World Oil And Agricultural Commodity Prices Economics Essay

Natanelov et.al ( 2011 ) have investigate is at that place co-movement of agricultural trade goods hereafters monetary values and rough oil. This survey focused on monetary value motion between petroleum oil hereafters and series of agricultural trade goods and gold hereafters. A comparative model is applied to place alterations in relationships through clip and assorted co-integration methodological analysiss and causality trial are employed. The informations used in the survey comprises monthly hereafters monetary values of rough oil, chocolate, java, maize, soya beans, soybean oil, wheat, rice, sugar, and gold starting from July 1989 until February 2010. The Augment Dickey-Fuller ( ADF ) trial and the Philips-Perron ( PP ) trial are used to find whether the series are stationary. Furthermore, the Johansen co-integration, causality, causality from Vector Error Correction Model ( ECM ) and Threshold co-integration has been used to find the relationship between petroleum oil hereafters with each agricultural trade goods hereafters monetary values. In general, they found that mature and good established trade good hereafters markets exhibit co-movement with rough oil in the long tally.

Oil monetary value, agricultural trade good monetary values, and the dollar: A panel co-integration and causality analysis

Nazalioglu and Soytas ( 2011 ) have studied the dynamic relationship between universe oil monetary values and 24 universe agricultural trade good monetary values accounting for alterations in the comparative strength of US dollar in a panel scene. The method such as panel unit root, panel co-integration and Ganger causality has been applied in this survey and a panel of 24 agricultural merchandises based on monthly monetary values from January 1980 until February 2010. They found that the oil monetary values and the exchange rate are of import factors that determine the long-term behaviour of the agricultural trade good monetary values. Furthermore, they have strong grounds to turn out the impact of the oil monetary values on agricultural trade good monetary values and the positive impact of a weak dollar on agricultural trade good monetary values.

World oil and agricultural trade good monetary values: Evidence from nonlinear causality

Saban Nazlioglu ( 2011 ) has investigated the monetary value transmittal from the universe oil monetary values to the cardinal agricultural trade good monetary values ( maize, soya beans, and wheat ) with hebdomadal informations from 1994-2010. In this survey, both additive and nonlinear Granger causality method that Toda-Yamamoto additive Granger causality trial and Diks-Panchenko nonlinear Granger causality trial has been applied. The empirical analysis nowadayss 3 cardinal findings ( I ) the additive Granger causality analysis supports the neutrality hypothesis which means that the oil and agricultural trade good monetary values do non act upon each other, ( two ) the nonlinear Granger causality trial shows that there are nonlinear causal linkages between the oil and the agricultural trade good monetary values, and in conclusion ( three ) the nonlinear causality from the oil monetary values to maize and soya beans monetary values seems to be rigorous. The findings from this survey demo the cardinal points for better apprehension of agricultural trade good monetary values and some policy deductions for authorities, husbandmans, and planetary investors.

The impact of crude oil monetary values on vegetable oil monetary values: Evidence from co-integration trials

Hameed and Arshad ( 2009 ) have investigated the long term relationship between crude oil monetary values and vegetable oil monetary values from January until March 2008. The Engle-Granger two-stage appraisal process is applied to prove the co-integration among the crude oil, thenar, soya bean, sunflower and rapeseed oils monetary values. Co-integration Trials was conducted utilizing Johansen & A ; acirc ; ˆ™s maximal likeliness attack to prove the relationship between crude oil oil monetary value and each of the vegetable oils. In the short tally, both trials reject the absence of a co-integrating relationship between the petroleum oil and vegetable oil monetary values series at the degree of 0.05 whereas the monetary values tended to travel towards this equilibrium relationships in the long run.In this survey, they found that there exist long tally equilibrium and unidirectional causality from crude oil monetary value to each selected vegetable oil monetary values and the turning monetary value of crude oil is significance in the vegetable oils complex.

Analyzing The Long Term Relationship Between Crude Oil And Food Commodity Prices: Co-integration And Causality

Ghaith and Awad ( 2011 ) have investigate the possible long-run relationship between the monetary values of rough oil and nutrient trade goods represented by corn, wheat, sorghum, soya bean, barley, linseed oil, soybeal oil and thenar oil. The period chosen for this survey started from January 1980 until December 2009. Method of clip series econometric techniques have been applied in this trial is Unit root trials, Co-integration, and Granger causality. The consequences of this survey reveal that there is a strong grounds of long-run relationship between petroleum oil and the nutrient trade goods monetary values. A traditional Granger Causality is used to look into whether causality exists between two merchandise monetary values. The result suggests that there is a long-term relationship between crude oil and nutrient trade goods under scrutiny in this survey at the 0.05 degree of significance and better, except for rice at 0.1. Error-Correction Model is presented in order to look into the theoretical account. The consequence of ECM, the mistake rectification term for all variables holds the correct mark which show a unidirectional causality between the monetary values crude oil and some of the nutrient trade goods under scrutiny.

A Time Series Analysis of the Relationship Between Total Area Planted, Palm Oil Price and Production of Malayan Palm Oil

Asari et Al ( 2011 ) have analyzed the relationship between entire country planted and palm oil monetary value with production of palm oil. Time series analysis method such as Johansen co-integration, mistake rectification theoretical account and Granger causality trial were applied to gauge those relationships. This studied developed a simple theoretical theoretical account that integrates the factor that influence the production of palm oil in Malaysia by 37 observations of palm oil production, entire country planted and palm oil monetary value from 1972 to 2008. The findings show that both research workers achieved both research aims and the production of palm oil in Malaysia can act upon its monetary value degree. Furthermore, the consequences show that there is no causality relationship between entire country planted and the production of palm oil in Malaysia. In the short tally, the entire country planted and palm oil production does non act upon each other. By the manner, there is negative relationship between the production of palm oil with the entire country planted and palm oil monetary value. They believe that there are other factors that may impact the public presentation of the palm oil production in Malaysia.

Analysis Of Price Trends Of Crude Oil, Agricultural Commodities And Policy Choices Of Biofuels In Developing States

Guo et Al ( 2011 ) have analyzed the monetary value tendencies of rough oil and agricultural trade goods monetary values in developing states. This survey was carried out from July 2001 until June 2011. The unit root trial method Augmented Dickey Fuller ( ADF ) Test was used to proving series of the petroleum oil monetary values on the monetary values of soya beans, maize and wheat. The consequences show that ADF trial statistics are all less than the trial critical values, and the first-order differential value of the variables is stable. The consequences show that the clip series are stable. Hence, the causality relationship between grain monetary values and rough oil monetary value can be continued to prove. Next, the Granger causality trial has been applied to prove the relationship between petroleum oil monetary values on selected agricultural trade goods monetary values. The findings show that there are close relationship between them, and the fluctuations of agricultural trade goods monetary values is the consequences of rough oil monetary value alterations. They determined that because of the scarceness of petroleum oil resources, rough oil monetary value increasing is inevitable. Harmonizing to the monetary value tendencies of rough oil and agricultural trade goods in international market, developing states should do their ain policies of bio-fuels mentioning to the experience of developed states, while establishing on their resources and socio-economic conditions.

The Relationship Between Oil, Exchange Rate and Commodity Prices

Harri, Nalley and Hudson ( 2009 ) look into the relationship between oil, exchange rate, and trade good monetary values. This survey carried out from January 2000 to September 2008 clip periods. The consequences for ADF unit root trials confirm the deficiency of stationary in degrees for all series. Furthermore, the presence of co-integrating dealingss between the petroleum oil with maize, soya beans, soybean oil, cotton and wheat could be determined. Besides that, AIC and SBC standards were used to first find the slowdown length for the brace wise dealingss. The consequences show that the slowdown length is four for maize, soya beans, and soybean oil and two for cotton and wheat. This consequence indicates that there were longer dynamic dealingss between petroleum oil and maize, soya bean oil than between rough oil and cotton and wheat. Subsequently, wheat is excluded from farther analysis. Following, the presence of co-integrating dealingss between petroleum oil, maize and exchange rates was tested. Johansen co-integrating trials were applied and the consequences show two instances, one where a invariable is included in the mistake rectification constituent but non in the autoregressive constituent of the Vector Auto Regression ( VAR ) theoretical account. The other instance allows for a changeless to be included in the autoregressive constituent of the VAR theoretical account but non in the mistake rectification constituent. So, this first co-integrating relation was interpreted as the 1 between maize, petroleum oil and the exchange rate whereas the 2nd co-integration relation as a relationship between the exchange rate and petroleum oil. The consequences was fail to reject the premise of normalcy, homoscedasticity and no autocorrelation in the remainders for the three equations. Hence, the trials of weak exogenic show that the void hypothesis can non be rejected at the 5 % degree of significance for petroleum oil when it is rejected for maize and the exchange rate. As a consequence, the presence of co-integrating dealingss between selected agricultural trade goods such as maize, soya beans, soybean oil and cotton and rough oil and exchange rate was tested. The consequences suggest that all of these monetary values are interrelated.

Factors Affecting the Performance of Indonesia & A ; acirc ; ˆ™s Crude Palm Oil Export

Sulistyanto and Akyuwen ( 2011 ) look into the factors that impacting the public presentation of CPO export. This studied was carried out during the 1990-2007 periods in Indonesia. The chief tool of analysis was multiple arrested developments with 38 old ages data. There are 5 variables which have important impacts on the CPO export volume such as export funding, CPO export monetary value, negative run, soybean oil and sunflower oil monetary value. Furthermore, variables which have no impacts are domestic CPO monetary value, domestic CPO ingestion, CPO production volume, and exchange rate, per capita GDP of the chief importer states, rough oil monetary values and deregulating policy. The export funding has positive impact on CPO export volume, while the monetary value has negative impact. They found that the export volume is elastic to the CPO monetary value in the universe market. The rise of CPO monetary value is determined by assorted factors include rough oil monetary value and economic conditions. Until 2006, the CPO monetary value is strongly determined by the other vegetable oil monetary values, particularly soybean. Since 2007, the dominant factor is the demand for biodiesel and the rise of rough oil monetary value. If compared to the other vegetable oils, the CPO is the most suited vegetable oil to replace rough oil as the energy beginning.

Analyzing the Evolving Correspondence Between Petroleum Prices and Agricultural Commodity Prices

Campiche et Al ( 2007 ) have examined the germinating correspondence between crude oil monetary value and agricultural trade goods monetary values. This survey carried out during the 2003-2007 clip periods. Co-integration trial such as Johansen attack and the Engle Granger attack was besides employed to analyse issues associated with non-stationary clip series informations, while avoiding the job of specious arrested development. The co-integration trial revealed that none of the agricultural trade good monetary value series were co-integrated with the petroleum oil monetary value during the 2003-2005 clip frames. However, maize and soya bean monetary values were co-integrated with the petroleum oil monetary value during the 2006-2007 clip periods. The unit root trial method Augmented Dickey Fuller ( ADF ) Test was used to proving series which indicated that all variables were non-stationary in degrees and stationary in first differences. The Schwarz Information Criterion ( SIC ) indicated an optimum slowdown length of one. Trials for weak exogenic indicated that the rough oil monetary value was weakly exogenic in both co-integrating relationships. A thorough apprehension of the inter-relationship among the monetary values of agricultural trade goods and dodo monetary values is indispensable for manufacturers and policy shapers to do determination.

Revisiting the Palm Oil Boom in Southeast Asia ( The Role of Fuel versus Food Demand Drivers )

Drum sanders et Al ( 2012 ) have examined the relationship among palm oil monetary values, soybean oil monetary values and rough oil monetary values. The analysis used the clip series from 1980 to 2010 and use different clip series based econometric theoretical accounts to place interactions among the three monetary value series in order to cast visible radiation on the cause of the growing of palm oil demand. Two theoretical accounts of oil monetary value systems have been estimated that a simple Vector Auto Regression ( VAR ) theoretical account dainties all three monetary values every bit stationary every bit good as and a Vector mistake Correction theoretical account ( VECM ) that allows co-integration among the three monetary values. VAR and VECM find that palm oil monetary values do non look to react to short-term fluctuations in rough oil monetary values. Even though, the palm oil monetary values are a map of lagged thenar oil monetary values and current and lagged soybean oil monetary values in the short tally. Consequently, short-term fluctuations in rough oil monetary values do non look to be a driver of the roar in the thenar oil productions while short-term fluctuations in the soybean oil monetary values do affect handle oil markets. The VECM theoretical account besides indicates a long-term equilibrium relationship among monetary values of palm oil, soya bean oil and petroleum oil. Palm oil monetary values and rough oil monetary values are negatively correlated in the long tally. These consequences show that a potentially of import relationship in short and long tally between palm oil markets and soybean oil markets, but this analysis does non indicate to the rough oil market as an of import driver of palm oil roar.

An Economic Analysis of the Malayan Palm Oil Market

Talib and Darawi ( 2002 ) described the national theoretical account of the Malayan thenar oil market and besides identified the of import factors that impacting the Malayan thenar oil industry from 1970 until 1999. Ordinary Least Squares ( OLS ) was applied to gauge the country, output, domestic ingestion, exports and imports equations. The equations were estimated with the premise of independency among the exogenic variables and mistake footings with nothing mean and changeless discrepancy. But, since the equations contain lagged dependant variables, OLS outputs biased estimations since the remainders are auto-correlated. So, a trial for the incidence of auto-correlation was used in these equations. Yet, the two phases least squares ( 2SLS ) method is more suited compared to OLS. The ground is some of the equations were besides determined by endogenous variables. , F-statistic, t-statistic, Durbin-Watson ( DW ) and Durbin-h trials were used to measure the estimated theoretical account. The Durbin-h statistic was used to prove for first-order autocorrelation when a lagged dependant variable was included as an explanatory variable in the arrested development. Both the OLS and 2SLS method estimations of entire country equation show the values of the F-statistic, SEE and are statistically acceptable. However, the Durbin-h statistic can non be computed due to the figure in the square root expression was negative figure. Therefore, Lagrange multiplier ( LM ) was used to prove for the presence of first-order autocorrelation. The consequences indicate that the alteration in either palm oil or natural gum elastic monetary value is non really of import in finding the entire country of oil thenar in Malaysia, even in the long tally. Both OLS and 2SLS method estimations of output equation are statistically acceptable. Value of is merely 38 % of the fluctuation in oil thenar outputs during the sample period is explained by the specified variables. LM trial shows that there is no strong grounds of first-order auto-correlation. The appraisal of ingestion equations shows that given a 10 % addition in industrial production index, the domestic ingestion would merely increased by 3 % in the short tally. The coefficient of the current monetary value of palm oil is negative while the coefficient of current monetary value of coconut oil follows the expected mark. On the other manus, both coefficients are non statistically important which implies that the ingestion degree of palm oil does non simply depend on the degrees of both monetary values. The appraisal of exports equations show that the Durbin-h and LM test reveal no grounds of consecutive correlativity in the consequences. The consequences of the imports equations show that the coefficient of the Malayan industrial production is found to be positive and statistically important at 1 % degree. Subsequently, the appraisal consequences of the Malayan thenar oil market theoretical account are statistically acceptable and have identified many of import factors related to country and output of oil thenar in Malaysia, every bit good as domestic ingestion, exports, and imports of palm oil.

Monetary value Discovery through Crude Palm Oil Futures: An Economic Evaluation

Arshad and Mohamed ( 1994 ) have investigated the forward pricing efficiency of the local petroleum thenar oil ( CPO ) hereafters market from 1983 to 1992. The comparative prognostic power of hereafters monetary value is compared with the assorted prognosiss estimated from proved calculating techniques like traveling norm, exponential smoothing, Box Jenkins and econometric. Traditional Efficient Market Model has been applied in this survey in order to prove the hypothesis that hereafters monetary values reflecting the subjective through rational outlook of bargainers, are indifferent estimations of hereafters topographic point monetary values. Furthermore, this survey besides compares the monetary value public presentation of assorted months of CPO hereafters contract one to five months before bringing. The consequences shows that the shorter the hereafter contract which indicate that the shorter is clip distance between the citing day of the month of the future monetary value and bringing day of the month, the higher is the value of. The standard mistake additions as the clip distance is further from bringing day of the month. The Durbin Watson ( DW ) statistics besides shows there is no consecutive correlativity for all the months before bringing. Nevertheless, F-statistic is important at 5 % important degrees. Rausser and Carter Efficient Market Model was applied in order to happen the best prediction theoretical account which would be the 1 that produces the lowest, RMPSE and U-statistic. The consequences found that the hereafters monetary value quoted on month progress provides a comparatively accurate prognosis of topographic point monetary values with RMSE of 109.83, RMPSE of 9.94 and U-Statistic of 0.25. Traveling Average theoretical account was the alternate theoretical account which produces the prognosis of topographic point monetary values with RMSE of 64.39, RMPSE of 5.79 and U-Statistics of 0.5. Box-Jenkins and the smoothing techniques was besides used and the consequences provide less impressive prognosiss with U-statistics runing between 0.91 – 0.94. Traveling norm for hereafters monetary value fail to supply good consequences as the prognostic statistics are comparatively big which the U-statistic are more than 1. As a consequence, the future monetary value outperforms the other techniques in calculating forward monetary value which indicate that the nearer the adulthood day of the month its prediction ability improves significantly.

Progress Accuracy of CPO Price Prediction: Evidence from ARMA Family and Artificial Neural Network Approach

Karia and Bujang ( 2011 ) have done a prediction of CPO monetary values on day-to-day, hebdomadal and monthly CPO monetary value over the period of survey from January 2006 to December 2010 in Malaysia. The Box Jenkins and Neutral Network were used to calculate the CPO monetary value. The consequences show that impersonal web achieve lower MSE as compared to ARIMA ( 2,1,1 ) . Therefore, the theoretical account of ARIMA ( 2,1,1 ) is non suited to calculate day-to-day CPO monetary values which in bend, the impersonal web is better in calculating day-to-day CPO monetary value. On the other manus, the public presentation of impersonal web degrades when it comes to mensurating the hebdomadal and monthly informations of CPO monetary values. Box Jenkins show much better in calculating public presentation when it comes to weekly and monthly footing. In a hebdomadal information, the Box Jenkins produces 0.0001 of the MSE in the ARIMA ( 1,1,0 ) theoretical account which indicate smaller mistakes than impersonal web with MSE of 0.1171. In a monthly footing, the consequences suggest that the ARMA ( 1,1 ) show better consequence as compared to ANN as 0.0192 & A ; lt ; 0.0318. So, ARMA ( 1,1 ) theoretical account is more appropriate in order to calculate monthly CPO monetary values. Therefore, Box Jenkins merely gives better anticipation when the anticipation trades with the low frequence of the clip series informations. So, it is best to carry on fuzzed logic attack in order to bring forth more accurate anticipation when there is being of the additive and nonlinear form in the clip series.

Mutualities in the energy-bioenergy-food monetary value systems: A co-integration analysis

Ciaian and Kancs ( 2011 ) have investigated the mutualities between the energy, bio-energy and nutrient monetary values. They have developed a vertically incorporate multi-input, multi-output market theoretical account with 2 channels of monetary value transmittal that a direct bio-fuel channel and an indirect input channel. The theoretical has been test by using time-series analytical mechanisms to 9 major traded agricultural trade good monetary values, including wheat, rice, maize, sugar, cotton, soya beans, banana, tea, and sorghum along with one leaden mean universe petroleum oil monetary value. The information consists of 783 hebdomadal observations from January 1994 until December 2008. The econometric attack such as Augmented Dickey-Fuller ( ADF ) and Philips Perron ( PP ) unit root trial were applied. Both ADF and PP unit root trials of first differences reject the nothing of a unit root for the 10 monetary values and suggest that nine agricultural trade good and rough oil monetary values in all three periods are integrated of order one. Furthermore, the Johansen co-integration, causality from Vector Error Correction Model ( ECM ) and Granger causality have been used to find the relationship between petroleum oil hereafters with each agricultural trade goods prices.As a consequence, the monetary values of rough oil and agricultural trade goods are mutualist from the analysis and there is a long-term Granger causality from oil to agricultural trade good monetary values, but non frailty versa.

Probability Distribution of Return and Volatitlity in Crude Oil Market

Tung and Hai ( 2008 ) look into the returns and volatility of rough oil market. This survey carried out from January 1, 1986 to December 31, 2007 clip periods. Probability distribution techniques were applied to find whether there are any chance distribution differences exist in returns and volatility of rough oil market. Using these techniques, possible prejudices which ensuing from merely looking at the mean, standard divergence of returns and pretermiting the other parametric quantities of the distribution can be voided. First, the clip series of day-to-day returns for rough oil market was examined and the consequences show the upper limit and minimal returns are 0.4367 and -0.4035. This may propose the presence of crisp discontinuities in the series. In order to expose the chance distribution of day-to-day returns more clearly, chance distribution for the clip series of day-to-day returns was constructed. Histogram method by grouping the entire samples into 100 intervals was adopted in order to build the chance distribution. In order to further analyse the features of the chance distributions, Gaussian map was being chosen to suit original day-to-day returns. The consequences show that the mean return for rough oil market is 0.0244, with a standard divergence of 0.0290. The consequences show that the distribution is somewhat left-skewed ( with a lopsidedness of -0.0115 ) and lepto-kurtosis ( with a kurtosis of 37.9153 ) . Besides, the Jarque-Bera trial statistic and its matching p-value which is important at 0.05 demoing that void hypothesis of a normal distribution are rejected. The rough oil market is an unstable and volatile market, after gauging the extremum and breadth of the volatility of the log-normal distribution. All these findings are of import to market bargainers and fudging schemes.