Estimation the Relationship Between Crude Oil and Selected Food Products

Abstract

Purpose: Increasing food prices as a result of food crisis in 2007-2008 increased interest in this relationship in the literature. The objective of this research is to establish a causal link between crude oil and food prices by examining the prices of various food commodities, including wheat, sunflower, soybean, cotton, and corn. Design/Methodology/Approach: To explore the relationship between crude oil and food prices, a range of methodologies were employed, including the Augmented Dickey-Fuller test, Granger causality test, Johansen Cointegration analysis, vector autoregression model, vector error correction model, action and reaction analysis, and variance decomposition. Findings: The findings highlight both short- and long-term connections between the variables, as well as the influence of food prices on crude oil during the second sub-period. Originality/Value: Studies investigating the relationship between food prices and crude oil were mostly conducted through “energy”. The difference of this study is the fact that it draws attention to the impact of crude oil on food prices next to the effect of food product prices accepted as internal variable in the literature on crude oil.

Keywords

• Energy
• Granger Causality
• Food Commodities

Ham Petrol ve Seçilmiş Gıda Ürünleri Arasındaki İlişkinin Tahmini

Abstract

Amaç: 2007-2008 yıllarında yaşanan gıda krizi sonucu artan gıda fiyatları, literatürde bu ilişkiye olan ilgiyi artırmıştır. Bu araştırmanın amacı, buğday, ayçiçeği, soya fasulyesi, pamuk ve mısır gibi çeşitli gıda emtialarının fiyatlarını inceleyerek ham petrol ile gıda fiyatları arasında nedensellik ilişkisi kurmaktır. Tasarım/Metodoloji/Yaklaşım: Ham petrol ve gıda fiyatları arasındaki ilişkiyi araştırmak için, Artırılmış Dickey-Fuller testi, Granger nedensellik testi, Johansen Eşbütünleşme analizi, vektör otoregresyon modeli, vektör hata düzeltme modeli, etki ve tepki analizi ve varyans ayrıştırması yöntemleri kullanılmıştır. Bulgular: Bulgular, değişkenler arasındaki hem kısa hem de uzun vadeli bağlantıların yanı sıra ikinci alt dönemde gıda fiyatlarının ham petrol üzerindeki etkisini vurgulamaktadır. Özgünlük/Değer:Gıda fiyatları ile ham petrol arasındaki ilişkiyi araştıran çalışmalar çoğunlukla “enerji” üzerinden yapılmıştır. Bu çalışmanın farkı, literatürde içsel değişken olarak kabul edilen gıda ürünü fiyatlarının ham petrol üzerindeki etkisinin yanında, ham petrolün gıda fiyatları üzerindeki etkisine dikkat çekmesidir.

Keywords

• Enerji
• Granger Nedensellik
• Gıda Ürünleri

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