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Year 2013, Volume: 3 Issue: 3, 238 - 246, 01.09.2013

Aynur Pala

Abstract

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

Year 2013, Volume: 3 Issue: 3, 238 - 246, 01.09.2013

Aynur Pala

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

Crude oil price food price structural break VECM

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Details

Primary Language English
Subjects Engineering
Other ID JA25RD64RG
Journal Section Research Article
Authors

Aynur Pala This is me

Publication Date September 1, 2013
Published in Issue Year 2013 Volume: 3 Issue: 3

Cite

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.
AMA Pala A. Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price. IJEEP. September 2013;3(3):238-246.
Chicago Pala, Aynur. “Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price”. International Journal of Energy Economics and Policy 3, no. 3 (September 2013): 238-46.
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 A. Pala, “Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price”, IJEEP, vol. 3, no. 3, pp. 238–246, 2013.
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 2013), 238-246.
JAMA 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, 2013, pp. 238-46.
Vancouver Pala A. Structural Breaks, Cointegration, and Causality by VECM Analysis of Crude Oil and Food Price. IJEEP. 2013;3(3):238-46.