Elasticity of Agricultural Prices in Russia: An Empirical Study of Energy and Monetary Channels

Dmitry Burakov

International Journal of Energy Economics and Policy, 2016, vol. 6, issue 3, 551-562

Abstract: In this paper, we investigate long- and short-term direct and indirect impact of changes in oil prices (including shocks to exchange rate) and bank lending policy (interest rate channel) on prices of six groups of agricultural products in Russia (buckwheat, potatoes, oat, wheat, rye, barley). In this paper, Granger causality approach is applied to test long-run interlinkages with monthly data from January 1999 to October 2015. For testing the response of agricultural prices to sudden shocks in oil prices, exchange rate and interest rates for agricultural loans in the short-run, we use impulseresponse techniques. The results of impulse response analysis show that agricultural prices are not particularly sensitive to changes in oil prices, exchange rate of Russian ruble and banks interest rates in short-run, except for imported and not subsidized commodities. In the long-run, Granger causal relationship test shows same results

Keywords: Agricultural Commodity; World Oil Prices; Exchange Rate; Interest Rate; Granger Causality Test; Impulse Response Analysis (search for similar items in EconPapers)
JEL-codes: F31 Q1 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2016-03-21

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