The linkage between oil and agricultural commodity prices in the light of the perceived global risk
The paper examines a systematic interrelationship between the world oil and agricultural commodity prices, taking the role of the USD and the perceived global market risks into consideration for the period from January 1990 to June 2013. The authors initially determine the significant cross-sectiona...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Czech Academy of Agricultural Sciences
2014-07-01
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| Series: | Agricultural Economics (AGRICECON) |
| Subjects: | |
| Online Access: | https://agricecon.agriculturejournals.cz/artkey/age-201407-0006_the-linkage-between-oil-and-agricultural-commodity-prices-in-the-light-of-the-perceived-global-risk.php |
| _version_ | 1828009405037150208 |
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| author | Giray GOZGOR Baris KABLAMACI |
| author_facet | Giray GOZGOR Baris KABLAMACI |
| author_sort | Giray GOZGOR |
| collection | DOAJ |
| description | The paper examines a systematic interrelationship between the world oil and agricultural commodity prices, taking the role of the USD and the perceived global market risks into consideration for the period from January 1990 to June 2013. The authors initially determine the significant cross-sectional dependence in a large balanced panel framework for 27 commodity prices, and then apply the second generation panel unit root (PUR) tests. Findings from the PUR tests clearly suggest that there is a strong unit root in agricultural commodity prices. In addition, the empirical findings from the fixed effects panel data, panel co-integration analysis, the Panel-Wald Causality tests, and the common correlated effects mean group estimations strongly show that the world oil price and the weak USD have positive impacts on almost all agricultural commodity prices. There are also retained the adjuvant effects of the escalatory perceived global market risk upon most agricultural commodity prices. |
| first_indexed | 2024-04-10T08:39:02Z |
| format | Article |
| id | doaj.art-2549ae19403847bc820438c8879de34f |
| institution | Directory Open Access Journal |
| issn | 0139-570X 1805-9295 |
| language | English |
| last_indexed | 2024-04-10T08:39:02Z |
| publishDate | 2014-07-01 |
| publisher | Czech Academy of Agricultural Sciences |
| record_format | Article |
| series | Agricultural Economics (AGRICECON) |
| spelling | doaj.art-2549ae19403847bc820438c8879de34f2023-02-23T03:24:30ZengCzech Academy of Agricultural SciencesAgricultural Economics (AGRICECON)0139-570X1805-92952014-07-0160733234210.17221/183/2013-AGRICECONage-201407-0006The linkage between oil and agricultural commodity prices in the light of the perceived global riskGiray GOZGOR0Baris KABLAMACI1Department of Economics and Finance, Dogus University, Istanbul, TurkeyDepartment of Economics, Istanbul University, Istanbul, TurkeyThe paper examines a systematic interrelationship between the world oil and agricultural commodity prices, taking the role of the USD and the perceived global market risks into consideration for the period from January 1990 to June 2013. The authors initially determine the significant cross-sectional dependence in a large balanced panel framework for 27 commodity prices, and then apply the second generation panel unit root (PUR) tests. Findings from the PUR tests clearly suggest that there is a strong unit root in agricultural commodity prices. In addition, the empirical findings from the fixed effects panel data, panel co-integration analysis, the Panel-Wald Causality tests, and the common correlated effects mean group estimations strongly show that the world oil price and the weak USD have positive impacts on almost all agricultural commodity prices. There are also retained the adjuvant effects of the escalatory perceived global market risk upon most agricultural commodity prices.https://agricecon.agriculturejournals.cz/artkey/age-201407-0006_the-linkage-between-oil-and-agricultural-commodity-prices-in-the-light-of-the-perceived-global-risk.phpoil pricespanel data estimationsthe vix |
| spellingShingle | Giray GOZGOR Baris KABLAMACI The linkage between oil and agricultural commodity prices in the light of the perceived global risk Agricultural Economics (AGRICECON) oil prices panel data estimations the vix |
| title | The linkage between oil and agricultural commodity prices in the light of the perceived global risk |
| title_full | The linkage between oil and agricultural commodity prices in the light of the perceived global risk |
| title_fullStr | The linkage between oil and agricultural commodity prices in the light of the perceived global risk |
| title_full_unstemmed | The linkage between oil and agricultural commodity prices in the light of the perceived global risk |
| title_short | The linkage between oil and agricultural commodity prices in the light of the perceived global risk |
| title_sort | linkage between oil and agricultural commodity prices in the light of the perceived global risk |
| topic | oil prices panel data estimations the vix |
| url | https://agricecon.agriculturejournals.cz/artkey/age-201407-0006_the-linkage-between-oil-and-agricultural-commodity-prices-in-the-light-of-the-perceived-global-risk.php |
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