The Causal Relationship between Crude Oil Price, Exchange Rate and Rice Price

Pasrun Adam (), Rosnawintang Rosnawintang, La Ode Saidi, La Tondi and La Ode Arsad Sani
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Rosnawintang Rosnawintang: Department of Economics, Universitas Halu Oleo, Kendari 93232, Indonesia
La Ode Saidi: Department of Mathematics, Universitas Halu Oleo, Kendari 93232, Indonesia,
La Tondi: Department of Economics, Universitas Halu Oleo, Kendari 93232, Indonesia,
La Ode Arsad Sani: Department of Animal Science, Universitas Halu Oleo, Kendari 93232, Indonesia

International Journal of Energy Economics and Policy, 2018, vol. 8, issue 1, 90-94

Abstract: This study aims to examine the causal relationship between crude oil price, IDR/EUR exchange rate, and rice price by using monthly data from January 2000 to September 2017. The result of data analysis using VAR model shows that there is no long-term relationship between crude oil price, IDR/EUR exchange rate, and the price of rice. The relationhip that happens is only in short-term one. Granger causality test result shows that the direction of relationship is from crude oil price and IDR/EUR exchange rate to rice price. The relationship between crude oil price and rice price is positive, while the relationship between IDR/EUR exchange rate and rice price is positive before the third month. However, this relationship turns into negative after the third month.

Keywords: Crude Oil Price; Exchange Rate; Rice Price; Vector Autoregressive Model (search for similar items in EconPapers)
JEL-codes: C58 G15 Q13 Q43 (search for similar items in EconPapers)
Date: 2018
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