Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis
This paper examines the relationship between the prices of oil and food price for Indonesia using non-linear autoregressive distributed lag (NARDL) method. The bound test for co-integration for the NARDL model shows the evidence of co-integration between food price, growth rate of gross domestic pro...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2016
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| Online Access: | http://psasir.upm.edu.my/id/eprint/56401/1/Oil%20and%20food%20prices%20co-integration%20nexus%20for%20Indonesia%20a%20non-linear%20autoregressive%20distributed%20lag%20analysis.pdf |
| _version_ | 1796976471003103232 |
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| author | Abdlaziz, Rizgar Abdlkarim Abdul Rahim, Khalid Peter, Adamu |
| author_facet | Abdlaziz, Rizgar Abdlkarim Abdul Rahim, Khalid Peter, Adamu |
| author_sort | Abdlaziz, Rizgar Abdlkarim |
| collection | UPM |
| description | This paper examines the relationship between the prices of oil and food price for Indonesia using non-linear autoregressive distributed lag (NARDL) method. The bound test for co-integration for the NARDL model shows the evidence of co-integration between food price, growth rate of gross domestic product and oil price. The estimated NARDL for the oil price in domestic currency provides strong evidence of long- and short-run co-integration between food and oil price when the latter increases while the relations for oil price reduction is not present and insignificant. The estimators of positive change in oil price model measured in US Dollar are significant in our study. |
| first_indexed | 2024-03-06T09:26:17Z |
| format | Article |
| id | upm.eprints-56401 |
| institution | Universiti Putra Malaysia |
| language | English |
| last_indexed | 2024-03-06T09:26:17Z |
| publishDate | 2016 |
| publisher | EconJournals |
| record_format | dspace |
| spelling | upm.eprints-564012017-07-31T09:16:27Z http://psasir.upm.edu.my/id/eprint/56401/ Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis Abdlaziz, Rizgar Abdlkarim Abdul Rahim, Khalid Peter, Adamu This paper examines the relationship between the prices of oil and food price for Indonesia using non-linear autoregressive distributed lag (NARDL) method. The bound test for co-integration for the NARDL model shows the evidence of co-integration between food price, growth rate of gross domestic product and oil price. The estimated NARDL for the oil price in domestic currency provides strong evidence of long- and short-run co-integration between food and oil price when the latter increases while the relations for oil price reduction is not present and insignificant. The estimators of positive change in oil price model measured in US Dollar are significant in our study. EconJournals 2016 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/56401/1/Oil%20and%20food%20prices%20co-integration%20nexus%20for%20Indonesia%20a%20non-linear%20autoregressive%20distributed%20lag%20analysis.pdf Abdlaziz, Rizgar Abdlkarim and Abdul Rahim, Khalid and Peter, Adamu (2016) Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis. International Journal of Energy Economics and Policy, 6 (1). pp. 82-87. ISSN 2146-4553 http://www.econjournals.com/index.php/ijeep/article/view/1698 |
| spellingShingle | Abdlaziz, Rizgar Abdlkarim Abdul Rahim, Khalid Peter, Adamu Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis |
| title | Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis |
| title_full | Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis |
| title_fullStr | Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis |
| title_full_unstemmed | Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis |
| title_short | Oil and food prices co-integration nexus for Indonesia: a non-linear autoregressive distributed lag analysis |
| title_sort | oil and food prices co integration nexus for indonesia a non linear autoregressive distributed lag analysis |
| url | http://psasir.upm.edu.my/id/eprint/56401/1/Oil%20and%20food%20prices%20co-integration%20nexus%20for%20Indonesia%20a%20non-linear%20autoregressive%20distributed%20lag%20analysis.pdf |
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