Estimation the Relationship Between Crude Oil and Selected Food Products

Öz

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.

Anahtar Kelimeler

• Energy
• Granger Causality
• Food Commodities

Ham Petrol ve Seçilmiş Gıda Ürünleri Arasındaki İlişkinin Tahmini

Öz

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.

Anahtar Kelimeler

• Enerji
• Granger Nedensellik
• Gıda Ürünleri

Kaynakça

1. Auer,R.,Levchenko,A.and Saure,P.(2017). International Inflation Spillovers Through Input Linkage,NBER,
2. Baffes, J. (2010). More on the energy/non-energy commodity price link. Applied Economics Letters, 17(16), 1555-1558
3. Baumeister, C.and Kilian,L.(2016)Understanding the Decline in the Price of Oil. Journal of the Association of Environmental and Resource Economists, 3:131–58
4. Balcombe, K.and Rapsomanikis, G.(2008). Bayesian estimation and selection of nonlinear vector error correction models: The case of the sugar-ethanol-oil nexus in Brazil.American Journal of Agricultural Economics, 90:658–668
5. Campiche, J., Bryant, H.,Richardson, J. and Outlaw, J.(2007).Examining the evolving correspondence between petroleum pricesand agricultural commodity prices. Paper presented at the American Agricultural Economics Association annual meeting. Portland
6. Chen, S., Kuo, H.and Chen, C.(2010). Modelling the relationship between the oil price and global food prices. Applied Energy, 87(7):2517-2525
7. Cabrera, B.L.and Schulz, F.(2016). Volatility linkages between energy and agricultural commodity prices. Energy Economıcs,54:190–203
8. Dalheimer B., Herwartz H.and Lange A .(2021).The threat of oil market turmoils to food price stability in Sub-Saharan Africa. Energy Economics, 93:1–23

9. Darwez,F.,Alharbi,F.,Ifa,A.et.al.(2023). Assessing the Impact of Oil Price Volatility on Food Prices in Saudi Arabia: Insights from Nonlinear Autoregressive Distributed Lags (NARDL) Analysis, Preprints Ding, S.and Zhang, Y.(2011). Cross market predictions for commodity prices. Econ. Model, v.91, p.455–462,2020
10. Esmaeili, A.; Shokoohi, Z. Assessing the effect of oil price on world food prices: application of principal component analysis. Energy Polıcy, 39:1022–1025
11. Engle, R.F.and Granger, C.W.J.(1987). Co-integration and error correction: representa- tion, estimation and testing. Econometrica, 55:251–276.
12. Elobeid A.,Tokgoz S., Hayes, DJ., Babcock, B.A.and Hart CE.(2007). The long-run impact of corn-based ethanol on the grain, oilseed, and livestock sectors with implications for biotech crops. Ag Bio Forum,10(1): 11-8.
13. Fowowe, B.(2016).Do oil prices drive agricultural commodity prices? Evidence from South Africa. Energy,104 :149–157.
14. Gohin, A. and Chantret, F.(2010).The long-run impact of energy prices onworld agricultural markets: the role of macroeconomic linkages. Energy Policy,38:333–339.
15. Gilbert, C.L.(2010). How to understand high food prices. J. Agric. Econ. 61:398–425.
16. Hamulczuk, M.(2016). Energy prices vs agri-food prices energy security and food security. Humanit. Soc. Sci,23: 37–51.
17. Heady, D.and Fan, S.(2012). Anatomy of a crisis: the causes and consequences of surging food prices. Agric. Econ.39:375-39.
18. Jahangir, S.R.and Dural, B.Y.(2018). Crude oil, natural gas, and economic growth: Impact and causality analysis in Caspian Sea region. Int. J. Manag. Econ. 54:.169-184.
19. Janda,K.,Krıstoufek,L.and Schererova,B.(2021).Price transmission in biofuel-related global agricultural networks,Agricultural Economics Czech,67.
20. Karakotsios, A.,Katrakilidis, C.and Kroupis, N.(2021) The dynamic linkages between food prices and oil prices. Does asymmetry matter?.The Journal of Economic Asymmetries, Elsevier, vol. 23(C).
21. Koirala, K.H.,Mishra, A.K., D'Antoni, J.M.and Mehlhorn, J.E.(2015). Energy prices and agricultural commodity prices: Testing correlation using copulas method. Energy,81: 430–436.
22. Lucotte, Y.(2016).Co-Movements between Crude Oil and Food Prices: APost Commodity Boom Perspective. Economics Letters, 147:142–47.
23. Maadid,A.A.and Caporale,G.M.(2017).Spagnolo,F.et.al. Spillovers between food and energy prices and structural breaks. International Economics,150:1-18.
24. Mawejje, J.(2018). Food prices, energy and climate shocks in Uganda. Agricultural Food Economıcs, 4:1–18.
25. Nazlioglu, S.(2011). World oil and agricultural commodity prices: Evidence from nonlinear causality. Energy Policy,39:2935–2943.
26. Nazlioglu,S.and Soytaş,U.(2012). Oil price, agricultural commodity prices, and the dollar: A panel cointegration and causality analysis.Energy Economıcs,34(4):1098-1104.
27. Nwoko, I.C., Aye, G.C and Asogwa, B.C.(2016). Effect of oil price on Nigeria's food price volatility. Cogent Food Agriculture,2: 1-14.
28. Obadi, S.M.(2014).Are food prices affected by crude oil price: causality investigation. Review of Integrative Business and Economic Research,3(1):411–427.
29. Ogede,J.S.(2022). Heterogeneous Dependence Of Oıl-Food Prıc Dynamıcs In Afrıca's Net Oıl-Exportıng Countrıes. Economics and Organization,19(1).
30. Pilorge,E.(2020). Sunflower in the global vegetable oil system: situation,specificities and perspectives. EDPsciences,27(34).
31. Su, C. W., Wang.X.Q., Tao.R.and Lobon,O.R.(2019). Do Oil Prices Drive Agricultural Commodity Price. Further Evidence in a Global Bio-Energy Context. Energy, 172: 691–701.
32. Udoh, E.and Egwaikhide, F.O.(2016). Does international oil price volatility complement Domestic food price instability in Nigeria? An empirical enquiry. Int. J. Econ. Finance Faostat.
33. Pal D.and Mitra S.(2017).Time-frequency contained co-move-ment ofcrude oil and world food prices: Awavelet-based analysis. Energy Economics, 62:230–239.
34. Pal D.and Mitra S.(2020). Time-frequency dynamics of return spillover from crude oil to agricultural commodities. Applied Economics, 52:5426–5445.
35. Pasrun, A.,Rosnawintang, R.,Saidi, L.D., Tondi, L.and Sani, L.O.A.(2018). The Causal Relationship between Crude Oil Price, Exchange Rate and Rice Price. International Journal of Energy Economy Policy ,8: 90–94.
36. Vansteenkiste, I. (2009). How important are common factors in driving non-fuel commodity prices? a dynamic factor analysis. ECB Working Paper Series, 1072.
37. Yu, T.H., Bessler, D., Fuller, S.(2006). Cointegration and causality analysis of world vegetable oil and crude oil prices. Paper presented at the American Agricultural Economics Association Annual Meeting, Long Beach, California, 23-26.
38. Zeballos, E.(2020).More Americans Spend More Time in Food-Related Activities Than a Decade Ago, Amber Waves:The Economics of Food, Farming, Natural Resources, and Rural America, United States Department of Agriculture, Economic Research Service, 0(03).
39. Zhang, Z., Lohr,L.,Escalante,C.and Wetzstein,M.(2010).Food versus Fuel: What Do Prices Tell Us?. Energy Policy 38: 445–51.
40. Zhang, C. and Qu, X.(2015). The effect of global oil price shocks on China's agricultural commodities. Energy Econ.51:354-364.
41. Xiaodong, D. and Hayes, D.(2009).The impact of ethanol production on us and regional gasoline markets. Energy Policy ,37:3227–323.
42. Wang, Y.,Chongfeng .W. and Yang,L.(2014). Oil Price Shocks and Agricultural Commodity Prices. Energy Economics ,44:22–35