Linear and non-linear causality between price indices and commodity prices

Viviana Fernandez

Resources Policy, 2014, vol. 41, issue C, 40-51

Abstract: We apply linear and non-linear Granger causality tests to four U.S. price indices and 31 commodity series, which expand a 54-year period (January 1957–December 2011). We find evidence of linear Granger causality mostly from individual commodities to price indices. The latter, however, seem to Granger-cause individual commodity prices in a non-linear fashion. Overall, our estimation results show that Agricultural raw materials (cotton, hides, rubber, and wool), Beverages (coffee), Food (maize, rice, and wheat), Minerals, ores and metals (copper), and Vegetable oilseeds and oils (groundnut oil and soybean oil) display bidirectional linear and non-linear feedback effects vis-à-vis price indices. These findings suggest that not only shocks on commodity demand and supply may impact aggregate price indices, but also that non-commodity shocks, embodied in aggregate price indices, may impact commodity prices linearly and nonlinearly.

Keywords: Commodity prices; Price indices; Linear and non-linear Granger causality; Information criteria (search for similar items in EconPapers)
JEL-codes: C22 E31 O13 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420714000245
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:41:y:2014:i:c:p:40-51

DOI: 10.1016/j.resourpol.2014.02.006

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().