Price transmissions between food and oil

Download

index.pdf

Date

2010

Author

Kaltalıoğlu, Müge

Metadata

Show full item record

Item Usage Stats

171
views

65
downloads

The upward movement in oil and food prices in the 2000s has triggered interest in the information transmission mechanism between the two markets. This research investigates the volatility spillover between oil, food, and agricultural raw material price indexes for the period January 1980 to April 2008. The results of the Cheung-Ng procedure show that variation in oil prices does not Granger cause the variance in food and agricultural raw material prices. However, there is bi-directional spillover between agricultural raw material and oil markets. Besides, it examines volatility spillover between maize, wheat, soybean, rice, and oil spot prices for the period January-1998 to February-2009. The results show that volatility spillover in oil returns leads fluctuations in maize, soybean, wheat, and rice returns in 3 months. In addition, there are bi-directional spillovers between oil and soybean returns, rice and wheat returns. This topic is essential for countries whose populations grow rapidly because forecasting of commodity prices plays an important role in instituting the economic policy. Also, understanding the dynamics of the economy leads to better economic policies. Thus, results are important for investors and policy makers interested in price shocks and transmission.

Subject Keywords

Economic policy.

URI

http://etd.lib.metu.edu.tr/upload/12612708/index.pdf
https://hdl.handle.net/11511/20314

Collections

Graduate School of Social Sciences, Thesis

Suggestions

OpenMETU
Core

Volatility Spillover from Oil to Food and Agricultural Raw Material Markets Kaltalıoğlu, Müge; Soytaş, Uğur (2011-05-01) The upward movement in oil and food prices in the 2000s has attracted interest in the information transmission mechanism between the two markets. This paper investigates the volatility spillover between oil, food consumption item, and agricultural raw material price indexes for the period January 1980 to April 2008.The results of the Cheung-Ng procedure show that variation in oil prices does not Granger cause the variance in food and agricultural raw material prices. Since there is no volatility spillover f...
Exchange rate pass-through and inflation targeting Gülşen, Eda; Özmen, Erdal; Department of Economics (2009) In this study, we aim to investigate the impact of inflation targeting (IT) and the recent global disinflation on exchange rate pass-through (ERPT) using quarterly data from 1980:1 to 2009:1 for 51 industrial and emerging market (EM) countries. To this end, we employ not only the conventional panel data estimation methods but also the recent Common Correlated Effects Pooled estimation procedure by Pesaran (2006) which allows estimating the impact of common global shocks such as global inflation. We also exp...
Optimal monetary policy and the timing of asset trade in open economies Senay, Ozge; Sutherland, Alan (2007-05-01) This paper analyses the timing of asset trade and its implications for monetary policy and welfare in open economies. Optimal policy is shown to differ significantly depending on whether asset trade takes place before or after policy decisions are made.
Mathematical modeling for energy policy analysis Kat, Bora; Güven, Yusuf Çağlar; Voyvoda, Ebru; Department of Industrial Engineering (2011) As is now generally accepted, climate change and environmental degradation has largely been triggered by carbon emissions and energy modeling for policy analysis has therefore attained renewed urgency. It is important for governments to satisfy emission targets and timetables set down by international agreements without disregarding macroeconomic concerns and restrictions. In this study, we present a large-scale nonlinear optimization model that allows the analysis of macroeconomic and multi-sectoral energy...
Do Stock Index Futures Affect Economic Growth? Evidence from 32 Countries Şendeniz Yüncü, İlkay; Aydoğan, Kürşat (2018-01-26) This article investigates the relationship between stock index futures markets development and economic growth using time-series methods for 32 developed and developing countries. Evidence of cointegration between stock index futures and real economy in 29 countries suggests the presence of co-movements among the variables, indicating long-run stationarity in those countries. Our findings show that there is Granger-causality from stock index futures markets development to economic growth for middle-income c...

Citation Formats

M. Kaltalıoğlu, “Price transmissions between food and oil,” M.B.A. - Master of Business Administration, Middle East Technical University, 2010.