The interactions between agricultural commodity and oil prices: an empirical analysis

Ayhan Kapusuzoglu and Merve KARACAER Ulusoy
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Ayhan Kapusuzoglu: Department of Banking and Finance, Business School, Yildirim Beyazit University, Ankara, Turkey
Merve KARACAER Ulusoy: Department of Marketing, Business School, Yildirim Beyazit University, Ankara, Turkey

Agricultural Economics, 2015, vol. 61, issue 9, 410-421

Abstract: The purpose of the study is to analyse the short and long-term relationships between the world oil prices (Europe Brent Spot Price and West Texas Intermediate Spot Price) and the agricultural commodity prices (Wheat, Corn and Soybeans). The analysis is based upon the data set covering the monthly period of 1990.01-2014.05. According to the Johansen co-integration tests results, there are no long-run relationships between each agricultural commodity prices and world oil prices at the 5% significance level. On the other hand, according to the results of the Granger causality tests, there are uni-directional causality relationships from the Europe Brent and West Texas Intermediate oil prices to Wheat at the 1% and 5% significance level respectively, to Corn at the 1% and 1% significance level respectively and to Soybeans at the 1% and 5% significance level respectively. No causality relationship from the agricultural commodity prices to world the oil prices has been observed.

Keywords: causality; co-integration; commodity prices; world energy prices (search for similar items in EconPapers)
Date: 2015
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DOI: 10.17221/231/2014-AGRICECON

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