Oil and Food Prices Co-integration Nexus for Indonesia: A Non-linear Autoregressive Distributed Lag Analysis

Rizgar Abdlkarim Abdlaziz, Khalid Abdul Rahim and Peter Adamu
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Rizgar Abdlkarim Abdlaziz: Darbandixan Technical Institute, Sulaimani Polytechnic University, Iraq, Faculty of Economics and Management, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia
Khalid Abdul Rahim: Faculty of Economics and Management, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia
Peter Adamu: Faculty of Economics and Management, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia, Department of Economics, Kaduna State University, Kaduna, Nigeria

International Journal of Energy Economics and Policy, 2016, vol. 6, issue 1, 82-87

Abstract: This paper examines the relationship between the prices of oil and food price for Indonesia using non-linear autoregressive distributed lag (NARDL) method. The bound test for co-integration for the NARDL model shows the evidence of co-integration between food price, growth rate of gross domestic product and oil price. The estimated NARDL for the oil price in domestic currency provides strong evidence of long- and short-run co-integration between food and oil price when the latter increases while the relations for oil price reduction is not present and insignificant. The estimators of positive change in oil price model measured in US Dollar are significant in our study.

Keywords: Oil Price; Food Price; Non-linear Autoregressive Distributed Lag; Indonesia (search for similar items in EconPapers)
JEL-codes: B4 E3 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (21)

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