Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis

Soytaş, Uğur
This study examines the dynamic relationship between world oil prices and twenty four world agricultural commodity prices accounting for changes in the relative strength of US dollar in a panel setting. We employ panel cointegration and Granger causality methods for a panel of twenty four agricultural products based on monthly prices ranging from January 1980 to February 2010. The empirical results provide strong evidence on the impact of world oil price changes on agricultural commodity prices. Contrary to the findings of many studies in the literature that report neutrality of agricultural prices to oil price changes, we find strong support for the role of world oil prices on prices of several agricultural commodities. The positive impact of a weak dollar on agricultural prices is also confirmed.


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 ...
Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis
NAZLIOĞLU, ŞABAN; Gormus, N. Alper; Soytaş, Uğur (2016-11-01)
According to literature, oil price shocks and volatility can have sector-specific impacts in the market While these studies include most asset groups, the dynamic relationship between the oil market and Real Estate Investment Trusts (REITs) has not been tested. This study examines the role of oil price shocks and volatility on six REIT categories: Residential, Hotel, Healthcare, Retail, Mortgage and Warehouse/Industrial REITs for the January 2005-December 2013 period. In addition, a new causality approach i...
Oil prices and financial stress: A volatility spillover analysis
NAZLIOĞLU, ŞABAN; Soytaş, Uğur; Gupta, Rangan (2015-07-01)
This paper examines whether there is a volatility transmission between oil prices and financial stress by means of the volatility spillover test. We employ WTI crude oil prices and Cleveland financial stress index for the period 1991-2014 and divide the sample into pre-crisis, in-crisis, and post-crisis periods due to the downward trend in oil price in 2008. The volatility model estimations indicate that oil prices and financial stress index are dominated by long-run volatility. The volatility spillover cau...
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...
Oil Prices and Emerging Market Exchange Rates
Turhan, Ibrahim; Hacıhasanoğlu, Erk; Soytaş, Uğur (Informa UK Limited, 2013-01-01)
This paper investigates the role of oil prices in explaining the dynamics of selected emerging countries' exchange rates. Using daily data series, the study concludes that a rise in oil prices leads to significant appreciation of emerging economies' currencies against the U.S. dollar. The authors divide daily returns from January 3, 2003, to June 2, 2010, into three subsamples and test the impact of changes in oil prices on exchange rate movements, generalizing impulse response functions to track the dynami...
Citation Formats
Ş. NAZLIOĞLU and U. Soytaş, “Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis,” ENERGY ECONOMICS, pp. 1098–1104, 2012, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/48544.