Conference Paper

Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price

Volume: 3 Number: 3 September 1, 2013
  • Aynur Pala
International Journal of Energy Economics and Policy Cover
International Journal of Energy Economics and Policy
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Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price

Abstract

This papers investigated form of the linkage beetwen crude oil price index and food price index, using Johansen Cointegration test, and Granger Causality by VECM. Empirical results for monthly data from 1990:01 to 2011:08 indicated that evidence for breaks after 2008:08 and 2008:11. We find a clear long-run relationship between these series for the full and sub sample. Cointegration regression coefficient is negative at the 1990:01-2008:08 time period, but adversely positive at the 2008:11-2011:08 time period. This results represent that relation between crude oil and food price chanced.

Keywords

Details

Primary Language

English

Subjects

Engineering

Journal Section

Conference Paper

Authors

Aynur Pala This is me

Publication Date

September 1, 2013

Submission Date

September 1, 2013

Acceptance Date

-

Published in Issue

Year 2013 Volume: 3 Number: 3

IZ

https://izlik.org/JA45BN24CB

Cite

RIS / Bibtex
APA
Pala, A. (2013). Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price. International Journal of Energy Economics and Policy, 3(3), 238-246. https://izlik.org/JA45BN24CB
AMA
1.Pala A. Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price. IJEEP. 2013;3(3):238-246. https://izlik.org/JA45BN24CB
Chicago
Pala, Aynur. 2013. “Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price”. International Journal of Energy Economics and Policy 3 (3): 238-46. https://izlik.org/JA45BN24CB.
EndNote
Pala A (September 1, 2013) Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price. International Journal of Energy Economics and Policy 3 3 238–246.
IEEE
[1]A. Pala, “Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price”, IJEEP, vol. 3, no. 3, pp. 238–246, Sept. 2013, [Online]. Available: https://izlik.org/JA45BN24CB
ISNAD
Pala, Aynur. “Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price”. International Journal of Energy Economics and Policy 3/3 (September 1, 2013): 238-246. https://izlik.org/JA45BN24CB.
JAMA
1.Pala A. Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price. IJEEP. 2013;3:238–246.
MLA
Pala, Aynur. “Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price”. International Journal of Energy Economics and Policy, vol. 3, no. 3, Sept. 2013, pp. 238-46, https://izlik.org/JA45BN24CB.
Vancouver
1.Aynur Pala. Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price. IJEEP [Internet]. 2013 Sep. 1;3(3):238-46. Available from: https://izlik.org/JA45BN24CB