Volatility Spillover from Oil to Food and Agricultural Raw Material Markets

Download

index.pdf

Date

2011-05-01

Author

Kaltalıoğlu, Müge
Soytaş, Uğur

Metadata

Show full item record

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

Item Usage Stats

273
views

105
downloads

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 from oil markets to food andagricultural raw material markets, investors can benefit from risk diversification. However, there is bi-directional spillover between agricultural raw material and food markets.

Subject Keywords

Oil Prices, Volatility spillover , Agricultural raw material prices, Food prices

URI

https://hdl.handle.net/11511/43478

Journal

Modern Economy

DOI

https://doi.org/10.4236/me.2011.22011

Collections

Department of Business Administration, Article

Suggestions

OpenMETU
Core

World oil prices and agricultural commodity prices: Evidence from an emerging market NAZLIOĞLU, ŞABAN; Soytaş, Uğur (2011-05-01) 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 ...
Price transmissions between food and oil Kaltalıoğlu, Müge; Soytaş, Uğur; Department of Business Administration (2010) 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 ag...
Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar) KOCAARSLAN, BARIŞ; Soytaş, Uğur (2019-10-01) There is increased interest in the dynamic relationships between the stock prices of clean energy and technology firms and oil prices in the literature. Existing works suggest a time-dependent link between them, but there is a gap of knowledge regarding the drivers of this time-dependent relationship. To contribute to this literature, we first identify dynamic conditional correlations (DCCs) between the prices of clean energy and technology stocks and oil prices to investigate the nature of these dynamic co...
Exchange rate pass through into the export and import prices of Turkey Abalı, Elif Ege; Akbostancı Özkazanç, Elif; Department of Economics (2004) In this study, exchange rate pass-through into the export prices and import prices is analyzed separately at the disaggregate level. The study also attempts to differentiate exchange rate pass-through in the short-run and long-run. To analyze pass-through in the short-run, dynamic modeling is used. To analyze pass-through in the long-run, cointegration analysis is conducted. Estimation results show that exchange rate pass-through into the import prices is complete even at the disaggregate level. However, th...
The Effects of exchange rates, oil prices, global risk perceptions and global warming on food prices Dağdelen, Derya; Soytaş, Uğur; Department of Business Administration (2012) This thesis examines the relationship between food prices, oil prices, carbon emission prices, exchange rates and global risk perception. To obtain the effects of these variables on the food prices, Toda and Yamamoto procedure is employed for 5-day week daily time series covering the period February 27, 2008 and March 21, 2011. The empirical results indicate that only volatility index Granger causes food prices. Furthermore, according to results of generalized impulse response plots food prices respond to a...

Citation Formats

M. Kaltalıoğlu and U. Soytaş, “Volatility Spillover from Oil to Food and Agricultural Raw Material Markets,” Modern Economy, pp. 71–76, 2011, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/43478.