World oil prices and agricultural commodity prices: Evidence from an emerging market

Date

2011-05-01

Author

NAZLIOĞLU, ŞABAN
Soytaş, Uğur

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Oil prices are thought to have direct effect on agricultural prices followed by an indirect effect through the exchange rate. This paper examines the short- and long-run interdependence between world oil prices, lira-dollar exchange rate, and individual agricultural commodity prices (wheat, maize, cotton, soybeans, and sunflower) in Turkey. To this end, the Toda-Yamamoto causality approach and generalized impulse-response analysis for identification of the long- and short-run interrelationships are applied to the monthly data spanning from January 1994 to March 2010. The impulse-response analysis suggests the Turkish agricultural prices do not significantly react to oil price and exchange rate shocks in the short-run. The long-run causality analysis reveals that the changes in oil prices and appreciation/depreciation of the Turkish lira are not transmitted to agricultural commodity prices in Turkey. Hence, our results support neutrality of agricultural commodity markets in Turkey to both direct and indirect effects of oil price changes.

Subject Keywords

Oil Prices, Exchange Rates, Agricultural Commodity Prices

URI

https://hdl.handle.net/11511/36964

Journal

ENERGY ECONOMICS

DOI

https://doi.org/10.1016/j.eneco.2010.11.012

Collections

Department of Business Administration, Article

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Citation Formats

Ş. NAZLIOĞLU and U. Soytaş, “World oil prices and agricultural commodity prices: Evidence from an emerging market,” ENERGY ECONOMICS, pp. 488–496, 2011, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/36964.