Energy and Grains Prices Cointegration and Causality Linkage
Fjona Zeneli ()
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Fjona Zeneli: Department of Environmental Science and Policy, University of Milan, 20133 Milan, Italy
Commodities, 2022, vol. 1, issue 2, 1-14
Abstract:
Energy and grain markets are historically connected since oil, natural gas, and/or coal are used as inputs for fertilizers’ production or transportation costs. The recent rising prices in the energy market following important events such as the COVID-19 pandemic and the Russia-Ukraine conflict have again brought attention to researchers. The focus of this paper is to assess any changes in the relationships between crude oil, natural gas, and grain prices contributing to the review of the fuel-food relationship using time series models. Several techniques that account for structural breaks and regime shifts (Zivot-Andrews and Clemente, Montañés, Reyes unit root tests, Johansen’s cointegration test, and Toda-Yamamoto time domain causality test with time dummy variables for structural breaks, and Hatemi-J asymmetric causality test) are applied for monthly data covering the period from January 1982 to September 2022. The main result is that the neutrality hypothesis is still valid in light of recent developments in the respective markets (no significant linear causality and asymmetric causality were detected among the series).
Keywords: crude oil price; natural gas price; grain price; cointegration; causality (search for similar items in EconPapers)
JEL-codes: C0 C1 C2 C3 C4 C5 C6 C7 C8 C9 D4 E3 E6 F0 F1 F3 F4 F5 F6 G1 O1 O5 Q1 Q2 Q4 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jcommo:v:1:y:2022:i:2:p:11-180:d:997528
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