THE CAUSALITY BETWEEN AGRICULTURAL RAW MATERIALS AND ECONOMIC POLICY UNCERTAINTY: EVIDENCE FROM THE TIME-VARYING GRANGER CAUSALITY

Abstract

This paper aims to examine the time-varying dynamics of the causality interaction between agricultural raw materials commodity prices and the US economic policy uncertainty (EPU). To this end, we use monthly data for the period spanning from January 1992 to November 2021. We employ a time-varying Granger causality test to provide empirical evidence about the time-varying dynamics of the causality interaction and thereby revealing potential heterogeneities of these interactions during major historical events. The results show that causality running from EPU to agricultural raw materials, as well as causality running from agricultural raw materials to EPU, exhibits time-varying dynamics. More specifically, the findings reveal that causality generally tended to run from agricultural raw materials to EPU for most of the 2000-2014 period, but reversed with the US-China trade war and the Covid-19 pandemic period. This result highlights the importance of modeling the potential causality interactions in the economic uncertainty-commodity prices nexus within a dynamic framework and implies that these interactions cannot be considered independently of the prevailing economic, political and global conditions.

Keywords

• Economic policy uncertainty
• Agricultural raw materials
• Time-varying granger causality
• Covid-19

TARIMSAL HAMMADDELER VE EKONOMİ POLİTİKASI BELİRSİZLİĞİ NEDENSELLİK İLİŞKİSİ: ZAMANLA DEĞİŞEN GRANGER NEDENSELLIK TESTİNDEN KANITLAR

Abstract

Bu çalışma, tarımsal hammadde emtia fiyatları ile ABD ekonomik politikası belirsizliği (EPU) arasındaki nedensellik etkileşiminin zamanla değişen dinamiklerini incelemeyi amaçlamaktadır. Bu amaçla, Ocak 1992 - Kasım 2021 dönemini kapsayan aylık veriler kullanılmıştır. Nedensellik etkileşiminin zamanla değişen dinamikleri hakkında ampirik kanıtlar sağlamak ve böylece önemli tarihsel olaylar sırasında bu etkileşimlerin potansiyel heterojenliklerini ortaya çıkarmak için zamanla değişen bir Granger nedensellik testi kullanıyoruz. Sonuçlar, EPU'dan tarımsal hammaddelere uzanan nedenselliğin yanı sıra tarımsal hammaddelerden EPU'ya uzanan nedenselliğin de zamanla değişen dinamikler sergilediğini göstermektedir. Daha spesifik olarak, bulgular 2000-2014 döneminin büyük bir bölümünde nedenselliğin genellikle tarımsal hammaddelerden EPU'ya doğru gitme eğiliminde olduğunu, ancak bu durumun ABD-Çin ticaret savaşı ve Covid-19 pandemi dönemi ile tersine döndüğünü ortaya koymaktadır. Bu sonuç, ekonomik belirsizlik-emtia fiyatları ilişkisindeki potansiyel nedensellik etkileşimlerinin dinamik bir çerçeve içinde modellenmesinin önemini vurgulamakta ve bu etkileşimlerin hakim ekonomik, politik ve küresel koşullardan bağımsız olarak düşünülemeyeceğini ima etmektedir.

Keywords

• Ekonomi politika belirsizliği
• Tarımsal hammaddeler
• Zamanla değişen Granger nedensellik
• Covid-19

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