Relationship Between the Prices of Grains, Crude Oil and Real Effective Exchange Rates: Evidence from Fourier Toda-Yamamoto Causality Test

Abstract

This study focuses on grain prices and their determinants in the case of Turkiye. The sustainability of grain prices matters for Turkiye since it is a significant grains importer due to the nutrition habits of its population and its significant processed grain products sector. Therefore, it is vital to portray the relationship between grain prices and their determinants. We employed a detailed causality analysis between wheat, durum wheat, corn, rye, rice, and barley prices and their significant determinants: crude oil and reel effective exchange rates (REER) between January 2003 and December 2020. We first examined unit root properties of the variables with traditional tests and more advanced Fourier ADF and Lagrange Multiplier (LM) tests; then continued with the Fourier Toda-Yamamoto (TY) causality test. The long-term causality results suggest a unidirectional causality from REER to crude oil, wheat, corn, and rye prices; from wheat, barley, and rice prices to Brent oil prices; an ongoing bidirectional causality between REER and barley, rice, and durum wheat prices.

Keywords

• Turkiye
• Grains Prices
• Crude Oil Prices
• Real Effective Exchange Rates
• Fourier Toda-Yamamoto Causality

Tahıl Fiyatları, Ham Petrol Fiyatları ve Reel Efektif Döviz Kuru İlişkisi: Fourier Toda-Yamamoto Nedensellik Testinden Kanıtlar

Abstract

Bu çalışma Turkiye örneğinde tahıl fiyatları ve belirleyicileri üzerine odaklanmaktadır. Beslenme alışkanları ve önemli büyüklükte bir işlenmiş tahıl ürünleri sektörüne sahip olması nedeniyle tahıl fiyatlarının sürdürülebilirliği Turkiye için önemlidir. Bu nedenle buğday, durum buğdayı, mısır, çavdar, pirinç ve arpa fiyatları ile bu ürünlerin belirleyicileri olan Brent petrol fiyatları ve döviz kuru değişkenleri arasındaki ilişkiyi detaylı bir nedensellik analizi ile Ocak 2003 ve Aralık 2020 dönemini kapsayan aylık veri seti ile inceledik. İlk olarak değişkenlerin birim kök özelliklerini geleneksel testlerle ve daha gelişmiş Fourier ADF ve Lagrange Çarpanı (LM) testleri ile inceledik; daha sonra ise Fourier Toda-Yamamoto (TY) testi ile devam ettik. Uzun dönemli nedensellik analizi sonuçları Brent petrol fiyatlarındaki değişmelerin yalnızca pirinç ve durum buğday fiyatlarına yansıdığını ve döviz kuru ile tahıl fiyatları arasında bir geri besleme ilişkisi olduğunu ortaya koymaktadır. Ayrıca tahıl fiyatlarındaki değişmelerin birbirini etkilediğini tespit ettik. Bulgulara göre mısır ve pirinç fiyatlarındaki değişmeler diğer tahılları etkilerken, durum buğday, çavdar ve arpa fiyatları ise geri besleme ilişkisi içerisindedir.

Keywords

• Türkiye
• Tahıl Fiyatları
• Ham Petrol Fiyatları
• Reel Efektif Döviz Kuru
• Fourier Toda-Yamamoto Nedensellik

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