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.


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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 ...
The Effects of exchange rates, oil prices, global risk perceptions and global warming on food prices
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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...
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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...
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.