The linkage between oil and agricultural commodity prices in the light of the perceived global risk

Giray Gözgör and Baris Kablamaci

MPRA Paper from University Library of Munich, Germany

Abstract: The paper examines a systematic interrelationship between the world oil and agricultural commodity prices, taking the role of the USD and the perceived global market risks into consideration for the period from January 1990 to June 2013. The authors initially determine the significant cross-sectional dependence in a large balanced panel framework for 27 commodity prices, and then apply the second generation panel unit root (PUR) tests. Findings from the PUR tests clearly suggest that there is a strong unit root in agricultural commodity prices. In addition, the empirical findings from the fixed effects panel data, panel co-integration analysis, the Panel-Wald Causality tests, and the common correlated effects mean group estimations strongly show that the world oil price and the weak USD have positive impacts on almost all agri- cultural commodity prices. There are also retained the adjuvant effects of the escalatory perceived global market risk upon most agricultural commodity prices.

Keywords: oil prices; panel data estimations; the VIX (search for similar items in EconPapers)
JEL-codes: C23 O13 O24 (search for similar items in EconPapers)
Date: 2014-02-03
New Economics Papers: this item is included in nep-agr and nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Journal Article: The linkage between oil and agricultural commodity prices in the light of the perceived global risk (2014)
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