The Evolution of Commodity Trios Prices and Causality Equation: In Structural Break Perspective
This paper aims to examine the evolution of the commodity trios prices and relation among in structural break perspective for the period of 1991-2020. We used factor analysis, linearity, structural break, unit-root, cointegration tests and causality method were applied. Bai-Perron (2003) test resul...
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| Format: | Article |
| Language: | English |
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EconJournals
2024-03-01
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| Series: | International Journal of Energy Economics and Policy |
| Subjects: | |
| Online Access: | https://www.econjournals.com/index.php/ijeep/article/view/15587 |
| _version_ | 1797260792421154816 |
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| author | Aynur Pala |
| author_facet | Aynur Pala |
| author_sort | Aynur Pala |
| collection | DOAJ |
| description |
This paper aims to examine the evolution of the commodity trios prices and relation among in structural break perspective for the period of 1991-2020. We used factor analysis, linearity, structural break, unit-root, cointegration tests and causality method were applied. Bai-Perron (2003) test results show industrial materials, energy and food price have one break at 2003, 2004, and 2005, respectively. To catch changing causality equation parameters clearly, it was used the moving sub-break range as 2003-2008. In post-break range, equation parameters obviously differed. In pre-break range, energy and food price have a in-directional effect on materials price, but, directional in post-break range. Lastly, in post-break range, the link among commodity trios have bi-directional relation between all commodity duos unlike pre-break range.
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| first_indexed | 2024-04-24T23:30:57Z |
| format | Article |
| id | doaj.art-fdb6572054cd427f993d04de5a37ee7c |
| institution | Directory Open Access Journal |
| issn | 2146-4553 |
| language | English |
| last_indexed | 2024-04-24T23:30:57Z |
| publishDate | 2024-03-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Energy Economics and Policy |
| spelling | doaj.art-fdb6572054cd427f993d04de5a37ee7c2024-03-15T14:45:38ZengEconJournalsInternational Journal of Energy Economics and Policy2146-45532024-03-0114210.32479/ijeep.15587The Evolution of Commodity Trios Prices and Causality Equation: In Structural Break PerspectiveAynur Pala0Istanbul Okan University, Tuzla, Istanbul, Turkiye This paper aims to examine the evolution of the commodity trios prices and relation among in structural break perspective for the period of 1991-2020. We used factor analysis, linearity, structural break, unit-root, cointegration tests and causality method were applied. Bai-Perron (2003) test results show industrial materials, energy and food price have one break at 2003, 2004, and 2005, respectively. To catch changing causality equation parameters clearly, it was used the moving sub-break range as 2003-2008. In post-break range, equation parameters obviously differed. In pre-break range, energy and food price have a in-directional effect on materials price, but, directional in post-break range. Lastly, in post-break range, the link among commodity trios have bi-directional relation between all commodity duos unlike pre-break range. https://www.econjournals.com/index.php/ijeep/article/view/15587Commodity Price, Time Series, Factor Analysis, Cointegration, Causality |
| spellingShingle | Aynur Pala The Evolution of Commodity Trios Prices and Causality Equation: In Structural Break Perspective International Journal of Energy Economics and Policy Commodity Price, Time Series, Factor Analysis, Cointegration, Causality |
| title | The Evolution of Commodity Trios Prices and Causality Equation: In Structural Break Perspective |
| title_full | The Evolution of Commodity Trios Prices and Causality Equation: In Structural Break Perspective |
| title_fullStr | The Evolution of Commodity Trios Prices and Causality Equation: In Structural Break Perspective |
| title_full_unstemmed | The Evolution of Commodity Trios Prices and Causality Equation: In Structural Break Perspective |
| title_short | The Evolution of Commodity Trios Prices and Causality Equation: In Structural Break Perspective |
| title_sort | evolution of commodity trios prices and causality equation in structural break perspective |
| topic | Commodity Price, Time Series, Factor Analysis, Cointegration, Causality |
| url | https://www.econjournals.com/index.php/ijeep/article/view/15587 |
| work_keys_str_mv | AT aynurpala theevolutionofcommoditytriospricesandcausalityequationinstructuralbreakperspective AT aynurpala evolutionofcommoditytriospricesandcausalityequationinstructuralbreakperspective |