factors can trigger the correlation of these two markets. This study was conducted to examine the transmission mechanisms that influence the relationship between oil and agricultural prices. This paper used the interacted panel vector autoregressive framework, which allowed us to investigate the effect of biofuel production under different regimes of exchange rates and global economic activities. The responses of agricultural prices to oil prices at different levels of biofuel production, global economic activity, and exchange rates were examined in this paper. Data on prices for 10 agricultural commodities—barley, beans, corn, cotton, oats, rice, sorghum, soybean, sunflower, and wheat—from January 2000 to May 2019, were used in this study. Our findings indicate that oil prices can affect agricultural prices through biofuel and exchange rates. Moreover, the effect of biofuel depends on the level of global economic activity and exchange rates. We offer some policy implications on the basis of our findings in this study.https://www.mdpi.com/2077-0472/10/4/120agricultural pricesbiofuelexchange rateIPVAR |
| spellingShingle | Tan Ngoc Vu Chi Minh Ho Thang Cong Nguyen Duc Hong Vo The Determinants of Risk Transmission between Oil and Agricultural Prices: An IPVAR Approach Agriculture agricultural prices biofuel exchange rate IPVAR |
| title | The Determinants of Risk Transmission between Oil and Agricultural Prices: An IPVAR Approach |
| title_full | The Determinants of Risk Transmission between Oil and Agricultural Prices: An IPVAR Approach |
| title_fullStr | The Determinants of Risk Transmission between Oil and Agricultural Prices: An IPVAR Approach |
| title_full_unstemmed | The Determinants of Risk Transmission between Oil and Agricultural Prices: An IPVAR Approach |
| title_short | The Determinants of Risk Transmission between Oil and Agricultural Prices: An IPVAR Approach |
| title_sort | determinants of risk transmission between oil and agricultural prices an ipvar approach |
| topic | agricultural prices biofuel exchange rate IPVAR |
| url | https://www.mdpi.com/2077-0472/10/4/120 |
| work_keys_str_mv | AT tanngocvu thedeterminantsofrisktransmissionbetweenoilandagriculturalpricesanipvarapproach AT chiminhho thedeterminantsofrisktransmissionbetweenoilandagriculturalpricesanipvarapproach AT thangcongnguyen thedeterminantsofrisktransmissionbetweenoilandagriculturalpricesanipvarapproach AT duchongvo thedeterminantsofrisktransmissionbetweenoilandagriculturalpricesanipvarapproach AT tanngocvu determinantsofrisktransmissionbetweenoilandagriculturalpricesanipvarapproach AT chiminhho determinantsofrisktransmissionbetweenoilandagriculturalpricesanipvarapproach AT thangcongnguyen determinantsofrisktransmissionbetweenoilandagriculturalpricesanipvarapproach AT duchongvo determinantsofrisktransmissionbetweenoilandagriculturalpricesanipvarapproach |