Volatility Linkages between Agricultural Commodity Prices, Oil Prices and Real USD Exchange Rate // Vínculos de volatilidad entre precios de productos agrícolas, precios del petróleo y tipo de cambio del dólar estadounidense

Autores/as

  • Mohammed Seghir Guellil Faculty of Economics, Business and Management Sciences, University of Mascara, Algeria http://orcid.org/0000-0001-5768-8844
  • Mostéfa Belmokaddem Faculty of Economics, Business and Management Sciences, University of Tlemcen,13000,Algeria
  • Mohamed Benbouziane Faculty of Economics, Business and Management Sciences, University of Tlemcen,13000,Algeria

Palabras clave:

Oil prices, exchange rates, agricultural commodity prices, panel cointegration, FMOLS–DOLS estimators, Granger causality, precios del aceite, tipos de cambio, precios de productos agrícolas, cointegración de panel, FMOLS–DOLS, causalidad de Granger

Resumen

This study examines the dynamic nexus betwixt oil prices, twenty-two world agricultural commodity prices and given the evolution of the relative strength of the US dollar in a panel setting. We use panel cointegration and Panel Granger causality methods for a panel of twenty-two agricultural products based on annual observations ranging from 1980 to 2015. The empirical results provide a strong evidence of long-term relationship between Agricultural Commodity Prices, Oil Prices and Real USD Exchange Rate. Contrary to the findings of many studies in the literature that report neutrality of agricultural prices to oil price changes, we find strong support  of bi-directional causal linkages among Agricultural Commodity Prices, Oil Prices and Real USD Exchange Rate. The long-run causality analysis thereby implies that the oil prices and the dollar have a predictive power to forecast the agricultural prices, which could be a good tool to prioritize the allocation of resources across industries to ensure agricultural scenario in general and economic outcomes. 

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Este estudio examina la relación dinámica entre los precios del petróleo del mundo y veintidós precios de las materias primas agrícolas del mundo que explican cambios en la fuerza relativa del dólar estadounidense en un panel. Empleamos los métodos del cointegración de panel y de la causalidad de Granger para un panel de veintidós productos agrícolas basados en las observaciones anuales que se extienden de 1980 a 2015. Los resultados empíricos proporcionan una prueba evidente de la relación a largo plazo entre los precios de las materias primas agrícolas, los precios del petróleo y el tipo de cambio real del dólar estadounidense. Al contrario de los hallazgos en muchos estudios en la literatura que exponen la neutralidad de los precios agrícolas frente a los cambios en el precio del petróleo, nosotros encontramos un fuerte respaldo a la existencia de acoplamientos causales bidireccionales entre precios de las materias primas agrícolas, precios del petróleo y el tipo de cambio real del dólar estadounidense. El análisis a largo plazo de la causalidad, de este modo, implica que los precios del petróleo y del dólar tienen un poder profético para prever los precios agrícolas, que podrían ser una buena herramienta para priorizar la asignación de recursos a través de industrias para asegurar el escenario agrícola en general y los resultados económicos.

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Biografía del autor/a

Mohammed Seghir Guellil, Faculty of Economics, Business and Management Sciences, University of Mascara, Algeria

Tlemcen

Citas

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Publicado

2019-02-06

Cómo citar

Guellil, M. S., Belmokaddem, M., & Benbouziane, M. (2019). Volatility Linkages between Agricultural Commodity Prices, Oil Prices and Real USD Exchange Rate // Vínculos de volatilidad entre precios de productos agrícolas, precios del petróleo y tipo de cambio del dólar estadounidense. Revista De Métodos Cuantitativos Para La Economía Y La Empresa, 26, Páginas 71 a 83. Recuperado a partir de https://www.upo.es/revistas/index.php/RevMetCuant/article/view/2700

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